Tag: Hankook Lee

U.S. Insurers Report a 1% Increase in Commercial Mortgage-Backed Securities Holdings in 2024, Still 2% Below 2022 Peak

Mary Pat Campbell

Link: https://content.naic.org/sites/default/files/capital-markets-special-reports-cmbs-ye2024.pdf

Graphic:

Executive Summary:

  • The U.S. insurance industry’s exposure to agency and private-label commercial mortgage-backed
    securities (CMBS) totaled $287 billion at year-end 2024, a 1% year-over-year (YOY) increase.
  • Property/casualty (P/C) insurance companies were the primary driver of growth, with their agency
    CMBS exposure rising 22% to $36 billion.
  • Agency CMBS accounted for 28% of U.S. insurers’ total CMBS exposure at year-end 2024, reflecting
    a steady increase from 24% at year-end 2022.
  • The credit quality of the CMBS portfolio remained stable overall, with investments carrying an
    NAIC 1 designation or NAIC 2 designation totaling 97.6% of total exposure at year-end 2024.
  • Office property delinquency rates remain elevated at 9.6% as of July 2025, according to S&P Global
    Ratings (S&P Global) data.

Author(s): Michele Wong and Hankook Lee

Publication Date: 16 Oct 2025

Publication Site: NAIC, Capital Markets Special Report

Collateralized Loan Obligation – Stress Testing U.S. Insurers’ Year-End 2021 Exposure

Mary Pat Campbell

Link: https://content.naic.org/sites/default/files/capital-markets-special-reports-clo-stressed-analysis-ye2021.pdf

Graphic:

Excerpt:

The stress test analysis found that 1,114 U.S. insurers, with a surplus of about $1.2 trillion, held some
amount of CLO tranches modeled. Similar to last year’s stress testing results, we found that the losses on
insurers’ CLO investments that were modeled, even in the stressed scenarios, were highly concentrated.


To understand the impact of potential losses on insurers, principal loss (compare with Table 7) for
scenarios A, B, and C was divided by each insurer’s year-end 2021 total surplus. For each scenario, the
principal loss as a percentage of total surplus for each of the 1,114 insurers was sorted from highest to
lowest. Then the insurer with the largest percentage loss was referenced as “Insurer 1,” the insurer with
the second largest percentage loss was referenced as “Insurer 2,” and so on until the smallest percentage loss, which was referenced as “‘Insurer 1,114” (x-axis). Please note the difference in the scale of the y-axis
in Charts 1, 2, and 3.


Chart 1 shows the distribution of losses as a percentage of surplus for December 2021’s Scenario A.
Although the bulk of insurers show no losses, 49 of the 1,114 insurers experienced losses in this
scenario. Intuitively, the losses were derived primarily from CCC-rated CLO tranches. The largest loss as
a percentage of surplus under Scenario A was 9.72%. Similar to the analysis for year-end 2020, no
insurers experienced double digit losses.

Author(s): Jean-Baptiste Carelus, Eric Kolchinsky, Hankook Lee, Jennifer Johnson, Michele Wong, Azar Abramov

Publication Date: Jan 2023

Publication Site: NAIC Capital Markets Special Reports