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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
RMBS / CMBS SECURITIES LISTING
Page last updated: 1/27/2023
These securities are based on 2021 year end annual statement filings, adjusted for changes reported in the first quarter and second quarter of 2022 filings, followed by securities requested for consideration (RFC) by the industry.
*Please note that the 2022 Not-Modeled securities represent a subset of the not-modeled universe based on securities that were requested for consideration by the industry. The full results are encompassed in AVS+.
*Securities that had a status change will likely appear as Re-Evaluated in AVS and need to be deleted and re-added to get the results
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.
RMBS/CMBS Securities Not Modeled Reason:
- Out of Scope
- Asset Class (the asset class does not meet the vendor's mandate: e.g. other ABS, non-US, etc.)
- Obligation Type (the asset class is appropriate, but the form of obligation or position in the capital stack is not: e.g. IO, first loss Tranche)
- Insufficient Information (the vendor does not have enough information to model the deal)
- Model (Intex/Trepp do not have a model for the transaction)
- Data (the vendor does not have enough data about the deal/collateral to run analysis)
- Does not meet Initial and/or Ongoing Information Requirements
- Other
- Paid off / Zero Balance
- Invalid – CUSIP number is not valid
- Under NAIC Threshold – the value of the security is below the dollar amount that the NAIC will model
To correct a scientific notation or a formula in the CUSIP column of your .csv file
Please follow the instructions below to see the fields correctly in Microsoft Excel 2010.
1. Open a new blank workbook in Excel.
2. On the Data tab, in the Get External Data group, click "From Text."
3. Browse to locate and open the .csv file.
4. Follow the instructions in the Import Wizard.
- Mark the CUSIP column as a "Text" column.
- Complete all steps in the wizard, and click "Finish" to complete the import operation to display your CUSIPs correctly.
Refer to the following links for more specific importing instructions: