10/13 Revisions - National Association of Insurance Commissioners

Transcription

2013 NAIC ANNUAL STATEMENT INSTRUCTIONS – FRATERNAL
OCT 2013 REVISIONS
PAGE 27:
Revision:
Reason:
ASSETS
Add reference to SSAP No. 64 to Line 7
SAPWG referral related to SSAP No. 64
PAGE 37:
Revision:
Reason:
LIABILITIES
Add reference to SSAP No. 64 to Line 21.7
PAGE 132:
Revision:
Reason:
NOTES TO FINANCIAL STATEMENT
Modify description header for Note 5H(2) and 5H(3)
Clarify assets being shown on illustration.
PAGE 189:
Revision:
Reason:
Add offsetting disclosure as Note 21H
SAPWG referral related to disclosure added by changes to SSAP No. 64
PAGE 193:
Revision:
Reason:
Add formula to illustration of Note 21G(3)
Clarify amount reported
PAGE 260 – 262:
ASSET VALUATION RESERVE – EQUITY AND OTHER INVESTED ASSET
COMPONENT – BASIC CONTRIBUTION, RESERVE OBJECTIVE AND MAXIMUM
RESERVE CALCULATIONS
Modify Schedule BA line references
Reflect line number changes as a result of additional lines added to Schedule BA
Revision:
Reason:
PAGE 266:
Revision:
Reason:
REPLICATION (SYNTHETIC) ASSETS, BASIC CONTRIBUTION,
OBJECTIVE AND MAXIMUM RESERVE CALCULATION
Correct formulas to refer to Line 77 not Line 70
Current formulas refer to wrong line
©2013 National Association of Insurance Commissioners
1
RESERVE
PAGE 332:
Revision:
Reason:
INVESTMENT SCHEDULES GENERAL INSTRUCTIONS
Modify reference to SSAP 104
Clarify SSAP 104 as guidance for Rabbi Trusts
PAGE 332:
Revision:
Reason:
Add offsetting instruction
PAGE 459:
Revision:
Reason:
SCHEDULE DA PART 1
PAGE 468:
Revision:
Reason:
SCHEDULE DB GENERAL INSTRUCTIONS
PAGE 494:
Revision:
Reason:
SCHEDULE DB, PART D, SECTION 1
Add Line 0899999 to formula in total line
Correct cross check
PAGE 499:
Revision:
Reason:
SCHEDULE DL, PART 1
PAGE 506:
Revision:
Reason:
SCHEDULE DL, PART 2
EDITOR’S NOTE:
The above changes are highlighted within the attached instructions that follow this page.
Recent Blanks Working Group Agenda Items (Exposure Drafts) may be viewed in detail at the following web site:
http://www.naic.org/committees_e_app_blanks.htm.
©2013 National Association of Insurance Commissioners
2
Line 6
–
Contract Loans
Report loans at their unpaid balance in accordance with SSAP No. 49, Policy Loans (applicable to Life
and Accident and Health), and reduced by the proportionate share of loans under any coinsurance
arrangements.
Include:
In Column 1, contract loans assumed under coinsurance arrangements.
In Column 2, premium notes, contract loans, and other policy assets in excess of
net value and of other policy liabilities on individual policies.
Exclude:
Interest due and accrued, less than 90 days past due. Refer to SSAP No. 49,
Policy Loans, for accounting guidance.
Premium extension agreements.
Line 7
–
Derivatives
Include:
Line 8
–
Derivative asset amounts shown as debit balances on Schedule DB, Parts A
and B, if any. The amounts from Schedule DB shall be adjusted to reflect netting
from the valid right to offset in accordance with SSAP No. 64.
Other Invested Assets (Schedule BA Assets)
Report admitted investments reported on Schedule BA and not included under another classification.
Include:
Loans.
Certain affiliated securities, such as joint ventures, partnerships and limited
liability companies (SSAP No. 48, Joint Ventures, Partnerships and Limited
Liability Companies).
Low Income Housing Tax Credit Property Investments (SSAP No. 93,
Accounting for Low Income Housing Tax Credit Property Investments).
Line 9
–
Receivables for Securities
Refer to SSAP No. 21, Other Admitted Assets, for accounting guidance.
Line 10
–
Include:
Amounts received within 15 days of the settlement date that are due from
brokers when a security has been sold but the proceeds have not yet been
received.
Exclude:
Receivables for securities not received within 15 days of the settlement date.
These receivables are classified as other-than-invested-assets and nonadmitted
per SSAP No. 21, Other Admitted Assets.
