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...
