Structured Securities Group (SSG)

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.

Contacts:

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


IntroductionPage last updated 11/15/2017

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 the information on this website may be updated frequently. Please check back regularly to ensure you have the latest information. The top right corner shows the date of when the page was last updated and the changes highlighted in yellow.

Pricing: The 2017 Structured Securities modeled data prices for CUSIPs held by insurers will increase to $100 from $88 per CMBS CUSIP and to $70 from $61.60 per RMBS CUSIP.

New This Year

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, 201711:59 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 1, 201811:59 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.

Mid-January, 2018
— Addendum file modeled results will be available to users via AVS+.

reporting interface

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Methodology/Analytics

Key Documents
BlackRock CMBS Methodology 2017

BlackRock RMBS Methodology

Breakpoint Calculation Overview

Documentation Standards for RMBS/CMBS

Frequently Asked Questions 2017

2017 Process and Assumptions
2017 Macro Economic Assumptions

Special Comment:
Private-Label Mortgage Securitization Market Challenges and the Implications for Insurers and Insurance Regulation
December 2016

ABCs of Legal Analysis of RMBS Securitizations

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 securitiessupport@naic.org

Questions pertaining to modeling process, analytics & results: 212.398.9000 or SSGinquirydesk@naic.org