On Friday February 17, SFA submitted two comment letters to the NAIC. The first letter was addressed to the RBCIRE Working Group and discusses Proposed Interim capital levels. This letter notes a split in in member views on NAIC process on the proposed RBC levels for residual tranches. It also notes that there was consensus that there should not be material RBC arbitrage, and that NAIC should clarify whether the proposed Category Six levels apply only to CLOs, or more broadly across other structured products.
The second letter was addressed to the NAIC VOS (E) Task Force, and shares member views on the proposed modeling of CLOs by NAIC and the removal of the filing exemption, alongside feedback on the proposed modeling assumptions for CLOs in the NAIC exposure draft. This letter notes differences in views among insurance company members on removing the filing exemption and internal modeling, along with the rationale for those differing views. It also provides feedback on the proposed assumptions, and—pursuant to consensus member feedback—recommends that NAIC release all assumptions and scenarios in order for the industry to provide feedback on those assumptions.