The National Association of Insurance Commissioners (NAIC) is shopping for a model it can use to set capital requirements for commercial mortgage-backed securities (CMBS) holdings.
The NAIC, Kansas City, Mo., has put out a request for CMBS assessment proposals.
The financial crisis has spurred the NAIC to look for better ways to estimate how likely issuers of mortgage-backed securities are to default, how much the securities holders will end up recovering, and what the value of each security really is.
Insurers with domiciles in the United States have invested in about 7,500 CMBS, the NAIC estimates.
“The expected losses and resulting expected values will be determined using loan-level details and a principal loss model developed and maintained by the selected firm,” James Woody, a senior manager at the NAIC, writes in a letter introducing the request for proposal.