Comment Letter: Academy Model for BSL CLO RBC Charges and MM CLO Treatment

LSTA and the Alternative Credit Council (ACC) submitted comments to the NAIC’s RBC IRE Working Group supporting the American Academy of Actuaries’ comparable-attributes model for setting C-1 risk-based capital charges on CLOs. The letter argues the Academy Model better reflects actual tranche-level risk than the alternative SSG approach by accounting for CLO structural protections. LSTA and ACC recommend adopting the Academy Model for broadly syndicated loan CLOs for year-end 2026 while deferring middle-market CLO treatment to year-end 2027 pending a separately calibrated model.