NAIC Releases Exposure Draft of CLO Modeling

In advance of next week’s NAIC Meeting, the Structured Securities Group (SSG) of the Valuation of Securities (VOS) Task Force released an exposure draft of the modeling assumptions for proposed modeling methodology of the risks of CLOs. While the exposure draft includes modeling assumptions, it does not include scenario assumptions, which will be proposed at a date in the future. The SFA NAIC CLO Task Force will hold a call on Monday, December 12 at 1 PM ET to discuss the exposure draft. For any questions, or to join this task force, please contact Dallin.Merrill@StructuredFinance.org.