Compliance & RBC · T618 · NAIC Life RBC

NAIC CLO/CBO/CDO Tranche RBC Factor Calculator

Recomputes the per-tranche NAIC Life RBC capital charge for CLO/CBO/CDO bond tranches against the LR002 Column (2) factor grid adopted by the RBC Investment Risk & Evaluation (E) Working Group (Proposal 2026-12-IRE, effective for YE2026 filings), including the flat 11.77% surcharge for a BSL thin tranche (NAIC designation 2.C or below, current thickness ≤4%). Sums per-tranche requirements into a portfolio total.

⚠ This tool recomputes a prescribed charge from your declared inputs. It does not derive a NAIC designation from underlying loan data, does not model the CLO Portfolio Adjustment Factor, and does not audit whether your own rating or thickness determination is correct. A match reads "recompute matches the adopted grid," never "your filing is compliant."

NAIC RBC LR002 Zero PII Client-Side

Scope & reliance: 🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only. Factor table pinned as a dated policy parameter (vintage: 2026-12-IRE, adopted 2026-06-23, YE2026 filing); verify against a fresh NAIC retrieval before relying on any output for a filing after 2026. Deterministic logic · no inference · zero PII · CC BY 4.0.

Tranches

NAIC Designation	Thin?	Thickness %	BACV ($)