Even Covid couldn’t stop insurers buying risky CLO tranches

NAIC rules make mezzanine debt more attractive than AAAs or corporate bonds with similar ratings


US insurance companies invested more money in collateralised loan obligations last year, even as the Covid-19 pandemic threatened to trigger a wave of defaults on the loans backing the securities.

Life insurers held 13.1% of their assets in asset-backed securities – the investment category that contains CLOs – at the end of 2020, compared with 11.4% in 2016, according to Mary Pat Campbell who researches the sector for Conning, a specialist asset manager.

“Yields for the entire US life industry

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