Securities Lending Reinvested Collateral Assets
Include reinvested collateral assets from securities lending programs where the program is
administered by the reporting entity’s unaffiliated agent or the reporting entity’s affiliated agent if the
reporting entity chooses not to report in the investment schedules.
©1987 – 2013 National Association of Insurance Commissioners
27
Revised 10/2013 Fraternal 2013
Line 11
–
Aggregate Write-ins for Invested Assets
Enter the total of the write-ins listed in schedule Details of Write-ins Aggregated at Line 11 for
Invested Assets.
Line 13
–
Title Plants (Applies to Title Insurers Only)
Refer to SSAP No. 57, Title Insurance, for accounting guidance.
Column 1 should equal Schedule H – Verification Between Years, Line 8.
Line 14
–
Investment Income Due and Accrued
Refer to SSAP No 34, Investment Income Due and Accrued, for accounting guidance.
Include:
Line 15
–
Income earned on investments but not yet received.
Premiums and Considerations
Include:
Amounts for premium transactions conducted directly with the insured.
Amounts due from agents resulting from various insurance transactions.
Premiums receivable for government insured plans, including fixed one-time
premium payments (such as for Medicaid low birth weight neonates and
Medicaid maternity delivery).
Refer to SSAP No. 6, Uncollected Premium Balances, Bills Receivable for Premiums, and Amounts
Due From Agents and Brokers, SSAP No. 57, Title Insurance, and SSAP No. 53, Property Casualty
Contracts – Premiums. Refer to SSAP No. 62R, Property Casualty Reinsurance, and SSAP No. 61R,
Life, Deposit-type and Accident and Health Reinsurance, for accounting guidance pertaining to
reinsurance transactions.
Line 15.1
-
Uncollected Premiums and Agents’ Balances in Course of Collection
Include:
Direct and group billed uncollected premiums.
Amounts collected but not yet remitted to home office.
Accident and health premiums due and unpaid.
Life insurance premiums and annuity considerations uncollected on in-force
business (less premiums on reinsurance ceded and less loading).
Title insurance premiums and fees receivable.
Do not deduct:
For Property/Casualty and Title companies:
Ceded reinsurance balances payable.
Exclude:
Receivables relating to uninsured accident and health plans and the uninsured
portion of partially insured accident and health plans.
28
Fraternal 2013
Line 21.1
–
Asset Valuation Reserve
Report the amount calculated on the Asset Valuation Reserve Form, Line 16, Column 7.
Line 21.2
–
Reinsurance in Unauthorized and Certified Companies
Total net amount from Schedule S, Part 4 (Column 8 less Column 15) plus Schedule S, Part 5
(Column 26 x 1000).
Line 21.3
–
Funds Held Under Reinsurance Treaties with Unauthorized and Certified Reinsurers
Total amount from Schedule S, Part 4 (Columns 12 and 13) plus Schedule S, Part 5 [(Columns 20
and 21) x 1000)], (other than amounts of letters of credit or trust agreements included therein) to the
extent that such funds were included as a part of the total assets on Page 2 of the statement and were
not offset by a directly related credit offset on Page 2.
Line 21.4
–
Payable to Subsidiaries and Affiliates
A liability is recognized and identified as due to affiliates for expenditures incurred on behalf of the
reporting entity by a parent, affiliates or subsidiaries; or for amounts owed through other intercompany
transactions. Refer to SSAP No. 67, Other Liabilities, for accounting guidance.
Include:
Unreimbursed expenditures on behalf of the reporting entity by a parent,
affiliates or subsidiaries; or amounts owing through other intercompany
transactions.
Exclude:
Amounts owed due to intercompany tax-sharing agreements.
Amounts related to intercompany reinsurance transactions. Report reinsurance
between affiliated companies through the appropriate reinsurance accounts.
Loans from affiliates that are reported as borrowed money. See SSAP No. 15,
Debt and Holding Company Obligations, for accounting guidance.
Refer to SSAP No. 25, Accounting for and Disclosures about Transactions with Affiliates and Other
Related, Parties for accounting guidance.
Line 21.6
–
Funds Held Under Coinsurance
Report the amount of funds withheld from reinsurers under coinsurance treaties other than amounts
reported on Line 21.3.
Line 21.7
–
Derivatives
Include:
Line 21.8
–
Payable for Securities
Include:
Line 21.9
–
Derivative liability amounts shown as credit balances on Schedule DB, Parts A
and B, if any. The amounts from Schedule DB shall be adjusted to reflect netting
from the valid right to offset in accordance with SSAP No. 64.
