Archive Information

Timeline for 2016 surveillance:

Timeline for 2015 project: 

New in 2014:

Timeline for 2014 project:

Timeline for 2013 project:

Timeline for 2012 project:

Timeline for 2011 Project:

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.

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.

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.


Key Documents

Modeled Securities







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

Questions pertaining to modeling process, analytics & results: 212.398.9000 or