1、 MILLIMAN REPORT Asset allocations and investment strategies of U.S.life insurers in an inflationary interest rate environment(After more than a decade of near-zero rates)December 2024 Fiona Ng,FSA,CFA,MAAA,CERA Jim Stoltzfus,FSA,MAAA,CERA Susan Tan,FSA,MAAA Michael Graney Ashlyn Phipps Wisdom Aseli

2、sewine Ashleigh Sandrock,ASA,MAAA MILLIMAN REPORT Table of contents INTRODUCTION.1 EXECUTIVE SUMMARY.2 INVESTMENT IN MORTGAGE LOANS.2 INVESTMENT IN PRIVATE BONDS.2 INVESTMENT IN STRUCTURED ASSETS.2 INVESTMENT IN SCHEDULE BA ASSETS.3 INCREASED INVESTMENT IN NAIC 2 BONDS AND HIGH-YIELD BONDS.3 INVESTM

3、ENT IN EXCHANGE-TRADED FUNDS.3 OVERVIEW OF U.S.LIFE INSURERS INVESTMENT PORTFOLIOS.4 MAJOR MERGERS AND ACQUISITIONS.4 INVESTED ASSETS BY BUSINESS FOCUS.5 NET YIELD BY BUSINESS FOCUS.6 RISK-BASED CAPITAL RATIO.6 ASSET COMPOSITION.9 STRATEGIES DEPLOYED IN AN INFLATIONARY ENVIRONMENT AFTER A PERIOD OF

4、LOW INTEREST RATES.12 LIFE INDUSTRY OVERVIEW.12 SMALL,MEDIUM,AND LARGE COMPANIES.13 LIFE-INSURANCE-OWNED PRIVATE EQUITY COMPANIES.13 INVESTMENT PORTFOLIO DETAILED ANALYSIS.15 Bond quality rating.16 Bond maturity.17 Mortgage loans.18 Municipal bonds.22 Private placements.23 Bond portfolio remaining t

5、erm to maturity.24 Structured securities.25 Schedule BA assets.27 Exchange-traded funds.30 CONCLUSION.33 REFERENCES.34 APPENDIX A.35 MILLIMAN REPORT Asset allocations and investment strategies of U.S.life insurers 1 in an inflationary interest rate environment December 2024 Introduction After more t

6、han a decade of economic expansion,much of the world entered a low interest rate environment following the 20072008 global financial crisis.As shown in Figure 1,the one-year Treasury rate stayed near zero until 2017,when rates started to rise.But in 2019,the rates began to fall again,reaching nearly