NAIC CLO RBC factor proposal puts insurer structured-credit capital treatment under scrutiny
CLO debt holdings are less than 0.1% of total general account invested assets.
The NAIC has left the 35.55% post-tax capital factor for CLO residual tranches in place while reopening how the debt tranches are calibrated, in an exposure draft now out for comment.
The CLO C-1 residuals and portfolio adjustment factor document was exposed for a 61-day comment period, with comments specific to residual tranche C-1 modelling due by Monday 6 July 2026. Comments on CLO C-1 residuals from the American Council of Life Insurers were exposed alongside it.
The accompanying risk-based capital proposal form incorporates modelled C-1 factors presented by the American Academy of Actuaries on 2 March 2026. Those factors are after-tax and have been adjusted for tax in the proposal. The Academy did not propose a factor for NAIC 6 CLOs, citing a limited sample for modelling.
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