Close to 96% of the non-agency RMBS that were either traded/offered over the past month had a National Association of Insurance Commissioners (NAIC) 'NAIC 1' rating, according to a report from Amherst Securities Group (ASG).

Of the 629 CUSIPs that ASG looked at, 578 were 'NAIC 1'. Of those 'NAIC 1'-rated securities, only 113 are rated investment grade by all rating agencies that rated them, this includes Moody's Investors Service, Standard & Poor's and Fitch Ratings.

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