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.
Key Documents
2022
- 2022 Process and Assumptions
RMBS Through-the-Cycle implemented YE 2021
Summary Presentation
NAIC’s CMBS and RMBS 2022 Interim Updates:
Proforma Modeling Results (posted 11/30/22)
RMBS / CMBS SECURITIES LISTING
2021
- 2021 Process and Assumptions
- 2021 Macroeconomic Assumptions
- 2021 Modeled RMBS Securities
- 2021 Modeled CMBS Securities
- 2021 Requested for Consideration but Not-Modeled
- 2021 Securities that had a switch in Status
2020
- 2020 Process and Assumptions
- 2020 Macro Economic Assumptions
- 2020 Modeled RMBS Securities
- 2020 Modeled CMBS Securities
- 2020 Requested for Consideration but Not-Modeled
2019
- 2019 Process and Assumptions
- 2019 Macro Economic Assumptions
- 2019 Modeled RMBS Securities
- 2019 Modeled CMBS Securities
- 2019 Requested for Consideration but Not-Modeled
2018
- 2018 Process and Assumptions
- 2018 Macro Economic Assumptions
- 2018 Modeled RMBS Securities
- 2018 Modeled CMBS Securities
- 2018 Requested for Consideration but Not-Modeled
2017
- 2017 Process and Assumptions
- 2017 Macro Economic Assumptions
- 2017 To be Modeled RMBS Securities
- 2017 To be Modeled CMBS Securities
- 2017 Requested for Consideration but Not-Modeled
2016
- FINAL 2016 Macro Economic Assumptions
- 2016 RMBS Securities
- 2016 CMBS Securities
- 2016 Requested but Not Modeled*
2015
- FINAL 2015 Macro Economic Assumptions
- 2015 RMBS Securities
- 2015 CMBS Securities
- 2015 Not Modeled Securities*
2014
- Final 2014 Macro Economic Assumptions
- Overview of U.S. Insurance Industry Holdings of Modeled Non-Agency Mortgage-Backed Securities, YE2013
- 2014 RMBS Securities Modeled (CSV)
- 2014 CMBS Securities Modeled (CSV)
- 2014 CMBS/RMBS Securities Not Modeled
2013
- 2013 RMBS Securities Modeled (CSV)
- 2013 CMBS Securities Modeled (CSV)
- 2013 Out of Scope Securities (CSV)
2012
- 2012 RMBS Securities Modeled (CSV)
- 2012 CMBS Securities Modeled (CSV)
- 2012 CMBS/RMBS Securities Not Modeled
2011
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
YE2022 Archive
NAIC’s CMBS and RMBS 2022 Interim Updates:
Proforma Modeling Results (posted 11/30/22)
UPDATES AND NEWS
The implementation of the full range of 20 NAIC Designation Categories in the NAIC’s CMBS/RMBS year-end financial modeling took place last 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
In summary:
- 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.
NAIC’s CMBS and RMBS 2022 Interim Updates:
Proforma Modeling Results (posted 11/30/22)
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 further details and latest relevant information, please visit the Valuation of Securities (E) Task Force webpage.
*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 securitiessupport@naic.org
__________
Mortgage Reference Securities (MRS): Securities Listing (Updated 12-12-2022)
Current Year End 2022 list: Updated 12/12/22
2022 To Be Modeled MRS (also listed as part of 2022 To Be Modeled RMBS Securities list on the RMBS/CMBS Securities Listing webpage, and contained in AVS+) Updated 12/12/22
Initial Sufficiency Filing (ISF) Status: GSE’s 2022 Securities Issuance. (updated on 12/12/22. the attached ISF deals have been reviewed and added to the 2022 to be modeled list "ye2022_mrs"
Please note that the B class is currently being excluded as "out of scope obligation type"
Previous year’s 2021 Modeled MRS, the securities in the 2021 Modeled MRS in VOS list will be automatically considered for 2022 year-end and will be updated in VOS. You do not need to add them to your AVS (STS) portfolio.
2021 Modeled MRS in AVS Structured Securities (STS)
*Also, please note we will be updating this list, will post the date updated next to the name.
