Assessment of Commercial Mortgage-Backed Securities (CMBS)
The Association is soliciting proposals for a financial model to be used to set regulatory capital for
commercial mortgage-backed securities (CMBS) owned by U.S.-domiciled insurance
companies. The bid specifications for this project are contained within the attached Request for
Proposal (RFP)
The Association is seeking a qualified financial modeling firm to model expected losses on
approximately 7,500 CMBS to be used to assess the risk of CMBS owned by U.S.-domiciled
insurance companies. 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. The outcome of this process will result in the assignment of Association Designations used to set
the reserve factor that an insurer will use to calculate the risk-based capital (RBC) charge for a
specific CMBS.
