The NAIC's Structured Securities Group (SSG), another group within the Capital Markets & Investment Analysis Office, is responsible for the analysis of Residential Mortgage Backed Securities (RMBS) and Commercial Mortgage Backed Securities (CMBS) owned by state regulated insurance companies subject to Statement of Statutory Accounting Principles No. 43 Revised - Loan-Backed and Structured Securities. Insurance companies report ownership of securities to the Capital Markets and Investment Analysis Office when such securities are eligible for filing on Schedule D or DA of the NAIC Financial Statement Blank.
The SSG group primarily support the Valuation of Securities Task Force (VOS/TF), a subgroup of the Financial Condition (E) Committee, but also supports other Task Forces and Working Groups that involve investments.
Please contact the SSG at SSGInquiryDesk@naic.org for general information.
For specific issues or concerns please contact Eric Kolchinsky, Director, Structured Securities Group , at 212.386.1943.or EKolchinsky@NAIC.org
Filing Instructions & Forms:
- 2020 Mortgage-Referenced Securities designations are now available for CAS and STACR Debt in AVS+.
- Designation Assignment to Mortgage-Referenced Securities
- Regulatory Treatment Analysis Service (RTAS) Application
Contact Eric Kolchinsky or call at 212.386.1943.
BlackRock CMBS Methodology 2017
2020 Process and Assumptions
2020 Macro Economic Assumptions
Private-Label Mortgage Securitization Market Challenges and the Implications for Insurers and Insurance Regulation
The NAIC looks forward to working with insurers to provide the appropriate structured securities information to facilitate the year-end Annual Statement filing process. Please direct inquiries as follows:
Statutory accounting and/or RBC treatment: 816-783-8400, select RMBS option.
Billing or AVS+ questions: 816-783-8300, select option #5 or email@example.com
Questions pertaining to modeling process, analytics & results: 212-398-9000 or SSGinquirydesk@naic.org
Page last updated: 3/30/2021
This website is your source for information on annual Structured Securities surveillance, including background information, updated project details as they become available, and how to file these securities in your Annual Statement filing.
Please note the information on this website may be updated frequently. Please check back regularly to ensure you have the latest information. The top right corner shows the date of when the page was last updated and the changes highlighted in yellow.
Pricing: The 2020 Structured Securities modeled data prices for CUSIPs held by insurers is $100 per CMBS CUSIP and $70 per RMBS CUSIP.
Please note that this year the Zero Loss threshold for CMBS and RMBS were lowered.
The Zero Loss threshold was lowered for 2020 from the usual Intrinsic Price* of almost 100/PAR to 99.15.
|AVR_OR_NON_AVR||Zero Loss threshold||
NAIC_1 NAIC_2 NAIC_3 NAIC_4 NAIC_5 ZERO_LOSS
100.00 102.17 106.96 118.75 134.90 Y
99.80 100.66 102.48 106.90 123.94 Y
Please refer to the Breakpoint Calculation Overview to better understand how the breakpoints are calculated.
*Intrinsic Price is defined as difference between Remaining Par Value and Expected Losses discounted at the coupon rate of the security (adjusted in case of original issue discount securities to book yield at original issue, and in case of floating rate securities, discounted using LIBOR curve + Origination DM)
Price Grids are CUSIP specific price matrices containing five price breakpoints; i.e., each price corresponding to a specific NAIC Designation category.
2020 Breakpoints will match to NAIC Designations with a modifier as explained in the following document, Adopted 3/22/2021
This document also discusses the adopted recommendation to the way RMBS & CMBS securities that were issued after January 2013 will be Designated starting Year-End 2021.
Amendment to the Purposes and Procedures Manual of the NAIC Investment Analysis Office (P&P Manual) to Update the Financial Modeling Instructions for RMBS/CMBS Securities and Direct IAO Staff to Produce NAIC Designation and NAIC Designations Categories for Non-Legacy Securities
For further details please visit the VOSTF webpage https://content.naic.org/cmte_e_vos.htm
October 11, 2020 will be the last day to order and purchase additional modeled results for last year's 2019 portfolio.
October 30, 2020 — Posted Macroeconomic Scenarios and Probability Weightings to be used for the Year End 2020 Annual Surveillance of Insurer Owned RMBS and CMBS.
November 2, 2020— Initial invoice notifications emailed to the designated contact. The amount of the invoice is based on the reported RMBS/CMBS holdings of the 2019 annual statement filing, adjusted for changes reported in first quarter and second quarter 2020 filings.
November 2, 2020 — To be Modeled securities will be uploaded to RMBS/CMBS Securities Listing website. These are based on 2019 annual statement filings, adjusted for changes reported in first quarter and second quarter 2020 filings.
November 2 to 15, 2020 — Companies start submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.
November 15, 2020 — 11:59 p.m. CT deadline was extended from Nov 10, for submitting securities to be considered for modeling to be included in the December file. Submissions received after this date will be considered for modeling in the January addendum file.
November 2, 2020 to January 1, 2021 — Companies can challenge a securities modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".
December 10, 2020 — Update the To be Modeled securities list with additional requests from the industry and upload to RMBS/CMBS Securities Listing website.
December 21, 2020 — Modeled results made available to users via AVS+.
January 1, 2021 — 11:59 p.m. CT deadline for submitting securities to be considered for modeling to be included in the January file, and to challenge the status of a security in AVS+ if they consider that a security was not appropriately evaluated for modeling eligibility.
January 20, 2021 — Addendum file modeled results made available to users via AVS+.