|Page last updated 1/19/2017
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 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, 2016 — 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.
December 6, 2016 — Update the To be Modeled securities list with additional requests from the industry and upload to RMBS/CMBS Securities Listing website.
December 16, 2016 — Modeled results made available to users via AVS+.
January 1, 2017 — 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.
January 17, 2017 — Addendum file modeled results will be available to users via AVS+.