The National Association of Insurance Commissioners (NAIC) has released the list of CMBS and RMBS bonds held by insurance companies as well as their price breakpoints. This move will help insurers determine the NAIC designations and risk-based capital requirements for their CMBS/RMBS positions for 2012.
Overall, the results fared slightly better than the broader market expectation given the deterioration in macroeconomic conditions since the start of 2011, Barclays Capital analysts said in a report released today.
They said that AMs and AJs, which comprise the top of the credit stack, are on average taking slightly lower losses. However, mezzanine tranches have been treated more harshly with a majority of below 'AAA'-rated bonds being marked down from last year.
"We expect most insurers to get some relief in terms of risk-based capital requirements, although the direct effect in terms of cash freed up for new buying could be limited," the analysts stated.
The NAIC also plans to release its results for some of the remaining CMBS bonds and should further help potential insurance buyers with determining their risked-based capital requirements before purchase. The additional list is scheduled for a Jan. 20 release.