‘Fallen angels’ pose little threat to EU funds
Actively managed bond funds in the European Union would be resilient to a credit shock that turned a hefty chunk of their holdings to junk status – but passive funds would be forced to panic sell, dramatically impacting debt prices.
The European Securities and Markets Authority (Esma) simulated the effects of a sudden blow-out of credit spreads and rating downgrades on EU funds. The scenario imagined a shock that turns 11% of global BBB-rated debt into ‘fallen angels’ – investment-grade bonds
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
7 days in 60 seconds
Autocallables, Mifexit and the value of HFT
The week on Risk.net, September 19-25, 2020
Receive this by email