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RMBS / CMBS Modeled Securities

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Contacts for RMBS / CMBS Initiative

The 不良研究所官方 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:

(login with your VISION or AVS+ ID to create a help request)

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

 

 

Archive Information

YE2022 Archive听

不良研究所官方鈥檚 CMBS and RMBS 2022 Interim Updates:
Proforma Modeling Results (posted 11/30/22)

UPDATES AND NEWS

The implementation of the full range of 20 不良研究所官方 Designation Categories in the 不良研究所官方鈥檚 CMBS/RMBS year-end financial modeling took place last year-end 2022. This is to support the updated Risk Based Capital factors that were adopted in 2021. As part of the implementation, several changes are being made to the macroeconomic scenarios and probability assignments.

Please refer to a recent amendment to Part 4 of the P&P Manual and the Modeling Update meeting material prepared for the Valuation of Securities (E) Task Force:

In summary:

  • The price breakpoint calculation for Legacy CMBS/RMBS and 不良研究所官方 Designation Category mapping for Non-legacy CMBS/RMBC will reflect the updated RBC factors.
  • The total number of scenarios increases to 8 from 4; these scenarios are meant to be through-the-cycle.
  • Probability weights have been reallocated to accommodate the additional scenarios.

不良研究所官方鈥檚 CMBS and RMBS 2022 Interim Updates:
Proforma Modeling Results (posted 11/30/22)

Also of note from last year:

Each financially modeled Non-Legacy Security (RMBS and CMBS that closed on or after January 1, 2013*) will receive a single 不良研究所官方 Designation and 不良研究所官方 Designation category rather than Price Grids (breakpoints). Price Grids will continue to be provided for financially modelled RMBS and CMBS Legacy Securities (RMBS and CMBS that closed prior to January 1, 2013).

You can see additional details related to this change on听听Bulletin Board and in the amendment document adopted by the Valuation of Securities (E) Task Force.

For further details and latest relevant information, please visit听the听Valuation of Securities (E) Task Force听webpage.

听

*For re-REMICs, the Legacy and Non-Legacy classification of underlying securities will determine whether each RMBS/CMBS is to be assigned a single 不良研究所官方 Designation and Designation Category or is subject to price breakpoints.

If you have any questions, please听contact us at 816-783-8707 or听securitiessupport@naic.org

听

__________

Mortgage Reference Securities (MRS): Securities Listing听(Updated 12-12-2022)

Current Year End 2022 list:听Updated 12/12/22

2022 To Be Modeled MRS (also listed as part of 2022 To Be Modeled RMBS Securities list on the听RMBS/CMBS Securities Listing听webpage, and contained in AVS+) Updated 12/12/22

Initial Sufficiency Filing (ISF) Status: GSE鈥檚 2022 Securities Issuance.听(updated on 12/12/22. the attached ISF deals have been reviewed听and added to the 2022 to be modeled list "ye2022_mrs"

Please note that the B class is currently being excluded as "out of scope obligation type"听

Previous year鈥檚 2021 Modeled MRS, the securities in the 2021 Modeled MRS in VOS list will be automatically considered for 2022 year-end and will be updated in VOS. You do not need to add them to your AVS (STS) portfolio.

2021 Modeled MRS in VOS

2021 Modeled MRS in AVS Structured Securities (STS)

*Also, please note we will be updating this list, will post the date updated next to the name.

______________

TIMELINE FOR 2022 SURVEILLANCE:

听

October 6, 2022听- Last day to order and purchase additional modeled results for last year's 2022听portfolio.

November 1, 2022听- Macroeconomic Scenarios and Probability Weightings for the Year-End 2022听Annual Surveillance of Insurer-Owned RMBS and CMBS will be posted on the听Structured Securities Reporting听Homepage.

November 1, 2022听- Initial invoice notifications will be emailed to the designated contact. The amount of the invoice is based on the modeling eligibility status of Initial Securities[1].

