March 25, 2025 - 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 (AAA) is developing. The models are part of the NAIC’s transition to a model-based approach to risk-based capital charges from the historical ratings-based approach.

Kolchinsky noted that the SSG holds weekly calls with the AAA, in a bid to ensure coordination on methodologies. (See coverage of the AAA’s most recent status update here.)

The SSG CLO website was updated on March 1st with a new analytics documentthat models the 10 scenarios to apply to BSL CLO notes (CLO YE 2023 Industry Preliminary Results 3-1-25), incorporating the latest reinvestment assumptions from the CLO ad hoc group discussions. It can be accessed here.

The SSG will hold a CLO ad hoc call on Wednesday, April 2nd at 1PM (ET).

Separately, the newly created Risk-Based Capital Model Governance Task Force held its inaugural in-person meeting. This meeting was largely dedicated to hearing oral comments on the Task Force’s mandate to establish guiding principles and conduct gap analysis in service of modernizing RBC charges. All commenters provided supportive feedback.

The Task Force has previously noted that it is hiring a consultant to assist with its workstreams planned for this year, namely, the gap analysis and drafting of the guiding principles. The Task Force is close to finalizing the hiring process and affirmed its commitment to providing regular updates and exposing relevant documents over the course of these undertakings.