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.
RMBS Through-the-Cycle implemented YE 2021
BlackRock CMBS Methodology 2017
2021 Process and Assumptions
2021 Macroeconomic 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 firstname.lastname@example.org
Questions pertaining to modeling process, analytics & results: 212-398-9000 or SSGinquirydesk@naic.org
Page last updated: 1/20/2022
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 2021 Structured Securities modeled data prices for CUSIPs held by insurers is $105 per CMBS CUSIP and $75 per RMBS CUSIP.
To assist insurers in their efforts to assess the impact of several changes that have taken place since last year-end, the NAIC completed an interim update on insurer's year-end 2020 holdings and has made them available to insurers free of charge.
The mid-year financial modeling reflects:
- Transition to Single Designation and Designation Category for RMBS and CMBS closed on or after January 1, 2013 (Non-Legacy)
- RMBS Through-the-Cycle scenarios
- Updated state of COVID-19 pandemic and their impact on the commercial and residential real estate markets
Please login to your STS Portfolio in AVS+ and click on the green buttons to download your interim RMBS and CMBS results: "Generate CMBS/RMBS Mid-Year Breakpoint Data” button for financially modeled Legacy CMBS/RMBS and "Generate CMBS/RMBS Mid-Year Designation Data” button for financially modeled Non-Legacy CMBS/RMBS. This link will remain available to you in your Structured Securities portfolio in AVS+ until November 30, 2021.
UPDATE: If you are having trouble finding the green button highlighted, then search the 2020 portfolio in STS to see it green/activated there.
*Please note that these interim results are for informational purposes only and cannot be used for investment reporting.
**Please also note that this 2021 interim update, as well as the upcoming official year-end 2021 results, reflects partial implementation of the expanded, more granular NAIC Designation Categories. The full implementation of 20 NAIC Designation Categories for financially modeled RMBS and CMBS is expected to take place in 2022. Please refer to a recent amendment to the P&P Manual and Modeling Update 2021 for more details and language around Zero-Loss securities and NIAC 1.A Designation.
The official upcoming year-end 2021 results are scheduled to be released in mid to end of December. Timeline and updates are provided on SSG's website.
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 below, adopted by the Valuation of Securities (E) Task Force below.
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 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.
October 8, 2021 - Last day to order and purchase additional modeled results for last year's 2020 portfolio.
November 1, 2021 - Macroeconomic Scenarios and Probability Weightings for the Year-End 2021 Annual Surveillance of Insurer-Owned RMBS and CMBS will be posted on the Structured Securities Reporting Homepage.
November 1, 2021 - 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, 2021 - 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, 2021 - Companies can submit Additional Securities to their portfolios to be considered for modeling and inclusion in the December file.
November 14, 2021 (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, 2021 to January 1, 2022 - Companies can challenge the modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".
December 10, 2021 - To-be-Modeled Securities list on RMBS/CMBS Securities Listing webpage will be updated with modeling eligibility status of Additional Securities.
December 20, 2021 - Modeled results made available to users via AVS+ Structured Securities.
January 1, 2021 (11:59 p.m. CT) - Deadline for submitting Addendum Additional Securities and challenging the modeling eligibility status in AVS+ Structured Securities.
January 20, 2022 - Addendum file modeled results made available to users via AVS+ Structured Securities.
 Initial Securities - RMBS/CMBS reported in the 2020 annual statement filing, adjusted for changes reported in the first quarter and second quarter 2021 filings.
 Additional Securities - RMBS/CMBS holdings of companies that were not captured in the Initial Securities list.