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Fixed income Insurance Regulatory FRM Program Balance sheet Multi-Asset solutions Americas Insurance Quick Takes Asset allocation Video

Insurance Quick Takes: The latest from the NAIC on CLO and bond fund capital charges

Tim Antonelli, CAIA, CFA, FRM, SCR, Head of Multi-Asset Strategy – Insurance
February 2025
6 min view
2026-02-27
Archived info
Archived pieces remain available on the site. Please consider the publish date while reading these older pieces.
1271246974

The views expressed are those of the speaker at the time of filming. Other teams may hold different views and make differentinvestment decisions. The value of your investment may become worth more or less than at the time of original investment.While any third-party data used is considered reliable, its accuracy is not guaranteed. For professional, institutional, oraccredited investors only.

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On February 11, the NAIC’s Risk-Based Capital Investment Risk and Evaluation Working Group provided an update on two topics of critical interest to US insurers: a project aimed at modeling CLOs to create standalone capital charges and a proposal to align capital charges across different fixed income vehicles. In our latest Insurance Quick Takes video, Tim Antonelli, Head of Multi-Asset Strategy – Insurance and Portfolio Manager, shares his thoughts on these initiatives, including:

  • The CLO modeling approach being developed by the American Academy of Actuaries, how it will support a wide range of scenarios, and next steps in the project
  • The recommendations of the American Council of Life Insurers aimed at establishing consistent capital-charge practices for fixed income mutual funds, ETFs, and other vehicles, and what they could mean for life insurers and, eventually, other types of insurers as well.
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