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Check the statutory filings - I'm not sure it gets all the way down to the CUSIP level, but it is the most detail you'll find in public information.
If it's a US insurer, you can definitely get this info. The statutory filings (I believe it's the schedule DB on the annual) will have a listing of all investments by CUSIP. The quarterly stat statement will show you any changes in these holdings since the last annual statement. Do you have SNL at your bank? If so, the easiest way would be to download it from there to excel, or to use the SNL xl plug-in.
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