The NAIC’s Risk-Based Capital Investment and Risk Evaluation Working Group (RBC IRE WG) held a call on Monday to provide a progress report on the American Academy of Actuaries (Academy)’s model for CLO C-1 factors (i.e., the weight NAIC gives to each of its risk rating categories) for Risk-Based Capital (RBC) charges. While the model...
The NAIC’s recently formed Risk-Based Capital (RBC) Model Governance Task Force is requesting comments on its proposed preliminary RBC principles and questions by July 24th.
As part of the Valuation of Securities Task Force’s meeting today at the NAIC Spring National Meeting, Structured Securities Group (SSG) Director Eric Kolchinsky provided an update on the NAIC’s proposed CLO Modeling Methodology. Recall this is the in-house model that the NAIC is working on alongside the model that the American Academy of Actuaries...
The NAIC’s Risk-Based Capital (RBC) Investment Risk and Evaluation Working Group convened this morning at the NAIC’s Spring National Meeting in Indianapolis. The agenda included an update from the American Academy of Actuaries (AAA) on the Structured Securities RBC project and oral comments on the American Council of Life Insurers’ (ACLI) RBC Principles for Bond...
he NAIC’s Risk-Based Capital (RBC) Model Governance Task Force held a call today to adopt its proposed 2025 charges, which were exposed for comment in February.
This article has been updated to highlight new details on the transition to model-based RBC charges for CLO notes. On December 5th, the NAIC’s SSG released preliminary probability weights for the 10 stress scenarios to apply to BSL CLO notes. Recall that the scenarios and probabilities are part of the NAIC’s process for transitioning...
Last week, the National Association of Insurance Commissioners’ (NAIC) Risk-Based Capital (RBC) Investment Risk and Evaluation Working Group (WG) held a meeting to discuss comments received on its “Memorandum on Consideration of Additional Information on Interim Factor for Residual Tranches.” The WG is tasked with performing a comprehensive review of the RBC investment framework. The...
366 Madison Avenue, 15th Floor, New York, NY 10017 Tel: 212.880.3000 Fax. 212.880.3040 www.lsta.org. June 17, 2022 Ms. Carrie Mears, Chair Valuation of Securities (E) Task Force National Association of Insurance Commissioners 1100 Walnut Street NW, Suite 1500 Kansas City, MO 64106-2197 Re: Issue Paper on Risk Assessment of Structured Securities - CLOs Dear Ms....