Amounts that are due to brokers when a security has been purchased but has not
yet been paid.
Payable for Securities Lending
Include
Liability for securities lending collateral received by the reporting entity that can
be reinvested or repledged.
37
Revised 10/15/2013 Fraternal 2013
Line 22
–
Aggregate Write-ins for Liabilities
Enter the total of the write-ins listed in schedule Details of Write-ins Aggregated at Line 22 for
Liabilities.
Line 24
–
From Separate Accounts Statement
Report the total liabilities shown on the company’s Separate Accounts Statement.
Line 26
–
Aggregate Write-ins for Other than Liabilities and Surplus Funds
Enter the total of the write-ins listed in schedule Details of Write-ins Aggregated at Line 26 for Other
Than Liabilities and Surplus Funds.
Line 27
–
Surplus Notes
Include:
That portion of any subordinated indebtedness, surplus debenture, contribution
certificate, surplus note, debenture note, premium income note, bond or other
contingent evidence of indebtedness, not included in Line 23 that is a financing
vehicle for increasing surplus. Furnish pertinent information concerning
conditions of repayment, redemption price, interest features, etc. in the Notes to
Financial Statements. Report discount or premium, if any, in the balance sheet
as a direct deduction from or addition to the face amount of the note.
Exclude:
Surplus notes that are required, or are a prerequisite for, purchasing an insurance
contract and are held by the certificate holder.
Cost of issuing surplus notes (e.g., loan fees and legal fees). Charge these
amounts to operations when incurred.
Refer to SSAP No. 41, Surplus Notes, for accounting guidance.
Line 28
–
Aggregate Write-ins for Surplus Funds
Enter the total of the write-ins listed in schedule Details of Write-ins Aggregated at Line 28 for Surplus
Funds.
Line 29
–
Unassigned Funds (Surplus)
Unassigned funds (surplus) are the undistributed and unappropriated amounts of surplus.
Include:
Reductions for unearned employee stock option plan shares.
Amounts for quasi-reorganizations. Refer to SSAP No. 72, Surplus and
Quasi-reorganizations, for accounting guidance.
Changes in the additional minimum pension liability. Refer to SSAP No. 102,
Accounting for Pensions, A Replacement of SSAP No. 89, for accounting
guidance.
Line 30
–
Total (including $ _________ in Separate Accounts Statement)
In the parenthetical portion of the caption, disclose the total amount of surplus funds reported on
Page 3, Line 21 of the Separate Accounts Statement.
38
Fraternal 2013
b.
The reporting entity’s sources of cash that it uses to return the cash collateral is dependent
upon the liquidity of the current market conditions. Under current conditions, the reporting
entity has $1 billion of par value bonds (fair value of $920 million) that are currently tradable
securities that could be sold and used to pay for the $850 million in collateral calls that could
come due under a worst-case scenario.
THIS EXACT FORMAT MUST BE USED IN THE PREPARATION OF THIS NOTE FOR THE TABLE BELOW.
REPORTING ENTITIES ARE NOT PRECLUDED FROM PROVIDING CLARIFYING DISCLOSURE BEFORE
OR AFTER THIS ILLUSTRATION.
(7)
Collateral for securities lending transactions that extend beyond one year from the reporting date
Description of Collateral
........................................................................................................................
........................................................................................................................
........................................................................................................................
........................................................................................................................
........................................................................................................................
Total Collateral Extending beyond one year of the reporting date
H.
Amount
$ ....................
....................
....................
....................
....................
$ ....................
Restricted Assets
(1)
Restricted Assets (Including Pledged)
Gross Restricted
1
Restricted Asset Category
Total General
Account (G/A)
2
Current Year
3
4
G/A Supporting
S/A Activity (a)
Total Separate
Account (S/A)
Restricted
Assets
S/A Assets
Supporting G/A
Activity (b)
8
6
7
Total From
Prior Year
Increase/
(Decrease)
(5 minus 6)
10
5
Total
(1 plus 3)
a.
Subject to contractual
obligation for which
liability is not shown
b.
Collateral held under
security lending agreements
.....................
.........................
.....................
.........................
.....................
......................
.....................
c.
Subject to repurchase
agreements
.....................
.........................
.....................
.........................
.....................
......................
d.
Subject to reverse
repurchase agreements
.....................
.........................
.....................
.........................
.....................
e.
Subject to dollar repurchase
agreements
.....................
.........................
.....................
.........................
f.
Subject to dollar reverse
repurchase agreements
.....................
.........................
