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Level-setting risks across credit segments is an ongoing challenge for capital markets. The National Association of Insurance Commissioners (NAIC)'s initiative to have NAIC designations no longer be based on agency ratings may have far reaching implications for the insurance industry and more broadly. In our most recent Insurance Asset Risk article, Bridgeway AnalyticsWilliam Poutsiaka and I explore the aspirational standards that need to be achieved in order to address this critical issue, and how other regulatory bodies have navigated similar challenges.

Stewart Foley and I explore the evolving US insurance regulatory landscape on his InsuranceAUM.com podcast. Discussions at the recent National Association of Insurance Commissioners (NAIC) Summer National Meeting reaffirmed that the rate of change to the rules that govern insurance investments is accelerating. More than ever, the insurance and regulatory community need smart tools to navigate ever increasingly complex capital markets and regulations that promote competition and fair practice. 

CLOs have been called out by the NAIC and insurance regulators as an asset class that should be treated differently than other credit assets. Broad limitations with the C1 framework were acknowledged in the 2021 redesign effort, and evidenced by the debate for how to level-set the differentiated risks of corporate bonds and CLOs. The challenges with using the C1 factors to describe lifetime loss of assets other than 10-year corporate bonds, can be inferred from the observed differences in recovery, maturity, offsetting coupons, and other risk factors.

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Amnon Levy led the team that redesigned the NAIC c1 factors that governing $3 trillion in US insurers’ credit assets. An important milestone and a testament to consensus building through collaboration with the NAIC, ACLI, the insurance industry and regulators

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The velocity of change to the rules that insurers must navigate is staggering. The implications transcend insurers' investment strategies and business models across the US and Europe with potentially profound implications for capital markets.

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CLOs have been called out by the NAIC and insurance regulators as an asset class that should be treated differently than other credit assets. Broad limitations with the C1 framework were acknowledged in the 2021 redesign effort, and evidenced by the debate for how to level-set the differentiated risks of corporate bonds and CLOs. The challenges with using the C1 factors to describe lifetime loss of assets other than 10-year corporate bonds, can be inferred from the observed differences in recovery, maturity, offsetting coupons, and other risk factors.

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Insurers use of ETFs is growing, but continues to remain at a formative stage with newly designed products by BondBloxx and others better addressing unique and varied needs. This highly efficient vehicle can transform insurers' investment process in ways we are only beginning to understand. Thankfully, proper oversight by the National Association of Insurance Commissioners (NAIC) and state insurance regulators will avoid past pitfalls. Thrilled to have Bridgeway Analytics' latest thought piece published in Insurance Asset Risk

Thrilled to explore the National Association of Insurance Commissioners (NAIC)’s efforts in possibly improving the treatment of investment risk with Vincent Huck of Insurance Asset Risk. With a desire to refine guidelines for structured assets in 2022, the RBC framework will possibly increase in granularity and hopefully better level-set an articulation of risk across investments, providing regulators with the needed tools to better identify potentially weakly capitalized companies.  

Bridgeway Analytics showcased by Green Street's Asset-Backed Alert.

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The Changing Climate of Credit Risk Management, ABA Banking Journal
Exploring why credit investors should care about climate

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The impact of accounting standard on credit portfolio management can be substantial, with far reaching implications to various business models.

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Still a bestseller! Amnon’s book on credit risk measurement and management

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The impact of accounting standard on credit portfolio management can be substantial, with far reaching implications to various business models.

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Join Amnon and other panelists as they discuss implications of regulatory changes the upcoming ACLI Senior Investment Management Seminar

The effects of COVID-19 coupled with the ongoing impact of structural economic change – and policy responses to both – have resulted in unparalleled uncertainty around future interest rate and credit environments. This uncertainty calls for a heightened focus on duration risk management.

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Designing regulatory capital aware investment strategies

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A comprehensive list of publications, including technical material

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The Hope and Challenge of Vaccines: Implications for Credit Loss Forecasting GARP and Designing Credit Models in the Face  of Emerging Threats