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Structured Securities Group (SSG)

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:

General Information:

Special Comment:

Reporting Interface

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Account Manager
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Contacts for RMBS / CMBS Initiative

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 securitiessupport@naic.org

Questions pertaining to modeling process, analytics & results: 212-398-9000 or SSGinquirydesk@naic.org

Introduction

Page last updated: 1/21/2020

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 2019 Structured Securities modeled data prices for CUSIPs held by insurers is $100 per CMBS CUSIP and $70 per RMBS CUSIP.

New this Year

Beginning in 2018, GSEs started issuing a new type of Credit Risk Transfer transaction which is issued out of a trust and whose cash flows are not directly funded by mortgage loans (“New CRT”). The New CRT transactions have added layers of complexity involving the funding mechanism of the transaction.

As a result, starting year-end 2019, GSE’s New CRT securities are required to be reviewed by the Structured Securities Group (SSG) of the NAIC through either Initial Sufficiency Filing (ISF) or Regulatory Treatment Analysis Service (RTAS) before being evaluated at year-end. This is required to perform appropriate reviews that are necessary to analyze the new structure and certain added complexity of GSE’s New CRTs.

Currently, Fannie Mae’s CAS REMIC and Freddie Mac’s STACR Trust and the planned STACR REMIC are such newer transactions that are subject to the ISF/RTAS filing with the SSG. Please note that ISF or RTAS is to be filed for each transaction, not for each security (CUSIP), and is required only once for the term of the transaction, not annually.

The ISF/RTAS filing is not required for the CAS and STACR transactions that were previously evaluated by the NAIC at previous year-ends (i.e. CAS Debt, STACR Debt, and STACR SPI).

For further information please contact the SSG: SSGInquiryDesk@naic.org

CAS Debt and STACR Debt

In 2019, the SSG will continue to assign NAIC Designations to CAS Debt and STACR Debt securities that were previously evaluated by the NAIC as long as the obligation type and ongoing information requirements are satisfied. The list of these CAS Debt and STACR Debt transactions can be found here.

Timeline for 2019 Surveillance:

October 11, 2019 will be the last day to order and purchase additional modeled results for last year's 2018 portfolio.

October 28, 2019 — Posted Macroeconomic Scenarios and Probability Weightings to be used for the Year End 2019 Annual Surveillance of Insurer Owned RMBS and CMBS.

November 1, 2019— Initial invoice notifications emailed to the designated contact. The amount of the invoice is based on the reported RMBS/CMBS holdings of the 2018 annual statement filing, adjusted for changes reported in first quarter and second quarter 2019 filings.

November 1, 2019 — To be Modeled securities will be uploaded to RMBS/CMBS Securities Listing website. These are based on 2018 annual statement filings, adjusted for changes reported in first quarter and second quarter 2019 filings.

November 1 to 10, 2019 — Companies start submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.

November 1, 2019 to January 1, 2020 — Companies can challenge a securities modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".

November 10, 2019 — 11:59 p.m. CT deadline 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.

December 5, 2019 — Update the To be Modeled securities list with additional requests from the industry and upload to RMBS/CMBS Securities Listing website.

December 19, 2019 — Modeled results made available to users via AVS+.

January 1, 2020 — 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 17, 2020 — Addendum file modeled results made available to users via AVS+.

 

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