Hi,
thank you for your response. For the point regarding greater exposure to corporate bonds, I had based this assumption on the higher SCR component relating to credit spreads widening- wouldn't that mean the company has purchased more corporate bonds than gilts?
Yes, I mean the yield on corporate bonds rather than the coupon rate, apologies
for example int rates=4%, corporate bonds=6%, spread=2%
int rates=5%,corporate bonds=6.5%, spread=1.5%
in above case of narrowing of the credit spread, when corporate bonds do not increase by the same percentage as the interest rates- would this mean they are negatively correlated?
Thanks
Last edited: Mar 22, 2024