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, 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

Filing Instructions & Forms:



Structured Securities
reporting interface

Access the system in AVS+

View a tutorial
Learn how to use the system

User's guide
Review the system

Account Manager
View the invoice details and
pay online.

 

Introduction

Page last updated 9/13/2016

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.

Pricing: The 2016 Structured Securities modeled data prices for CUSIPs held by insurers will remain the same as in the past with $88 per CMBS CUSIP and $61.60 per RMBS CUSIP.

Note: For Mortgage-Referenced Securities (such as STACR or CAS securities) filing information click on Guideline for filing Mortgage Referenced Securities.

 

Timeline for 2016 surveillance:

November 1, 2016 — Initial invoice notifications emailed to the designated contact. The amount of the invoice is based on the reported RMBS/CMBS holdings of the 2015 annual statement filing, adjusted for changes reported in first quarter and second quarter 2016 filings.

November 1, 2016 — To be Modeled securities will be uploaded to RMBS/CMBS Securities Listing website. These are  based on 2015 annual statement filings, adjusted for changes reported in first quarter and second quarter 2016 filings.

November 1 to 11, 2016 — Companies start submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.

November 2, 2016 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 11, 201611:59 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.

Early December, 2016 — Update the To be Modeled securities list with additional requests from the industry and upload to RMBS/CMBS Securities Listing website.

Mid-December , 2016 — Modeled results made available to users via AVS+.

January 1, 201711:59 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, 2017 — Addendum file modeled results will be available to users via AVS+.

 

Methodology/Analytics

Key Documents
BlackRock CMBS Methodology

BlackRock RMBS Methodology

Breakpoint Calculation Overview

Documentation Standards for RMBS/CMBS

2015 Process and Assumptions

FINAL 2015 Macro Economic Assumptions

Special Comment:
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 questions:  816.783.8300, select option #5 or prodserv@naic.org

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