Presentation

CLOs–Update on Asset Risk Structure

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Publish Date:

09/30/2026

Category:

Policy & Research

Topics:

Financial Reporting, Life, Risk-Based Capital

In this presentation at the NAIC Insurance Summit, C1 Subcommittee Chairperson Steve Smith provides an update on collateralized loan obligations (CLO) modeling work completed over the past several years. The presentation begins with the basics of CLOs and then examines the shape of CLO risk across credit ratings. It also explores how tranche thickness affects risk beyond what ratings capture and tests how sensitive the results are to key modeling assumptions. Finally, it addresses residual tranches and the benefits of diversification across CLO holdings.