Insurance Quick Takes: The latest from the NAIC on CLO and bond fund capital charges

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Tim Antonelli, CAIA, CFA, FRM, SCR             Head of Multi-Asset Strategy - Insurance and Portfolio Manager

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On February 11, the NAIC’s Risk-Based Capital Investment Risk and Evaluation Working Group provided an update on two topics of critical interest to US insurers: a project aimed at modeling CLOs to create standalone capital charges and a proposal to align capital charges across different fixed income vehicles. In our latest Insurance Quick Takes video, Tim Antonelli, Head of Multi-Asset Strategy – Insurance and Portfolio Manager, shares his thoughts on these initiatives, including:

• The CLO modeling approach being developed by the American Academy of Actuaries, how it will support a wide range of scenarios, and next steps in the project
• The recommendations of the American Council of Life Insurers aimed at establishing consistent capital-charge practices for fixed income mutual funds, ETFs, and other vehicles, and what they could mean for life insurers and, eventually, other types of insurers as well.