Dechert Files Comment Letter in Response to NAIC's Proposal for Multi-Collateral Structured Credit Investments

On October 2, 2026, Dechert submitted a comment letter to the NAIC's Statutory Accounting Principles (E) Working Group on Agenda Item 2026-10, proposing amendments to SSAP No. 26 (Bonds) that introduce a self-liquidation test and an embedded Asset-Liability Management (ALM) risk test under the Principles-Based Bond Definition. This has to do with the treatment of Multi-Collateral Structured Credit Investments—although it could potentially sweep up a lot more.

As structured credit markets and their investor base continue to converge, we expect to engage more regularly with NAIC proposals touching the markets our clients operate in, and we're glad to share our perspective here.

In this case, we think tools already exist (or could be enhanced) to address the perceived issues, with real potential for unintended consequences across the market.

As always, we've aimed to offer constructive, specific recommendations, including enhanced reporting and disclosure, objective methodology-anchored criteria, prospective application with grandfathering for existing securities, and clarity on how any new test interacts with existing accounting frameworks.

Read “Dechert Comment Letter on Agenda Item 2026-10: Proposed Amendments to SSAP No. 26—Bonds (Principles-Based Bond Definition and Embedded ALM Risk)” authored by John Timperio, Jay Alicandri and Chris Duerden.