Staff Reports
Insurance Companies and the Growth of Corporate Loans' Securitization
Number 975
August 2021 Revised March 2025

JEL classification: G11, G20, G22

Authors: Fulvia Fringuellotti and João A.C. Santos

Insurance companies nonupled their CLO investments in the post-crisis period. This growth has far outpaced that of loans and bonds and is characterized by a strong preference for mezzanine tranches over triple-A tranches. Conditional on capital charges, insurance companies invest more in bonds and CLO tranches with higher yields but prefer the latter because these carry higher yields. Preferences increased following the 2010 regulatory reform, resulting in them holding 44 percent of outstanding investmentgrade rated mezzanine tranches. In the process, insurance companies contributed positively to the rise of corporate loan securitization and availability of bank credit, particularly to riskier borrowers.

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Author Disclosure Statement(s)
Fulvia Fringuellotti
I, Fulvia Fringuellotti, declare that I have no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.

João A. C. Santos
I, João Santos, declare that I have no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
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