2025 SOA ImpACT Conference: Session 2C: Understanding Complex Assets-11.03.25 Recording

This session will cover complex assets, specifically CLOs (collaterized loan obligations), ABS ( asset backed securities) and MBS (mortgage-backed securities). The focus is on understanding and managing these types of complex assets.We will share insights from the first phase of SOA’s research on the topic, which seeks to answer some of the following questions:-What is driving the use of complex assets in the life insurance and annuity industries and why?-What are the current most common structures and underlyings for complex assets used to support liability and surplus and what are the emerging trends?-What drives variability in cash flows and performance?-How different and how much more volatile are the market values of these assets compared to public corporates?-How do these assets perform in different severities of economic shock events?-How much correlation do these assets have with each other and with public corporates?-How to quantify the liquidity risk to the insurer of holding a given percentage of its portfolio in these assets?We will also have experts on the practical aspects of working with complex assets, including-Modelling and Computational Challenges: These assets need to be projected forward for cash flow testing and PBR. This will cover topics such as modeling prepayments and defaults, fair value determination, , and stress testing as well as best practices for integrating into ALM and capital modeling frameworks.-In Model Application: The problems you may encounter or need to consider. The thought process of examining the model from end to end.