Central Pricing Solution for TruPS CDOs - PF2 Securities Evaluations
Central Pricing Solution for TruPS CDOs - PF2 Securities Evaluations
Central Pricing Solution for TruPS CDOs - PF2 Securities Evaluations
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<strong>Central</strong> <strong>Pricing</strong> <strong>Solution</strong><br />
• Similar to a central pricing solution, National Association of Insurance Commissioners<br />
(NAIC) has teamed up with external experts to implement a uni<strong>for</strong>m risk-based capital<br />
approach <strong>for</strong> RMBS (PIMCO Advisory) and CMBS (BlackRock <strong>Solution</strong>s)<br />
• Several, but not all, of the concerns discussed in the previous slides are eliminated<br />
NAIC<br />
RMBS 1<br />
RMBS 2<br />
RMBS 3<br />
RMBS 4<br />
…<br />
CMBS 1<br />
CMBS 2<br />
CMBS 3<br />
…<br />
Insurer 1<br />
Insurer 2<br />
Insurer 3<br />
Insurer 4<br />
NAIC determines risk-based<br />
capital <strong>for</strong> each security<br />
Insurers map their portfolios<br />
to NAIC’s measurements<br />
© Copyright 2011 <strong>PF2</strong> <strong>Securities</strong>. All Rights Reserved.<br />
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