Reporting Instructions - Structured Securities
Reporting Interface

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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

Questions pertaining to modeling process, analytics & results: 212.398.9000 or

Reporting Instructions

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 Securities Valuation 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.
  • 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