According to a report from Fitch Ratings, implementation of the NAIC’s CLO modelling project has been pushed back again to Dec. 31, 2026, to allow further refinement of the methodology and better alignment with broader work on asset-backed securities and the RBC framework. A revised approach from the American Academy of Actuaries introduces tranche‑thickness as a key driver, splitting factors at Baa3/equivalent for tranches of 4% thickness or less versus thicker slices, in response to differences in rating agency methodology.
