||Page last updated 11/17/2015
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 2015 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 please see the SSG section of the Capital Markets & Investment Analysis Office website under Filing Instructions & Forms.
Certain Zero-Balance Securities
There are 257 non-zero balance securities that were incorrectly classified as zero balance. Due to the misclassification, the users of AVS+ have not been able to submit these affected securities for consideration to be included in the Phase I financial modeling of 2015.
The list of these CUSIPs can be found here.
We will financially model these 257 securities and plan to make the results available to users at approximately the same time the Phase I are released via AVS+ in Mid/Late December 2015. The results for those affected securities should be available to be added to your portfolio shortly after the Phase I results release.
We apologize for any inconvenience this may have caused. Please contact us at email@example.com or 816.783.8300 with any questions you might have.
Purchasing 2014 RMBS/CMBS securities:
We are currently not accepting requests to purchase RMBS and CMBS securities from the previous year-end modeling. We will resume the purchasing capabilities in November for the upcoming year-end modeling results.
Timeline for 2015 surveillance:
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, 2015 — 11:59 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.
Mid/Late December 2015 — Modeled results made available to users via AVS+.
January 1, 2015 — 11:59 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 2015 — Addendum file modeled results will be available to users via AVS+.