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.
Contacts:
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:
- 2024 Mortgage-Referenced Securities designations are now available for CAS and STACR Debt in AVS+ . (Published 12/20/2024)
- Designation Assignment to Mortgage-Referenced Securities (needs to be updated with new 19 RBC factors)
- Regulatory Treatment Analysis Service (RTAS) Application
Contact Eric Kolchinsky or call at 212.386.1943.
General Information:
Special Comment:
Online Demos
General Info and invoice details
Searching securities
Portfolio access
User's guide
Review the system
Account Manager
View the invoice details and
pay online.
YE Process and Assumptions
Macroeconomic Assumptions*
* Through-the-Cycle assumptions will remain the same YOY
Key Documents
BlackRock CMBS Methodology 2017
Breakpoint Calculation Overview
Frequently Asked Questions 2017
Initial Sufficiency Filing Procedures for CMBS
Special Comment:
Private-Label Mortgage Securitization Market Challenges and the Implications for Insurers and Insurance Regulation
December 2016
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:
NAIC Help Center (login with your VISION or AVS+ ID to create a help request)
Statutory accounting and/or RBC treatment: 816-783-8400, select RMBS option.
Billing or AVS+ questions: 816-783-8300, select option #5 or securitiessupport@naic.org
Questions pertaining to modeling process, analytics & results: 212-398-9000 or SSGinquirydesk@naic.org
Page last updated: 12/20/2024
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 that the contents of this website are updated periodically to provide the most up-to-date information. Please check back regularly to ensure that you have the latest information.
Pricing: The 2024 Structured Securities modeled data prices increased by $5 this year, CUSIPs held by insurers are now $110 per CMBS CUSIP and $80 per RMBS CUSIP.
2024 Year End
First Loss traches being modeled this year:
As a reminder, any designation for a first-loss security that is a residual pursuant to SSAP No. 21 does not impact the accounting and reporting of that item. All residuals shall follow the accounting guidance in SSAP No. 21 and should be reported as a residual on Schedule BA
If you have any questions, please contact us at 816-783-8707 or ssginquirydesk@naic.org
September 27, 2024 to October 15, 2024 - Third Party Administrators (TPA) setup for the 2024 Surveillance.
October 4, 2024 - Last day to order and purchase additional modeled results for last year's 2023 portfolio.
November 1, 2024 – Through-the-cycle Macroeconomic Scenarios and Probability Weightings for the Year-End Annual Surveillance of Insurer-Owned RMBS and CMBS will remain the same (through the cycle) and are posted on the Structured Securities Homepage
November 1, 2024 - Initial invoice notifications will be emailed to the designated contact. The amount of the invoice is based on the modeling eligibility status of Initial Securities[1].
November 1, 2024 - Of the Initial Securities[1], those RMBS/CMBS that are pending to be modeled (To-be-Modeled Securities) will be posted on the RMBS/CMBS Securities Listing webpage.
November 1 to 14, 2024 - Companies can submit Additional Securities[2] to their portfolios to be considered for modeling and inclusion in the December file.
November 14, 2024 (11:59 p.m. CT) - Deadline for submitting Additional Securities[2] to be considered for modeling and inclusion in the December file. Submissions received after this date (Addendum Additional Securities) will be considered for modeling and inclusion in the January addendum file.
November 1, 2024 to January 1, 2025 - Companies can challenge the modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".
December 18, 2024 - To-be-Modeled Securities list on RMBS/CMBS Securities Listing webpage updated with modeling eligibility status for Securities Requested for Consideration.
December 20, 2024 - Modeled results made available to users via AVS+ Structured Securities.
January 1, 2025 (11:59 p.m. CT) - Deadline for submitting Addendum Additional Securities and challenging the modeling eligibility status in AVS+ Structured Securities.
January 24, 2025 - Addendum file modeled results made available to users via AVS+ Structured Securities. 30 more CUSIPS pending shortly.
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[1] Initial Securities - RMBS/CMBS reported in the previous year's annual statement filing, adjusted for changes reported in the first quarter and second quarter of current year filings.
[2] Additional Securities - RMBS/CMBS holdings of companies that were not captured in the Initial Securities list.