Small increase in US insurers’ exposure to RMBS in 2022

Written by Adam Cadle

30/05/2023

US insurers’ investment in residential mortgage-backed securities (RMBS), including both agency-backed (agency) and private-label, totalled about $341bn in book/adjusted carrying value (BACV) as of year-end 2022, according to the NAIC, which was about 4% of total cash and invested assets, a 1.5% increase from 2021.

For the five years ending in 2022, however, US insurers’ exposure to RMBS decreased by 12% due in part to trends in the mortgage market and the negative economic impact and recovery
from COVID-19.

Agency RMBS - i.e., backed by the US government or government-sponsored entities (GSEs) - totalled $237.1bn, while private label RMBS totalled almost $104bn BACV at year-end
2022.

US insurers’ exposure to all RMBS mainly carried NAIC 1 designations, implying the highest
credit quality, mitigating concern regarding credit risk. More than 90% of US insurers’ private-label RMBS and almost half of agency RMBS were with life companies.

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