美股保险行业-保险投资组合存在信用风险，但更强劲的资产负债表是一个积极因素

North America Equity Research22 June 2022 J.P. Morgan InsuranceInsurance Investment Portfolios Have Credit Risk, but Stronger Balance Sheets are a PositiveInsurance - Life & NonlifeJimmy S. Bhullar, CFA AC(1-212) 622-6397jimmy.s.bhullar@jpmorgan.comBloomberg JPMA BHULLAR <GO>Pablo S. Singzon(1-212) 622-2295pablo.s.singzon@jpmorgan.comNicholas M Annitto(1-212) 622-6705nicholas.annitto@jpmorgan.comJ.P. Morgan Securities LLCSee page 37 for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.www.jpmorganmarkets.comThis report discusses our views on credit risks facing the life and P&C insurance sectors. In addition, the report summarizes key comments by various companiesduring our recent Insurance Chief Investment Officer Call Series. The life insurance group is the most exposed to deterioration in creditwithin the insurance sector, while P&C brokers are the least susceptible.P&C insurers are exposed as well, but to a lesser extent than life insurers given their lower asset leverage (investments are 3x equity versus 8x for the life sector as of 3/31/22), lower-risk liability profiles, and better free cash flow. Life insurance stocks have historically pulled back as credit trends have deteriorated and we expect a similar pattern if the economy slows further.Risks in life insurers’ investment portfolios have changed in the past decade as insurers have reduced exposure to structured securities but increased allocations to privates, alternatives, and lower-rated corporate debt. In addition, life insurers have lengthened portfolio durations. P&C allocations towards privates and lower-rated debt have increased as well. However, unlike the life sector, portfolio durations in the P&C sector have shortened slightly in the past decade. We believe that life insurers are better positioned to weather a credit downturn than heading into 2008. Life insurers’ capital levels and liquidity positions are stronger than they were 15 years ago. While the industry retains considerable tail risk in legacy policies, overall liability profiles have improved as well and companies have enhanced their hedging programs. Also, asset bubbles seem less pronounced than prior to the 2008 recession. Hence, while life insurance stocks are likely to pull back if credit tends worsen, barring a severe recession, we believe that this would present an attractive buying opportunity. Our stress tests suggest that AEL, BHF, and UNM are the most susceptible to deterioration in the credit market given their above-average allocations to risky securities (all three), higher asset leverage (AEL), and limited capital flexibility (BHF & UNM). Meanwhile, contrary to popular op