The New Frontier in Insurance Asset Management

By Yi Yang, Executive Director, Strategic Capital Group

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The investment opportunity set for insurers is expanding, driven by higher rates and continued growth across private markets. The bigger challenge is turning those opportunities into portfolios insurers can effectively own, govern, and explain.

In this paper we provide insights into 5 key areas:

  1. Product Breadth to Portfolio Relevance
  2. Jurisdictional Alignment Turns Asset Allocation into Balance-Sheet Strategy
  3. Structuring Has Become a Core Insurance Capability
  4. Reinsurance Requires Real-Time, Side-By-Side Partnership
  5. Analytics, Reporting, and Risk Governance are Essential

In the paper, the author illustrates how the same hypothetical loan portfolio can attract different capital charges across regulatory regimes and investment structures.

Exhibit 1: Hypothetical capital charges for a portfolio of B-rated senior secured direct lending loans vary by regulatory regime and structure: Loan, CLO and Rated Feeder (RF), compared under NAIC RBC, BMA BSCR and J-ICS. Hypothetical illustration; see the source and assumptions below the chart and page 3 of the full paper.
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Source: PGIM, as of 9/30/26, based on currently published NAIC Life RBC C-1 risk charges, BMA BSCR factors and JFSA J-ICS credit risk factors. “CLO (Proposed)” reflects the NAIC Capital Adequacy (E) Task Force’s adoption of Proposal 2026-12-IRE MOD, scheduled to become effective for year-end 2026 filings. Hypothetical illustration. Notes: Assumes the vertical tranche (including residual) is held, for comparison purposes. Actual balance sheet suitability varies. Assumes a portfolio of B-rated senior secured direct lending loans. CLO structure with residual tranche of 12%; Rated Feeder (RF) with residual tranche of 10%.
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Exhibit 1: Hypothetical capital charges for a portfolio of B-rated senior secured direct lending loans vary by regulatory regime and structure: Loan, CLO and Rated Feeder (RF), compared under NAIC RBC, BMA BSCR and J-ICS. Hypothetical illustration; see the source and assumptions below the chart and page 3 of the full paper.
Source: PGIM, as of 9/30/26, based on currently published NAIC Life RBC C-1 risk charges, BMA BSCR factors and JFSA J-ICS credit risk factors. “CLO (Proposed)” reflects the NAIC Capital Adequacy (E) Task Force’s adoption of Proposal 2026-12-IRE MOD, scheduled to become effective for year-end 2026 filings. Hypothetical illustration. Notes: Assumes the vertical tranche (including residual) is held, for comparison purposes. Actual balance sheet suitability varies. Assumes a portfolio of B-rated senior secured direct lending loans. CLO structure with residual tranche of 12%; Rated Feeder (RF) with residual tranche of 10%.
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