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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


Help Desk for Modeling Process, Analytics, & Results

Eric Kolchinsky
Director, Structured Securities Group