Board of Governors of the Federal Reserve System

Figure 1: Total Nontraditional Liabilities of U.S. Life Insurers, by Liability Type

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Figure 2: Par value of life insurers’ Treasury holdings

One panel. This line chart plots the amount of Treasuries held on the balance sheets, in billions of United States Dollars, of two life insurers: AIG and The Hartford. AIG denoted in blue, The Hartford in red. The plot shows monthly data from January of 2006 through December of 2011. The amount of Treasuries on The Hartford’s balance sheet rises in December of 2008, increasing from roughly $3.3 billion to roughly $12.6 billion, in April of 2009; after which, the amount of Treasuries held on The Hartford’s balance sheet decreases from about $12.7 billion in May of 2009 to about $2.9 billion in September of 2009. AIG is fairly static with about $0.7 billion in Treasuries held on their balance sheet until, around, June of 2009; after which, they experience an upward trend, reaching their zenith in October of 2010 with roughly $4.2 billion in Treasuries on their balance sheet.

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Figure 3: Ratio of Life Insurers’ Runnable Nontraditional Liabilities to Unexpected Cash Flows

Two panels. The two histograms plot the distribution of the ratio of U.S. life insurers’ runnable nontraditional liabilities to the standard deviation of the change in their quarterly net cash flows. The panel on the left has five buckets with an x axis ranging from zero to twenty, and shows the distribution of the ratio across insurers in Q3 2018. On average, life insurers’ runnable nontraditional liabilities are 6.8 times the standard deviation of the unexpected component of their cash flows. The nontraditional liabilities used in calculating the ratio for the left panel are: short-term FABS with a residual maturity of less than one year, FHLB advances that can be terminated at the discretion of the FHLB’s, and cash collateral from securities lending and repo. The panel on the right uses the same data as the panel on the left excluding FHLB advances. This panel has four buckets with an x axis ranging from zero to sixteen. On average, life insurers’ runnable nontraditional liabilities excluding FHLB advances are 4.2 times the standard deviation of the unexpected component of their cashflow. The panel on the right exhibits a stronger positive skew than the panel on the left.

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