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:
- 2021 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.
2022 Process and Assumptions
2022 Macroeconomic Assumptions
RMBS Through-the-Cycle implemented YE 2021
BlackRock CMBS Methodology 2017
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:
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 email@example.com
Questions pertaining to modeling process, analytics & results: 212-398-9000 or SSGinquirydesk@naic.org
Page last updated: 11/30/2022
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 2022 Structured Securities modeled data prices for CUSIPs held by insurers is $105 per CMBS CUSIP and $75 per RMBS CUSIP.
The implementation of the full range of 20 NAIC Designation Categories in the NAIC’s CMBS/RMBS year-end financial modeling will take place this year-end 2022. This is to support the updated Risk Based Capital factors that were adopted in 2021. As part of the implementation, several changes are being made to the macroeconomic scenarios and probability assignments.
Please refer to a recent amendment to Part 4 of the P&P Manual and the Modeling Update meeting material prepared for the Valuation of Securities (E) Task Force:
- Part 4 of the P&P Manual Update Amendment to the P&P Manual updating Part Four for NAIC designation categories and additional price points
- And Attachment Eleven for Macroeconomic Scenarios and Assignment of Probabilities for CMBS and RMBS https://content.naic.org/sites/default/files/national_meeting/VOSTF%20Materials%208.11.2022%20v7.pdf
- The price breakpoint calculation for Legacy CMBS/RMBS and NAIC Designation Category mapping for Non-legacy CMBS/RMBC will reflect the updated RBC factors.
- The total number of scenarios increases to 8 from 4; these scenarios are meant to be through-the-cycle.
- Probability weights have been reallocated to accommodate the additional scenarios.
To assist insurers in their efforts to assess the impact of these changes, the NAIC will make an interim update - proforma modeling results - available to insurers free of charge later this year, based on each insurer’s year-end 2021 holdings.
*Please note that these interim results are for informational purposes only and cannot be used for investment reporting.
Also of note from last year:
Each financially modeled Non-Legacy Security (RMBS and CMBS that closed on or after January 1, 2013*) will receive a single NAIC Designation and NAIC Designation category rather than Price Grids (breakpoints). Price Grids will continue to be provided for financially modelled RMBS and CMBS Legacy Securities (RMBS and CMBS that closed prior to January 1, 2013).
You can see additional details related to this change on AVS+ Bulletin Board and in the amendment document adopted by the Valuation of Securities (E) Task Force.
*For re-REMICs, the Legacy and Non-Legacy classification of underlying securities will determine whether each RMBS/CMBS is to be assigned a single NAIC Designation and Designation Category or is subject to price breakpoints.
If you have any questions, please contact us at 816-783-8707 or firstname.lastname@example.org
October 7, 2022 - Last day to order and purchase additional modeled results for last year's 2021 portfolio.
November 1, 2022 - Macroeconomic Scenarios and Probability Weightings for the Year-End 2022 Annual Surveillance of Insurer-Owned RMBS and CMBS will be posted on the Structured Securities Reporting Homepage.
November 1, 2022 - 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.
November 1, 2022 - Of the Initial Securities, 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, 2022 - Companies can submit Additional Securities to their portfolios to be considered for modeling and inclusion in the December file.
November 14, 2022 (11:59 p.m. CT) - Deadline for submitting Additional Securities 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, 2022 to January 1, 2023 - Companies can challenge the modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".
November 3 to November 30, 2022 - MID-YEAR FINANCIAL MODELING OF RMBS and CMBS results made available to users 2021 STS Portfolio in AVS+
Early-December 2022 - To-be-Modeled Securities list on RMBS/CMBS Securities Listing webpage will be updated with modeling eligibility status of Additional Securities.
Mid-December, 2022 - Modeled results made available to users via AVS+ Structured Securities.
January 1, 2023 (11:59 p.m. CT) - Deadline for submitting Addendum Additional Securities and challenging the modeling eligibility status in AVS+ Structured Securities.
Mid-January, 2023 - Addendum file modeled results made available to users via AVS+ Structured Securities.
 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.
 Additional Securities - RMBS/CMBS holdings of companies that were not captured in the Initial Securities list.