______________
TIMELINE FOR 2022 SURVEILLANCE:
October 6, 2022 - Last day to order and purchase additional modeled results for last year's 2022 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[1].
November 1, 2022 - 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, 2022 - Companies can submit Additional Securities[2] 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[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, 2022 to January 1, 2023 - Companies can challenge the modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".
November 30, 2022 - NAIC’s CMBS and RMBS 2022 Interim Updates: Proforma Modeling Results (posted 11/30/22)
December 13, 2022 - To-be-Modeled Securities list on RMBS/CMBS Securities Listing webpage was updated with modeling eligibility status of Additional Securities. (updated 12/13/22)
December 20, 2022 - Modeled results made available to users via AVS+ Structured Securities. (updated 12/20/22)
January 1, 2023 (11:59 p.m. CT) - Deadline for submitting Addendum Additional Securities and challenging the modeling eligibility status in AVS+ Structured Securities.
January 20, 2023 - Addendum file modeled results made available to users via AVS+ Structured Securities.
_______________________________________________________
[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.
_____________________________________________________________
YE2021
TIMELINE FOR 2021 SURVEILLANCE:
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[1].
November 1, 2021 - 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, 2021 - Companies can submit Additional Securities[2] 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[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, 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.
TIMELINE FOR 2020 SURVEILLANCE:
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
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+.
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.
New in 2019
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
Timeline for 2018 Surveillance:
October 19, 2018 — Posted Macroeconomic Scenarios and Probability Weightings to be used for the Year End 2018 Annual Surveillance of Insurer Owned RMBS and CMBS.
November 1, 2018— Initial invoice notifications emailed to the designated contact. The amount of the invoice is based on the reported RMBS/CMBS holdings of the 2017 annual statement filing, adjusted for changes reported in first quarter and second quarter 2018 filings.
November 1, 2018 — To be Modeled securities will be uploaded to RMBS/CMBS Securities Listing website. These are based on 2017 annual statement filings, adjusted for changes reported in first quarter and second quarter 2018 filings.
November 1 to 10, 2018 — Companies start submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.
November 1, 2018 to January 1, 2019 — Companies can challenge a securities modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".
November 10, 2018 — 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 4, 2018 — Update the To be Modeled securities list with additional requests from the industry and upload to RMBS/CMBS Securities Listing website.
December 18, 2018 — Modeled results made available to users viaAVS+.
January 1, 2019 — 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 16, 2019 — Addendum file modeled results made available to users via AVS+.
Initial Sufficiency Filing Procedures for CMBS 7/2018
This Modeling Alert discusses how the Structured Securities Group (SSG) applies the documentation, information, data requirements for an Initial Sufficiency Filing (ISF).
On December 27th, we corrected the affected values of the 22 securities discussed in this "Announcement"
New in 2017(9/1/17)
CMBS 2.0 Model Enhancement Presentation:
BlackRock CMBS Methodology 2017
- Implementation of the CMBS model enhancements is expected to take place for the year-end 2017 analysis.
- September 11 - CMBS 2.0 mid-year release. The NAIC's Structured Securities Group is working with BlackRock Solutions to re-model the 2016 universe of CMBS securities, utilizing the updated 2.0 credit model with updated remittance data and economic information as of June 30, 2017. Companies who reported owning CMBS securities in their 2016 annual statement will have access to re-modeled CMBS data in their Structured Securities Portfolio in AVS+. This link will remain available, free of charge, until Nov. 1, 2017.
- If you would like to purchase the entire re-modeled CMBS file and/or the mid-year refresh of the RMBS securities, please contact SBIrequests@naic.org
Timeline for 2017 surveillance:
- November 1, 2017— Initial invoice notifications emailed to the designated contact. The amount of the invoice is based on the reported RMBS/CMBS holdings of the 2016 annual statement filing, adjusted for changes reported in first quarter and second quarter 2017 filings.
- November 1, 2017 — To be Modeled securities will be uploaded to RMBS/CMBS Securities Listing website. These are based on 2016 annual statement filings, adjusted for changes reported in first quarter and second quarter 2017 filings.
- November 1 to 10, 2017 — Companies start submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.
- November 2, 2017 to January 1, 2017 — Companies can challenge a securities modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".
