U.S. insurers’ exposure to bank loans increased by about 32% to $97.2 billion in book/adjusted
carrying value (BACV) at year-end 2021, from $73.9 billion at year-end 2020; they make up less
than 2% of the industry’s total cash and invested assets.
About 80% of U.S. insurers’ bank loans were acquired in market transactions; the remainder was
issued by the reporting entities.
About 74% of bank loans were held by large life companies, or those with more than $10 billion
in assets under management; 10 life insurance companies accounted for 54% of U.S. insurers’
total bank loan exposure at year-end 2021.
There was a small improvement in credit quality of U.S. insurer bank loans, with those carrying
NAIC 3 and NAIC 4 designations—i.e., BB and B credit rating categories—accounting for 53% of
the total at year-end 2021, compared to 57% at year-end 2020. Bank loans carrying CCC credit
ratings also decreased year-over-year (YOY) to 8% from 12%.
New leveraged loan market issuance in 2021 reached $615 billion, surpassing a previous record
set in 2017 of $503 billion, with collateralized loan obligations (CLOs) for the most part driving
Author(s): Jennifer Johnson, Jean-Baptiste Carelus
Publication Date: 1 June 2022
Publication Site: NAIC Capital Markets Special Report