November 1, 2022听- Of the Initial Securities[1], those RMBS/CMBS that are pending to be modeled (To-be-Modeled Securities) will be posted on the听RMBS/CMBS Securities Listing听webpage.

November 1 to 14, 2022听- Companies can submit Additional Securities[2]听to their portfolios to be considered for modeling and inclusion in the December file.

November 14, 2022听(11:59 p.m. CT)听-听Deadline听for submitting Additional Securities[2]听to be considered for modeling and inclusion in the December file. Submissions received after this date (Addendum Additional Securities) will be considered for modeling and inclusion in the January addendum file.

November 1, 2022 to January 1, 2023听- Companies can challenge the modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".

November 30, 2022 -听不良研究所官方鈥檚 CMBS and RMBS 2022 Interim Updates:听Proforma Modeling Results (posted 11/30/22)

December 13, 2022听- To-be-Modeled Securities list on听RMBS/CMBS Securities Listing听webpage was updated with modeling eligibility status of Additional Securities. (updated 12/13/22)

December 20, 2022听- Modeled results made available to users via听听Structured Securities. (updated 12/20/22)

January 1, 2023听(11:59 p.m. CT)听-听Deadline听for submitting Addendum Additional Securities and challenging the modeling eligibility status in听听Structured Securities.

January 20, 2023听- Addendum file modeled results made available to users via听听Structured Securities.

_______________________________________________________

[1]听Initial Securities - RMBS/CMBS reported in the previous year's annual statement filing, adjusted for changes reported in the first quarter and second quarter of current year filings.

[2]听Additional Securities - RMBS/CMBS holdings of companies that were not captured in the Initial Securities list.

听

_____________________________________________________________

YE2021

TIMELINE FOR 2021 SURVEILLANCE:

October 8, 2021听- Last day to order and purchase additional modeled results for last year's 2020听portfolio.

November 1, 2021听- Macroeconomic Scenarios and Probability Weightings for the Year-End 2021听Annual Surveillance of Insurer-Owned RMBS and CMBS will be posted on the听Structured Securities Reporting听Homepage.

November 1, 2021听- Initial invoice notifications will be emailed to the designated contact. The amount of the invoice is based on the modeling eligibility status of Initial Securities[1].

November 1, 2021听- Of the Initial Securities[1], those RMBS/CMBS that are pending to be modeled (To-be-Modeled Securities) will be posted on the听RMBS/CMBS Securities Listing听webpage.

November 1 to 14, 2021听- Companies can submit Additional Securities[2]听to their portfolios to be considered for modeling and inclusion in the December file.

November 14, 2021听(11:59 p.m. CT)听-听Deadline听for submitting Additional Securities[2]听to be considered for modeling and inclusion in the December file. Submissions received after this date (Addendum Additional Securities) will be considered for modeling and inclusion in the January addendum file.

November 1, 2021 to January 1, 2022听- Companies can challenge the modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".

December 10, 2021听- To-be-Modeled Securities list on听RMBS/CMBS Securities Listing听webpage will be updated with modeling eligibility status of Additional Securities.

December 20, 2021听- Modeled results made available to users via听听Structured Securities.

January 1, 2021听(11:59 p.m. CT)听-听Deadline听for submitting Addendum Additional Securities and challenging the modeling eligibility status in听听Structured Securities.

January 20, 2022听- Addendum file modeled results made available to users via听听Structured Securities.

听

TIMELINE FOR 2020 SURVEILLANCE:

October 11, 2020听will be the last day to order and purchase additional modeled results for last year's 2019听portfolio.

October 30, 2020听鈥 Posted Macroeconomic Scenarios and Probability Weightings to be used for the Year End 2020听Annual Surveillance of Insurer Owned RMBS and CMBS.

November 2, 2020鈥 Initial invoice notifications emailed to the designated contact. The amount of the invoice is based on the reported RMBS/CMBS holdings of the 2019听annual statement filing, adjusted for changes reported in first quarter and second quarter 2020听filings.

