Risk Quantum/National Association of Insurance Commissioners (NAIC)
Covid recession makes US insurers’ junk bond piles riskier
About $227.5 billion of firms’ debt holdings are BB+ rated or lower
CLO stress test shows losses for US insurers could top $6.9bn
Under one stress scenario, BBB tranches could suffer losses
Securities lending down over 10% among US insurers in 2018
Firms stepped away from securities lending transactions and repo markets last year
In hunt for yield, US insurers turn to illiquid assets
Mortgage exposures grow 72% in eight years since 2010
Insurers’ CLO exposures are small, but growing
US insurer holdings hit $122 billion in Q4 2018