Here's what Moody's had to say about a big chunk of these investments, the Life Insurance company Segregated funds, back in 2004. The first paragraph makes me a bit nervous: http://www.annuitysystems.com/extras...

Canadian guaranteed seg funds, like guaranteed variable annuities in the U.S., expose their issuers to catastrophe risk - namely, the low frequency, but potentially high severity risk of a prolonged downturn in the equity markets, resulting in reduced seg fund asset values and potential losses on guaranteed benefit payments2. In Canada, this risk is magnified by the prevalence of maturity guarantees, which, unlike death
benefits, pay out with certainty at a specified contract maturity date (assuming no previous lapsation). We believe that significant individual guaranteed seg fund exposures exist, given the recent retreat of reinsurers from this market, and in the absence of effective hedging techniques.

Despite these concerns, we do not expect the risks of guaranteed seg fund products to translate into wholesale industry rating downgrades in Canada. Our universe of rated Canadian life insurers benefit from generally diversified sources of revenues and earnings, good capital, and, in some instances, the additional support of a strong parent company. These strengths are reflected in the industry’s relatively high
average insurance financial strength rating of “Aa2/Aa3”.

In addition, we view the new OSFI capital requirements as an important first step in risk mitigation.
Although the new capital allocation guideline falls slightly short of Moody’s implied level for issuers rated Aa3 (see below), we recognize that the methodology will continue to evolve and improve. Moreover, in the absence of any other regulatory capital guidelines for guaranteed variable annuity-type products, the new OSFI requirements are the only North American standard, to date.

At the same time, we note that the adequacy of the new OSFI regulations has not been tested, while the risks of guaranteed individual seg funds are real. For this reason, we will continue to monitor the performance of individual guaranteed seg fund providers, taking rating actions on a case-by-case basis, if necessary.