US insurers’ exposure to RMBS increases by 13% to $386bn

Written by Adam Cadle

14/06/2024

US insurers’ investment in residential mortgage-backed securities (RMBS) increased by 13% between YE 2022 and YE 2023, totalling $386bn in BACV, according to the NAIC.

Total RMBS were about 4.5% of total cash and invested assets, a slight increase from the year prior.

For the five years ended 2023, however, US insurers’ exposure to total RMBS decreased by 1% due in part to economic factors and trends in the mortgage new issuance market.

Agency RMBS, or those collateralised by loans backed by US government or government sponsored entities, totalled about $269bn, while private-label RMBS totalled about $117bn BACV at year-end 2023.

More than 90% of US insurers’ private-label RMBS were held by life companies, while life and property/casualty (P/C) companies evenly split the percentage of agency-backed RMBS.

US insurers’ exposure to all RMBS mainly carried NAIC 1 designations, implying the highest credit quality, mitigating concerns of credit risk.

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