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Warren Buffet famously said, “You can’t tell who’s swimming naked until the tide goes out.”


Liquidity Matters: A Panel of Experts' Discussion explores the regulatory and practical considerations with liquidity management in the insurance industry. With a troubled banking system in the backdrop, along with possible changes to NAIC reserving, and balance sheet and liquidity management guidelines, understanding practical considerations with liquidity management couldn't be more critical.

Join Amnon Levy on a panel with Bill Poutsiaka, who had first hand experience recapitalizing AIG as a CIO after their collapse, Geoffrey Cornell, former CIO of Corebridge Financial and Michael Ashton, the Inflation Guy on a panel moderated by's Stewart Foley to explore these issues. 3-21-2023 liquidity.jpg
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With the NAIC and regulators citing concerns over rating agency commercial interests biasing risk assessments and the appropriateness of using agency ratings in capturing tail risks, questions remain over what designations are intended to measure, and the degree to which the proposed intrinsic-price approach is an improvement. This report benchmarks the performance of NAIC intrinsic price designations against market-based measures, and explores the lessons learned from the treatment of structured assets across regulatory jurisdictions. We find that:

  • Intrinsic-price-based designations benchmark poorly to market spreads when compared to agency ratings. Despite data quality limitations, our analysis suggests the poor performance is, in part, inherent with the methodology whereby credit will generally receive higher quality designations as it approaches maturity. This maturity effect is a departure from the C1 framework, and can result in shorter dated, high-spread credit with low quality agency ratings (e.g., BB or B) assigned high quality intrinsic price designations (e.g., 1.a or 1.d)

  • Other regulatory frameworks often differentiate credit across agency rating categories and remaining maturity. Our estimates suggest remaining maturity may receive more punitive capital treatment under intrinsic-price-based NAIC designations than any other regulatory framework explored, including Solvency II and IAIS ICS

Critical to the discussion, we provide possible approaches that can more closely align the intrinsic price approach with the C1 RBC framework and identify characteristics that are associated with assets whose designations benchmark poorly, which can be used as a starting point for a more comprehensive study that can be used by the NAIC to improve upon their methodologies.


We hope you find this resource helpful – it is consistent with our goal of bringing value to our community.

By Amnon Levy and Brett Manning

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Our report, Benchmarking the Treatment of CLOs, was recently featured in Green Street's Asset Backed Alert!  

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Our latest publication in Insurance Asset Risk. The NAIC and regulators have been deliberate about ensuring the process of revising the treatment of CLOs remains transparent and importantly, have been open for feedback and discussion, with requests by the NAIC staff for actionable alternatives to proposed models. While increased involvement from interested parties will involve distillation of more information, we believe the end result will lead to an improved framework.

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