US insurers' CLO exposure rises by 14.5%

Written by Adam Cadle

11/10/2023

US insurers’ exposure to collateralised loan obligations (CLOs) collateralised by bank loans and
middle market loans was $247.6bn in book/adjusted carrying value (BACV) at year-end
2022, representing a 14.5% increase from about $216.3bn at year-end 2021.

The pace of growth in insurers’ CLO investments, however, continued to slow in 2022, down
from 23% in 2021 and 28% in 2020 and 2019.

CLOs continue to represent a small proportion of US insurers’ total cash and invested assets,
but they increased to almost 3% of the total from approximately 2.7% at year-end 2021.

The credit quality of US insurers’ CLO investments that were reported in Schedule D Part 1 at
year-end 2022 improved slightly, with tranches rated investment grade (BBB and higher)
increasing to 82% of total CLO investments from almost 80% in 2021.

Most US insurer CLO investments continue to be held by large life companies—i.e., those with
at least $10bn in invested assets—many of which have CLO asset manager subsidiaries.
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