- November 10, 2017 — 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, 2017 — Update the To be Modeled securities list with additional requests from the industry and upload to RMBS/CMBS Securities Listing website.
- December 15, 2017 — Modeled results made available to users via AVS+.
- January 16, 2018 — Addendum file modeled results available to users via AVS+.
Timeline for 2016 surveillance:
- November 1, 2016 — Initial invoice notifications emailed to the designated contact. The amount of the invoice is based on the reported RMBS/CMBS holdings of the 2015 annual statement filing, adjusted for changes reported in first quarter and second quarter 2016 filings.
- November 1, 2016 — To be Modeled securities will be uploaded to RMBS/CMBS Securities Listing website. These are based on 2015 annual statement filings, adjusted for changes reported in first quarter and second quarter 2016 filings.
- November 1 to 11, 2016 — Companies start submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.
- November 2, 2016 to January 1, 2016 — Companies can challenge a securities modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".
- November 11, 2016 — 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 6, 2016 — Update the To be Modeled securities list with additional requests from the industry and upload to RMBS/CMBS Securities Listing website.
- December 16, 2016 — Modeled results made available to users via AVS+.
- January 1, 2017 — 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, 2017 — Addendum file modeled results will be available to users via AVS+.
Timeline for 2015 project:
- November 2, 2015 — Initial invoice notifications emailed to the designated contact. The amount of the invoice is based on the reported RMBS/CMBS holdings of the 2014 annual statement filing, adjusted for changes reported in first quarter and second quarter 2015 filings
- November 2, 2015 — To be Modeled securities will be uploaded to RMBS/CMBS Securities Listing website. These are also based on 2014 annual statement filings, adjusted for changes reported in first quarter and second quarter 2015 filings.
- November 2, 2015 — Companies start submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.
- November 3, 2015 to January 1, 2016 — Companies can challenge the status of a security in AVS+ if they consider that a security was not appropriately evaluated for modeling eligibility
- November 13, 2015 — 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 18, 2015 — Modeled results made available to users via AVS+. January 1, 2016 — 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 15, 2016 — Addendum file modeled results will be available to users via AVS+.
New in 2014:
- Challenge a Security Status if you feel that a security was not appropriately evaluated for modeling eligibility. The form can be filled out in AVS+ under 'Searches > Structured Securities>Challenge STS Security'.
- Request Securities for Consideration will now show if it will be included in 'Phase 1' processing with the initial modeled data or 'Phase 2', which will be included in the addendum file in January.
Timeline for 2014 project:
- September 26, 2014 – Was the last day to submit changes to the current billing contact for your company's 2014 initial invoice. Please Note: If we did not receive any notification from your company prior to this date, the initial invoice will be sent to the current billing contact for that company. If your company is part of a group, the invoice will be sent to the contact for the company in the group that holds the largest assets of RMBS/CMBS securities.
- October 17, 2014 – 5 p.m. CT deadline to order and purchase additional modeled results for last year's 2013 portfolio.
- November 3, 2014 — Initial invoice notifications were emailed to the designated contact. The amount of the invoice is based on the reported RMBS/CMBS holdings of the 2013 annual statement filing, adjusted for changes reported in first quarter and second quarter 2014 filings.
- November 3, 2014 — Companies started submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.
- November 4, 2014 — New this year! Companies can challenge the status of a security in AVS+ if they consider that a security was not appropriately evaluated.
- November 17, 2014 — 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 19, 2014 — Modeled results made available to users via AVS+.
- January 1, 2015 — 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.
- January 16, 2015 — Addendum file modeled results was available to users via AVS+.
Timeline for 2013 project:
- September 30, 2013 – Last day to order and purchase
additional modeled results for a 2012 portfolio. - September 30, 2013 – Last day to submit changes to the contact information for your company's 2013 initial invoice.
- November 1, 2013 – Initial invoice notifications will be emailed
to the designated contact. The amount of the invoice is based
on the reported RMBS/CMBS holdings of the 2012 annual
statement filing, adjusted for changes reported in first quarter
and second quarter filings. - November 1, 2013 – Start submitting additional securities to your portfolio to purchase or to be considered for modeling in
the December file. - November 15, 2013 – 5 p.m. CT deadline for submitting
securities to be considered for modeling to be included in the
December file. - December 19, 2013 – Modeled data was posted to AVS+.