November 2, 2020听鈥 To be Modeled securities will be uploaded to听RMBS/CMBS Securities Listing听website. These are based on 2019听annual statement filings, adjusted for changes reported in first quarter and second quarter 2020听filings.

November 2 to 15, 2020听鈥 Companies start submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.

November 15, 2020听鈥 11:59 p.m. CT听deadline was extended from Nov 10, 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.

November 2, 2020 to January 1, 2021听鈥 Companies can challenge a securities modeling eligibility status in AVS+ under the "Searches > Structured Securities > Challenge STS Security".

December 10, 2020听鈥 Update the To be Modeled securities list with additional requests from the industry and upload to听RMBS/CMBS Securities Listing听website.

December 21, 2020听鈥 Modeled results made available to users via听.

January 1, 2021听鈥斕11:59 p.m. CT deadline听for submitting securities to be considered for modeling to be included in the January file, and to challenge the status of a security in听听if they consider that a security was not appropriately evaluated for modeling eligibility.

January 20, 2021听鈥 Addendum file modeled results made available to users

TIMELINE FOR 2019 SURVEILLANCE:

October 11, 2019听will be the last day to order and purchase additional modeled results for last year's 2018 portfolio.

October 28, 2019听鈥 Posted Macroeconomic Scenarios and Probability Weightings to be used for the Year End 2019 Annual Surveillance of Insurer Owned RMBS and CMBS.

November 1, 2019鈥 Initial invoice notifications emailed to the designated contact. The amount of the invoice is based on the reported RMBS/CMBS holdings of the 2018 annual statement filing, adjusted for changes reported in first quarter and second quarter 2019 filings.

November 1, 2019听鈥 To be Modeled securities will be uploaded to听RMBS/CMBS Securities Listing听website. These are based on 2018 annual statement filings, adjusted for changes reported in first quarter and second quarter 2019 filings.

November 1 to 10, 2019听鈥 Companies start submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.

November 1, 2019 to January 1, 2020听鈥 Companies can challenge a securities modeling eligibility status in听听under the "Searches > Structured Securities > Challenge STS Security".

November 10, 2019听鈥斕11:59 p.m. CT deadline听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, 2019听鈥 Update the To be Modeled securities list with additional requests from the industry and upload to听RMBS/CMBS Securities Listing听website.

December 19, 2019听鈥 Modeled results made available to users via听.

January 1, 2020听鈥斕11:59 p.m. CT deadline听for submitting securities to be considered for modeling to be included in the January file, and to challenge the status of a security in听听if they consider that a security was not appropriately evaluated for modeling eligibility.

January 17, 2020听鈥 Addendum file modeled results made available to users via听.

听

CAS Debt and STACR Debt

In 2019, the SSG will continue to assign 不良研究所官方 Designations to CAS Debt and STACR Debt securities that were previously evaluated by the 不良研究所官方 as long as the obligation type and ongoing information requirements are satisfied. The list of these CAS Debt and STACR Debt transactions can be found听here.

听

New in 2019

Beginning in 2018, GSEs started issuing a new type of Credit Risk Transfer transaction which is issued out of a trust and whose cash flows are not directly funded by mortgage loans (鈥淣ew CRT鈥). The New CRT transactions have added layers of complexity involving the funding mechanism of the transaction.

As a result, starting year-end 2019, GSE鈥檚 New CRT securities are required to be reviewed by the Structured Securities Group (SSG) of the 不良研究所官方 through either Initial Sufficiency Filing (ISF) or Regulatory Treatment Analysis Service (RTAS) before being evaluated at year-end. This is required to perform appropriate reviews that are necessary to analyze the new structure and certain added complexity of GSE鈥檚 New CRTs.

Currently, Fannie Mae鈥檚 CAS REMIC and Freddie Mac鈥檚 STACR Trust and the planned STACR REMIC are such newer transactions that are subject to the ISF/RTAS filing with the SSG. Please note that ISF or RTAS is to be filed for each transaction, not for each security (CUSIP), and is required only once for the term of the transaction, not annually.

