KANSAS CITY, Mo.—The National Assn. of Insurance Commissioners has selected Newport Beach, Calif.-based Pacific Investment Management Co. as a third-party financial modeler to help state regulators determine the risk-based capital requirements related to residential mortgage-backed securities, the NAIC said in a statement.
The NAIC said U.S. insurers hold about 18,000 RMBS. The new model will determine the expected losses at the security level for the RMBS so insurers can map their holdings to the appropriate NAIC designation and accompanying risk-based capital requirements.
The Kansas City, Mo.-based NAIC had previously said it planned to look beyond traditional credit ratings agencies in efforts to assess insurer risk exposures.
"This unique treatment of residential mortgage-backed securities distinguishes the NAIC as the only regulator to analyze these securities and require capital based on the expected loss amount for a particular company,” NAIC President Roger Sevigny, who is New Hampshire’s insurance commissioner, said in a statement.
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