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.

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+.