The ISF/RTAS filing is not required for the CAS and STACR transactions that were previously evaluated by the 不良研究所官方 at previous year-ends (i.e. CAS Debt, STACR Debt, and STACR SPI).

For further information please contact the SSG:听SSGInquiryDesk@naic.org

听

Timeline for 2018 Surveillance:

October 19, 2018听鈥 Posted听Macroeconomic Scenarios and Probability Weightings听to be used for the Year End 2018 Annual Surveillance of Insurer Owned RMBS and CMBS.

November 1, 2018鈥 Initial invoice notifications emailed to the designated contact. The amount of the invoice is based on the reported RMBS/CMBS holdings of the 2017 annual statement filing, adjusted for changes reported in first quarter and second quarter 2018 filings.

November 1, 2018听鈥 To be Modeled securities will be uploaded to听RMBS/CMBS Securities Listing听website. These are based on 2017 annual statement filings, adjusted for changes reported in first quarter and second quarter 2018 filings.

November 1 to 10, 2018听鈥 Companies start submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.

November 1, 2018 to January 1, 2019听鈥 Companies can challenge a securities modeling eligibility status in听听under the "Searches > Structured Securities > Challenge STS Security".

November 10, 2018听鈥斕11:59 p.m. CT deadline听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 4, 2018听鈥 Update the To be Modeled securities list with additional requests from the industry and upload to听RMBS/CMBS Securities Listing听website.

December 18, 2018听鈥 Modeled results made available to users via.

January 1, 2019听鈥斕11:59 p.m. CT deadline听for submitting securities to be considered for modeling to be included in the January file, and to challenge the status of a security in听听if they consider that a security was not appropriately evaluated for modeling eligibility.

January 16, 2019听鈥 Addendum file modeled results made available to users via听.

Initial Sufficiency Filing Procedures for CMBS听7/2018

This Modeling Alert discusses how the Structured Securities Group (SSG) applies the documentation, information, data requirements for an Initial Sufficiency Filing (ISF).

On December 27th, we corrected the affected values of the 22 securities discussed in this "Announcement"

New in 2017(9/1/17)

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.
    听
  • September 11听- CMBS 2.0 mid-year release. The 不良研究所官方'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听. This link will remain available, free of charge,听until Nov. 1, 2017.
    听
  • If you would like to purchase the entire re-modeled CMBS file and/or the mid-year refresh of the RMBS securities, please contact听SBIrequests@naic.org

听

Timeline for 2017 surveillance:

  • November 1, 2017鈥 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听鈥 To be Modeled securities will be uploaded to听RMBS/CMBS Securities Listing听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听鈥 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听鈥 Companies can challenge a securities modeling eligibility status in听听under the "Searches > Structured Securities > Challenge STS Security".
  • November 10, 2017听鈥斕11:59 p.m. CT deadline听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听鈥 Update the To be Modeled securities list with additional requests from the industry and upload to听RMBS/CMBS Securities Listing听website.
  • December 15, 2017听鈥 Modeled results made available to users via听.
  • January 16, 2018听鈥 Addendum file modeled results available to users via听.

听

Timeline for 2016 surveillance:

  • November 1, 2016听鈥 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听鈥 To be Modeled securities will be uploaded to听RMBS/CMBS Securities Listing听website. These are 听based on 2015 annual statement filings, adjusted for changes reported in first quarter and second quarter 2016 filings.
  • November 1 to 11, 2016听鈥 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听鈥 Companies can challenge a securities modeling eligibility status in听听under the "Searches > Structured Securities > Challenge STS Security".
  • November 11, 2016听鈥斕11:59 p.m. CT deadline听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听鈥 Update the To be Modeled securities list with additional requests from the industry and upload to听RMBS/CMBS Securities Listing听website.
  • December 16, 2016听鈥 Modeled results made available to users via听.
  • January 1, 2017听鈥斕11:59 p.m. CT deadline听for submitting securities to be considered for modeling to be included in the January file, and to challenge the status of a security in听听if they consider that a security was not appropriately evaluated for modeling eligibility.
  • January 17, 2017听鈥 Addendum file modeled results will be available to users via听.

