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NEW! Updated January 25 RMBS File to include small number of Remodeled RMBS from December 28 RMBS File
On January 25, 2010 at 12:00 CST, an updated RMBS File will be available to those users who have paid their RMBS invoice and have received an ID and password via secure email.
For the file that was posted on December 28, 2009, the NAIC included all securities identified as of November 20, 2009 as non-agency RMBS held by insurers. Securities identified after list lock-down on November 20, 2009 are listed on the "Securities Not Modeled" worksheet in the December 28 RMBS File. These securities are being analyzed and the results will be included in the updated in the January 25 RMBS File.
As part of its ongoing due diligence process, PIMCO Advisory, the company retained for the modeling process, has identified a set of non-agency RMBS included in the December 28 RMBS File that may have understated expected losses. Approximately 100 of the total universe of over 20,000 RMBS have been identified as having some difference in results. Of these, about half have an increase in loss of greater than 10%.
The affected deals are part of a small pool that do not have loan-level data from standard sources; as a result, it was necessary to rely on alternate reports for the underlying summary data. However, there were inconsistencies in treatment of delinquencies between deals, depending on the level of disclosure by the issuer. For example, some bonds will include REO ("real estate owned") and foreclosure as part of serious delinquencies, others will not. A transaction's serious delinquency is a key determinant of its future performance.
The NAIC has agreed it was necessary to correct for these inconsistencies and to rerun the affected securities. The remodeled RMBS will be specifically identified – and the new results will be provided – on one of the tabs within the January 25 RMBS File, which will be posted that day at 12:00 p.m CST.
The January 25 RMBS File will be formatted similar to the first file released on December 28, 2009. The first three tabs will be the same and will contain a list of all securities modeled (including those released on December 28 and those modeled in January). For your convenience, the January 25 RMBS File will include three additional tabs, which will list only the securities that have been analyzed after the first deliverable on December 28.
NEW! Reporting Missing Non-agency RMBS Deadline Now Past
Insurers were obligated to report any non-agency RMBS purchased in 2009 that they still owned as of 12/31/2009. This information was compiled and delivered to the vendor for inclusion in the January 25, 2010 RMBS File.
Background of the RMBS Initiative
In late 2009, the NAIC Membership approved an initiative to create a new modeling and assessment process for non-agency RMBS for filing year 2009. This assessment process will assist state regulators in ultimately determining the risk based capital (RBC) requirements for non-agency RMBS owned by U.S. insurers at the end of 2009. For each of the more than 20,000 non-agency RMBS the approved vendor will provide 10 prices, five for life and five for property and casualty companies, in a matrix or grid which shows the price corresponding to each NAIC Designation. The insurance company will use these prices by reference to their carrying value for that CUSIP to determine the NAIC Designation that applies to the security.
On November 17, 2009, members of the NAIC selected PIMCO Advisory as a third-party financial modeler, to assist state insurance regulators through this process.
Members of the NAIC have also authorized an assessment of the costs associated with this project to more than 1,600 U.S. insurers that own non-agency RMBS subject to the modeling process. The companies assessed were based on Schedule D information from December 31, 2008 Annual Statement filings. The total costs arising from the RMBS modeling and assessment process are estimated at $4.6 million.
Assessment Fees
The $4.6 million assessment fees were allocated among companies based upon one of two methods. Each insurance company compared its total Book Adjusted Carrying Value (BACV) of RMBS as of December 31, 2008, in proportion to the total industry’s BACV of $189,953,261,740 as of December 31, 2008. For those companies whose share of the assessment was equal to or greater than $1,000, this was the method they use. For insurers with a comparison of less than $1,000, the second method was used, which was a straight fee to each insurance company of $100 per RMBS CUSIP holding, subject to a maximum of $1,000. Further, for insurance companies that are part of an insurance group, one assessment invoice was generated for the insurance group as a whole, covering all companies within the insurance group with RMBS exposure. This invoice was sent to the company within the insurance group having the largest RMBS exposure amongst the group. In situations where multiple companies within an insurance group received an allocation of the assessment, payment in full for the entire group was required before any insurer within the group received access to the results of the RMBS modeling and assessment process (the “RMBS file”).
RMBS Securities File
The RMBS file is now accessible by the NAIC through this password-protected Web site, www.rmbs.naic.org. Access to the information requires an individual id and password.
The RMBS file is accessible to users only upon confirmation by the NAIC that payment of the RMBS assessment invoice has been remitted in full by the insurance company group, or individual company with no group affiliation. Invoice payments were due December 18, 2009. Following confirmation of payment, an individual user id and password will be provided to the Annual Statement contact for each insurer within an insurance group, or each individual company with no group affiliation. Insurers may request multiple ids and passwords for the same insurer so long as the company and/or the group has fully paid their assessment by contacting the NAIC at (816) 783-8300.
For invoices fully paid by December 18, 2009, user ids and passwords were distributed no later than December 24, 2009 via secure e-mail. For instructions on how to receive a secure e-mail, please Click Here. For invoices paid between December 19 and December 24, user ids and passwords were distributed no later than December 31, 2009. For any invoices paid on or after December 31, 2009, user ids and passwords will be distributed as quickly as possible following confirmation of payment.
Third-party administrators may purchase access to the RMBS file, if desired, by calling (816) 783-8300, option #3.
All users are required to agree to usage terms before downloading the RMBS file. Third-party administrators are required return a signed terms of usage agreement prior to receiving access to the RMBS file.
How to File RMBS for 2009 Annual Statement
Filing
The information provided for RMBS should be used in conjunction
with the existing NAIC Valuation of Securities (VOS)
CD and/or the Automated Valuation Service (AVS). In the NAIC’s
VOS and AVS products, RMBS CUSIPs will be marked as “NR*”,
indicating the insurer will need to use the RMBS file in order
to map and report RMBS holdings and RBC appropriately in 2009
Annual Statement filings.
Click
here for the Interim Reporting Instructions for the Year Ending
December 31, 2009 from the Valuation of Securities (E)
Task Force of the Financial Conditions (E) Committee.
NAIC to Make the RMBS File Available to Non-insurers
The NAIC will make available the December 28, 2009 RMBS File and the updated RMBS File on January 25, 2010 to non-insurers, following payment of an acquisition fee. Fees generated from sales of this information may be used to offset project costs. For further information, please contact (816) 783-8300, option 4 for RMBS. |
