CLO stress test shows losses for US insurers could top $6.9bn
Analysis by a US standard-settings body estimates that collateralised loan obligations (CLOs) held by insurers could suffer losses of up to 7.2%, equal to around $6.9 billion, under a tough stress scenario.
The National Association of Insurance Commissioners conducted stress tests on US firms’ $130 billion-worth of CLO holdings as of end-2018.
Of these, $96.9 billion could be modelled by the NAIC, of which $95.9 billion were normal CLO tranches, paying regular principal and interest, and $1
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
Covid liquidity, block trades and Fed op risk
The week on Risk.net, August 1-7, 2020
Receive this by email