- January 2, 2014 – 7:00 a.m. CT deadline for submitting
securities to be considered for modeling to be included in the addendum file. - Mid-January 2014– Addendum modeled data was posted.
Timeline for 2012 project:
- November 16, 2012 – Deadline for submitting securities to be considered for modeling to be included in the December file.
- December 21, 2012 – RMBS/CMBS modeled data was posted
to AVS.
Timeline for 2011 Project:
- November 16, 2011 – The cutoff date at 5:00PM (CST) for
submitting additional securities for modeling in the December
2011 results. - November 17, 2011 – Additional modeled results available for purchase in the system, after the initial invoice has been paid.
- December 22, 2011 – Modeled data available to insurers.
- January 2, 2012, 7:00 a.m. CT – The cutoff date and time for submitting additional securities to be considered for modeling.
- January 20, 2012 – Addendum modeled data posted.
2011 RMBS/CMBS Modeled Securities Listings 01/20/12
Please see the following files for the RMBS/CMBS securities that were modeled for the 2011 initiative. In the January addendum file, you will find securities that have been modeled but are not necessarily owned by an insurance company as of the June 30, 2011, filing statements. These securities are marked as either RMBSx or CMBSx and have a description in the attached lists that indicates that they are not insurer owned but are available for sale as of January 13, 2012. These additional securities are investment grade bonds that were part of securitizations where another bond in the same deal was held by an insurer. Split-rated securities have to be currently rated at issuance by at least one of the NAIC's Acceptable Rating Organizations (ARO).
To give an example, assume that there are 20 securities that are part of a particular modeled deal, and three of those are non-investment grade, which leaves 17 remaining securities for consideration. Of the 17 remaining if there are two that are owned by insurers as of June 30, 2011, then those two modeled results were included in the December results file and the other 15 that are not owned will be included in the January addendum file. The three non-investment grade securities would be excluded from both files.
Individual results for securities marked RMBSx are available to insurance companies for $70 each and those marked CMBSx are available to insurance companies for $100 each.
Information Specific to 2010 RMBS
- PIMCO Advisory RMBS Methodology 12/7/10
Information Specific to 2010 CMBS
- BlackRock CMBS Methodology 12/7/10
- Request for Proposal on Assessment of Commercial Mortgage-Backed Securities
- Breakpoint Calculation Overview
2010 RMBS/CMBS Addendum Results Made Available on January 21 1/20/11
The NAIC released the 2010 RMBS/CMBS addendum results files on Friday, January 21, 2011. Insurers can use the Automated Valuation Service (AVS) system to retrieve the RMBS/CMBS results files. This information should be used in conjunction with the existing NAIC Valuation of Securities (VOS) CD-ROM and/or AVS. In the NAIC's VOS and AVS products following year-end and addendum processing, RMBS and CMBS securities will be marked as "NR*", indicating the insurer will need to use the RMBS/CMBS CUSIP file in order to map and report the designations of holdings appropriately in 2010 statutory annual statement and RBC filings.
There were a limited number of securities that were originally available for purchase that could not be modeled; please click HERE for the reasons why. Note there are separate tabs for CMBS and RMBS securities.
Categorization of Submitted Securities Not Considered for Modeling 1/7/11
The data modelers have provided categorizations of those securities submitted by insurers via the "missing securities" template that were determined to not be eligible for modeling.
LISTING OF SECURITIES WITH NR* DESIGNATIONS IN AVS THAT CAN BE CONSIDERED FILING EXEMPT 1/7/11
There are 3,484 securities within AVS with NR* Designations and 1/1/2010 Review Dates that were modeled last year but were excluded from this year's modeling process for various reasons. Insurers holding these securities as of 12/31/2010 may override the NR* Designations in favor of Filing Exempt Designations as long as they follow the specific guidelines within the SVO Purposes and Procedures Manual, including the 2nd lowest rating principle. Please CLICK HERE for the listing of securities that fit this categorization.