Recomputes the NAIC Life RBC per-tranche capital charge for CLO/CBO/CDO bond tranches against the LR002 Column (2) "CLOs/CBOs/CDOs" factor grid adopted by the RBC Investment Risk & Evaluation (E) Working Group (Proposal 2026-12-IRE, effective for YE2026 filings). Enter each tranche's NAIC designation, BSL thin-tranche status, current thickness, and book/adjusted carrying value; the tool looks up the correct factor, including the flat 11.77% surcharge for a designation of 2.C or below at ≤4% thickness, and computes ROUND(factor × BACV, 0), summed across the portfolio.
NAIC RBCLR002Proposal 2026-12-IREZero PIIClient-side only
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Scope & reliance
This tool recomputes a prescribed per-tranche charge from inputs YOU declare. It never derives a NAIC designation from underlying loan-level cash-flow data, never models the CLO Portfolio Adjustment Factor, and excludes CLO residual tranches (the retrieved primary source's captured pages did not show their exact LR002/AVR line number; see the spec file linked in the manifest for the scope exclusion). A match means "recompute matches the adopted grid," never "your filing is compliant" or "your RBC is correct." Factor table pinned as a dated policy parameter (vintage: 2026-12-IRE, adopted 2026-06-23, YE2026 filing); re-verify against a fresh NAIC retrieval before every filing year after 2026 (the PAF methodology is under active review for 2027).