CLO stress test shows losses for US insurers could top $6.9bn

Under one stress scenario, BBB tranches could suffer losses

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

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