The financial modeling methodology used by the SSG for RMBS and CMBS is described in Part Seven of the Purposes and Procedures Manual of the NAIC Investment Analysis Office.

• Financial modeling results in the generation of probability weighted net present values, which we call Price Grids.

  For further detail please read the Breakpoint Calculation Overview

• 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 on 12/23/2020

  Amendment to the Purposes and Procedures Manual of the NAIC Investment Analysis Office (P&P Manual) of Instructions to Map Financial Modeled RMBS/CMBS Security NAIC Designations to NAIC Designations Categories – Revised for zero-loss securities

  For further details please visit the VOSTF webpage /cmte_e_vos.htm

• Each breakpoint on a Price Grid is the minimum price point (Book Adjusted Carrying Value) that tips the NAIC Designation for the RMBS/CMBS CUSIP into the next NAIC Designation category.
• Two Price Grids are generated for every CUSIP: one for insurance companies that maintain an asset valuation reserve and another for insurance companies that do not.
• Not all securities submitted for consideration will be modeled. Reasons for why they were not modeled can be found on the RMBS/CMBS Securities Listing page.

Insurance companies use the Prices Grids in accordance with instructions contained in Loan Backed and Structured Securities, in the NAIC Accounting Practices and Procedures Manual.

• The insurance company first derives a final NAIC Designation for the RMBS or CMBS and they then use that final NAIC Designation to derive the risk-based capital (RBC) applicable to the RMBS or CMBS. 

Sample 2013 RMBS & CMBS File Available for Review (XLS)
The NAIC has made available a sample file of the 2014 RMBS and CMBS modeled results, for insurers and other entities needing specifications to interface with software for filing the information within their 2014 annual statement. The modeled results will be in comma-separated values (csv) file containing the following 12 fields.

• Nine-digit CUSIP field
• Type
• AVR or NON-AVR   Designation
• NAIC 1
• NAIC 2
• NAIC 3
• NAIC 4
• NAIC 5
• Zero Loss
• Date Last Modeled
• Invoice Number
• Order Date