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Archive Information

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, 201511:59 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, 201611:59 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, 20145 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, 201411:59 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

Information Specific to 2010 CMBS


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.

 

RMBS/CMBS Modeled Securities

2015

 

2014

2013 2012 2011
 

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