US insurers’ CLO exposure jumps almost 23%

Written by Adam Cadle

08/09/2021

US insurers’ CLO exposure increased by around 23% to $192.9bn in book/adjusted carrying value (BACV) from about $156.9bn at year-end 2019, according to the NAIC’s Capital Markets Bureau.

The proportion of AAA rated CLO investments increased slightly from 2019 to 2020, and the majority of US insurers’ CLO investments were high credit quality at year-end 2020, with approximately 80% rated BBB or higher (not including BBB-), consistent with the prior year.

CLOs continue to represent a small proportion of total assets, and they were abut 2.6% of total cash and invested assets at year-end 2020, representing a slight increase from about 2% as of year-end 2019.

The majority of US insurer CLO investments were held by large life companies – i.e., those with at least $10bn in AUM – many of which have CLO asset manager subsidiaries. The top US insurance groups accounted for 45% of the US insurance industry’s total CLO exposure.

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