The Structured Securities Group (SSG) of ÐÓ°ÉÊÓƵ's Investment Analysis Office (IAO), is responsible for the credit quality assessment of securities owned by state regulated insurance companies and subject to financial modeling under the Statement of Statutory Accounting Principles No. 43R - Asset Backed-Securities. Insurance companies file securities with ÐÓ°ÉÊÓƵ's IAO, when such securities are eligible for filing on Schedule D, DA or BA of the ÐÓ°ÉÊÓƵ Financial Statement Blanks and are not exempt from filing with the IAO.
The SSG primarily supports the Valuation of Securities Task Force (VOS/TF), a subgroup of the Financial Condition (E) Committee, as well as 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@ÐÓ°ÉÊÓƵ.org
Filing Instructions & Forms:
- 2024 Mortgage-Referenced Securities designations are now available for CAS and STACR Debt in . (Published 12/20/2024)
- Designation Assignment to Mortgage-Referenced Securities (needs to be updated with new 19 RBC factors)
- Regulatory Treatment Analysis Service (RTAS) Application
Contact Eric Kolchinsky or call at 212.386.1943.
General Information:
Special Comment:
YE Process and Assumptions
Macroeconomic Assumptions*
* Through-the-Cycle assumptions will remain the same YOY
Key Documents
BlackRock CMBS Methodology 2017
Breakpoint Calculation Overview
Frequently Asked Questions 2017
Initial Sufficiency Filing Procedures for CMBS
Special Comment:
Private-Label Mortgage Securitization Market Challenges and the Implications for Insurers and Insurance Regulation
December 2016
The ÐÓ°ÉÊÓƵ 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
Page last updated: 9/25/2025
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 that the contents of this website are updated periodically to provide the most up-to-date information. Please check back regularly to ensure that you have the latest information.
Pricing: The 2025 Structured Securities modeled data price remains the same this year, CUSIPs held by insurers are $110 per CMBS CUSIP and $80 per RMBS CUSIP.
2024 Year End
First Loss traches being modeled this year:
As a reminder, any designation for a first-loss security that is a residual pursuant to SSAP No. 21 does not impact the accounting and reporting of that item. All residuals shall follow the accounting guidance in SSAP No. 21 and should be reported as a residual on Schedule BA
If you have any questions, please contact us at 816-783-8707 or ssginquirydesk@naic.org
September 26, 2025 - Third Party Administrators (TPA) setup for the 2025 Surveillance.
October 3, 2025 - Last day to order and purchase additional modeled results for last year's 2024 portfolio.
November 1, 2025 – Through-the-cycle Macroeconomic Scenarios and Probability Weightings for the Year-End Annual Surveillance of Insurer-Owned RMBS and CMBS will remain the same (through the cycle) and are posted on the Structured Securities Homepage
November 3, 2025 - 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 3, 2025 - Of the Initial Securities[1], those RMBS/CMBS that are pending to be modeled (To-be-Modeled Securities) will be posted on the RMBS/CMBS Securities Listing webpage.
November 3 to 17, 2025 - Companies can submit Additional Securities[2] to their portfolios to be considered for modeling and inclusion in the end of December file.
November 17, 2025 (11:59 p.m. CT) - Deadline for submitting Additional Securities[2] 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 3, 2025 to January 1, 2026 - Companies can challenge the modeling eligibility status in under the "Searches > Structured Securities > Challenge STS Security".
Mid-December, 2025 - To-be-Modeled Securities list on RMBS/CMBS Securities Listing webpage updated with modeling eligibility status for Securities Requested for Consideration.
End of December, 2025 - Modeled results made available to users via Structured Securities.
January 1, 2026 (11:59 p.m. CT) - Deadline for submitting Addendum Additional Securities and challenging the modeling eligibility status in Structured Securities.
End of January, 2026 - Addendum file modeled results made available to users via Structured Securities.
_______________________________________________________
[1] 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] Additional Securities - RMBS/CMBS holdings of companies that were not captured in the Initial Securities list.