NAIC CLO RBC factor proposal puts insurer structured-credit capital treatment under scrutiny
By IAN Editorial Desk
6 May 2026·2 min read
Primary source: content.naic.org
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…
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