Covid shock could topple US insurers’ exotic CLOs
Losses on “atypical” tranches could hit $899 million
A coronavirus-induced recession could inflict big losses on US insurers’ unconventional collateralised loan obligations (CLOs) assets – including highly-rated tranches – a stress test by the National Association of Insurance Commissioners (NAIC) shows.
“Atypical” CLOs, those the NAIC describes as having unusual payment features and non-standard principal balances, made up $1.4 billion of US
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