CLOs & Structured Products
CLO/CDO exposure trends, tranche quality, and concentration risk across the insurance industry
Type
Years-
Size
PE
Methodology
Data Source: Schedule D holding detail (SD0007) Collateral_Type_Description field identifies structured product types (CLO/CDO, CMBS, RMBS, etc.).
Valuation Basis: Fair Value (Conditional_Fair_Value) from SD0007.
Entity Filter: NAIC Company Code IS NOT NULL (excludes S&P aggregates). Holdings deduplicated by Company_Investment_Key per filing year, preferring annual period.
Caveats: CLO identification relies on S&P Capital IQ collateral type classification. Coverage begins in 2017 when the field was first populated.
Regulatory Context
- SSAP No. 43R — Loan-backed and Structured Securities
- SSAP No. 26R — Bonds -- CLO/CDO classification
- NAIC CLO Modeling — Capital charge modeling for CLO tranches
SSAP References
- Schedule D-1 — Bond detail including CLO/CDO securities
- SD0007 — Bond holding detail with CUSIP-level CLO identifiers
- SD0010 — Bond quality distribution by issuer type