How US insurers went to war over CLOs

Mutuals and private equity-backed rivals clash over determination of capital charges

In June 2022, a relatively obscure unit of the National Association of Insurance Commissioners, the US insurance industry’s standard-setting and regulatory support organisation, announced changes in how it would calculate capital charges for collateralised loan obligations. Rather than base the charges on credit ratings, which has been standard practice since 2004, the NAIC’s Securities Valuation Office began drawing up plans to financially model CLOs itself.

Some major US insurers – including

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