Structured credit is no longer a niche allocation for life insurers — it’s becoming core to SAA strategy.

In a recent Milliman-authored paper for the Society of Actuaries, we explore how complex assets such as CLOs, ABS, RMBS, and CMBS are reshaping insurer portfolios, and what ALM teams should be thinking about next.

These assets offer spread pickup, capital optimization, and liability cash-flow alignment. But they also introduce layered risks: liquidity compression, model dependence, valuation smoothing, and correlation spikes under stress.

Some key questions explored in the study:

• Are diversification benefits overstated in stress environments?
• Is illiquidity premium being measured — or assumed?
• Are capital-adjusted returns fully reflected in SAA optimization?
• Do governance frameworks match the structural complexity of these assets?

Read the full study at the Society of Actuaries website.