Structured Securities Group
Collateralized Loan Obligations
Analysis of CLO Owned by Insurance Industry
The Structured Securities Group is currently working on analyzing Collateralized Loan Obligations (CLO) owned by state regulated insurance companies. Insurance companies report ownership of CLO on Schedule D, DA or BA of the NAIC Financial Statement Blank.
Agenda for Analysis & Testing
April 11, 2023
Kick off call
April 19, 2023
Selection of deals
May, 2023
Run deals in ABC no PP scenario
May 17, 2023
Summarizing the status of the tie-out procedure and discussing the pre-pay scenarios Time: 10AM-11AM ET
May 31, 2023 10AM ET
Discuss the impact of prepayment assumptions (Run deals in ABC -- PP scenario)
Rescheduled to July 13. 2023 12 ET from JUNE 14, 2023 10AM ET
Tie out 1) Review and discuss comments on prepayment scenarios. (CLO methodology update below) 2) Discussion on scenario generation.
October 5, 2023 11AM ET
Expose CLO Scenario Proposals
April 10, 2024
CLO Ad-hoc Meeting
Methodology
Updated 4-16-24
Analytics (Deal Test Files)
Updated 12-22-23
Supplemental Information
Contacts
Help Desk for Modeling Process, Analytics, & Results
cloinquirydesk@naic.org
212-398-9000
Eric Kolchinsky
Director, Structured Securities Group
ekolchinsky@naic.org
212-386-1943