Presentation

C-1 Subcommittee Update on CLO C-1 Factors Modeling—Residual Tranches and Portfolio Adjustment Factors

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Publish Date:

05/6/2026

Category:

Policy & Research

Topics:

Risk-Based Capital

C-1 Subcommittee Chairperson Steve Smith gave an update on Residual Tranches and Portfolio Adjustment Factors in the collateralized loan obligation (CLO) comparable attributes project to the NAIC’s Risk-Based Capital Investment Risk and Evaluation (E) Working Group.