Timeline for 2015 project:听

  • November 2, 2015听鈥 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听鈥 To be Modeled securities will be uploaded to听RMBS/CMBS Securities Listing听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听鈥 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听鈥 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听鈥斕11:59 p.m. CT deadline听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听鈥 Modeled results made available to users via AVS+.听January 1, 2016听鈥斕11:59 p.m. CT deadline听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听鈥 Addendum file modeled results will be available to users via AVS+.

New in 2014:

  • Challenge a Security Status听if you feel that a security was not appropriately evaluated for modeling eligibility. The form can be filled out in听AVS+听under 'Searches > Structured Securities>Challenge STS Security'.
  • Request Securities for Consideration听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听鈥 Was the last day to submit changes to the听current billing contact听for your company's 2014 initial invoice.听Please Note:听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, 2014听鈥撎5 p.m. CT deadline听to order and purchase additional modeled results for last year's 2013 portfolio.
  • November 3, 2014听鈥 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听鈥 Companies started submitting additional securities to their portfolios to purchase or to be considered for modeling in the December file.
  • November 4, 2014听鈥 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, 2014听鈥斕11:59 p.m. CT deadline听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听鈥 Modeled results made available to users via AVS+.
  • January 1, 2015 鈥斕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听鈥 Addendum file modeled results was available to users via AVS+.

Timeline for 2013 project:

  • September 30, 2013听鈥 Last day to order and purchase听
    additional modeled results for a 2012 portfolio.
  • September 30, 2013听鈥 Last day to submit changes to the contact information for your company's 2013 initial invoice.
  • November 1, 2013听鈥 Initial invoice notifications will be emailed听
    to the designated contact. The amount of the invoice is based听
    on the reported RMBS/CMBS holdings of the 2012 annual听
    statement filing, adjusted for changes reported in first quarter听
    and second quarter filings.
  • November 1, 2013听鈥 Start submitting additional securities to your portfolio to purchase or to be considered for modeling in听
    the December file.
  • November 15, 2013听鈥 5 p.m. CT deadline for submitting听
    securities to be considered for modeling to be included in the听
    December file.
  • December 19, 2013听鈥 Modeled data was posted to AVS+.
  • January 2, 2014听鈥 7:00 a.m. CT deadline for submitting听
    securities to be considered for modeling to be included in the addendum file.
  • Mid-January 2014鈥 Addendum modeled data was posted.

Timeline for 2012 project:

  • November 16, 2012听鈥 Deadline for submitting securities to be considered for modeling to be included in the December file.
  • December 21, 2012听鈥 RMBS/CMBS modeled data was posted听
    to AVS.

Timeline for 2011 Project:

  • November 16, 2011 鈥听The cutoff date at 5:00PM (CST) for听
    submitting additional securities for modeling in the December听
    2011 results.
  • November 17, 2011 鈥听Additional modeled results available for purchase in the system, after the initial invoice has been paid.
  • December 22, 2011 鈥听Modeled data available to insurers.
  • January 2, 2012, 7:00 a.m. CT 鈥撎The cutoff date and time for submitting additional securities to be considered for modeling.
  • January 20, 2012 鈥听Addendum modeled data posted.
    听

2011 RMBS/CMBS Modeled Securities Listings 01/20/12听
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 不良研究所官方'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.听

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听1/20/11
The 不良研究所官方 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 不良研究所官方 Valuation of Securities (VOS) CD-ROM and/or AVS. In the 不良研究所官方'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听HERE听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听CLICK HERE听for the listing of securities that fit this categorization.

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