Apollo Global Management Investor Day Presentation Deck
Losses on Corporates held by U.S. Life Insurers Exceed Losses
of Structured Credit Holdings Under Fed's Stress Scenario
BlackRock ran aggregate
assets of U.S. life insurers
from statutory filings
through the Fed's CCAR
stress test used for the
banking industry and
found that the industry's
investment-grade
corporates had a higher
expected loss than
structured credit
14.7%
7.0%
HIGH YIELD & IG CORPS
BANK LOANS
4.2%
CMBS
3.8%
NON-AGENCY
RMBS
1.5%
CML
1.4%
SOV/MUNI
0.3%
ABS
0.2%
CLO
BlackRock risk analysis on Life Insurance Industry holdings as of December 31, 2020. The Severely Adverse macro-economic scenario is defined to align with the Federal Reserve's 2020 supervisory scenarios that the Board will use in its bank holding company stress tests (i.e., Comprehensive Capital Analysis and Review "CCAR").
Loss is expressed as percentage of public fixed income for which discounted cash flows were generated Sources: Q12020 GDP U.S. Bureau of Economic Analysis, Apr 2020 Unemployment and Apr 2020 CPI - U.S. Bureau of Labor Statistics (series LNS14000000, CUSR0000SAO).
APOLLO RETIREMENT SERVICES BUSINESS UPDATE 2022
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