Insurers’ CLO exposures are small, but growing
US insurer holdings hit $122 billion in Q4 2018
Collateralised loan obligations make up just a tiny fraction of European Union and US insurance companies’ asset portfolios – but are increasing their share.
Data published by the European Insurance and Occupational Pensions Authority shows CLOs constituted just 0.06% of EU insurer assets, about €4.4 billion ($4.9 billion), in Q4 2018. Fifty-five insurers across 12 EU member states accounted for all of these investments.
Insurers in Malta held the most CLOs as a share of their asset
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
JP Morgan SE allocates €318m for structural credit spread risk
Bank’s EU arm among first to disclose figure following EBA’s diktat on more granular monitoring of CSRBB
New real estate model adds €14bn to Rabobank RWAs
CET1 ratio down 1.2pp as capital stays flat
Norinchukin’s paper losses double to record high
Latest AOCI fluctuation knocks 29% off CET1 capital
Schwab’s short-term funding strategy shifts to secured borrowing post-2023 scare
Dealer cut unsecured borrowing and brokered deposits in favour of collateralised financing
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
Cleared rate for CDSs dropped in H2 2023
Record five-percentage point decline driven by multi-name contracts
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
Most read
- As risk of US Basel delay grows, Europe is in a bind over CVA
- US large bank CRE risks could be understated, say researchers
- T+1 shift sparks dividend chaos in HK structured products