.....................
g.
Placed under option
contracts
.....................
.........................
h.
Letter stock or securities
restricted as to sale
.....................
i.
On deposit with states
.....................
l.
On deposit with other
regulatory bodies
k.
Pledged as collateral not
captured in other categories
l.
Other restricted assets
m.
Total Restricted Assets
(a)
(b)
Percentage
9
Total Current
Gross
Year Admitted Restricted to
Restricted
Total Assets
$ ..................... $ ......................... $ ..................... $ ......................... $ ..................... $ ...................... $ ..................... $ .....................
Admitted
Restricted to
Total
Admitted
Assets
........... %
........... %
.....................
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$ ..................... $ ......................... $ ..................... $ ......................... $ ..................... $ ...................... $ ..................... $ .....................
Subset of column 1
Subset of column 3
131
Fraternal 2013
(2)
Detail of Assets Pledged as Collateral Not Captured in Other Categories (Contracts that Share
Similar Characteristics, Such as Reinsurance and Derivatives, Are Reported in the Aggregate)
Gross Restricted
1
Description of Assets
Total General
Account (G/A)
.......................................... $
..........................................
..........................................
Total
2
Current Year
3
4
G/A Supporting
S/A Activity (a)
Total Separate
Account (S/A)
Restricted
Assets
S/A Assets
Supporting G/A
Activity (b)
8
6
7
Total From
Prior Year
Increase/
(Decrease)
(5 minus 6)
10
5
Total
(1 plus 3)
Total Current
Gross
Restricted
Total Assets
Admitted
Restricted to
Total
Admitted
Assets
..................... $ ......................... $ ..................... $ ......................... $ ..................... $ ...................... $ ..................... $ .....................
........... %
........... %
.....................
.........................
.....................
.........................
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...........
........... %
........... %
$ ..................... $ ......................... $ ..................... $ ......................... $ ..................... $ ...................... $ ..................... $ .....................
(a)
(b)
Percentage
9
Subset of column 1
Subset of column 3
(3)
Detail of Other Restricted Assets (Contracts that Share Similar Characteristics, Such as
Reinsurance and Derivatives, Are Reported in the Aggregate)
Gross Restricted
1
Description of Assets
Total General
Account (G/A)
.......................................... $
..........................................
..........................................
Total
2
Current Year
3
4
G/A Supporting
S/A Activity (a)
Total Separate
Account (S/A)
Restricted
Assets
S/A Assets
Supporting G/A
Activity (b)
8
6
7
Total From
Prior Year
Increase/
(Decrease)
(5 minus 6)
10
5
Total
(1 plus 3)
Total Current
Gross
Restricted
Total Assets
Admitted
Restricted to
Total
Admitted
Assets
..................... $ ......................... $ ..................... $ ......................... $ ..................... $ ...................... $ ..................... $ .....................
........... %
........... %
.....................
.........................
.....................
.........................
.....................
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...........
...........
........... %
........... %
$ ..................... $ ......................... $ ..................... $ ......................... $ ..................... $ ...................... $ ..................... $ .....................
(a)
(b)
Percentage
9
Subset of column 1
Subset of column 3
132
(2)
Number and balance of retained asset accounts in force at the end of the current year and prior year
segregated within “aging categories” of “up to 12 months,” “13 to 24 months,” “25 to 36 months,” “37 to 48
months,” “49 to 60 months,” “over 60 months.”
(3)
Disclose the following segregated between individual and group contracts:
·
·
·
·
·
·
·
H.
Number and balance of retained asset accounts in force at the beginning of the year;
Number and amount of retained asset accounts issued during the year;
Investment earnings credited to retained asset accounts;
Fees and other charges assessed to retained asset accounts during the year;
Number and amount of retained asset accounts transferred to state unclaimed property funds;
Number and amount of retained asset accounts closed/withdrawn during the year; and
Number and balance of retained asset accounts in force at the end of the year.
Offsetting and Netting of Assets and Liabilities
The following quantitative information shall be disclosed (separately for assets and liabilities) when derivative,
repurchase and reverse repurchase, and securities borrowing and securities lending assets and liabilities are offset and
reported net in accordance with a valid right to offset per SSAP No. 64, Offsetting and Netting of Assets and
Liabilities:
·
The gross amounts of recognized assets and recognized liabilities
·
The amounts offset in accordance with a valid right to offset per SSAP No. 64, Offsetting and Netting of Assets
and Liabilities
·
The net amounts presented in the statement of financial positions.
Assets and liabilities that have a valid right to offset, but are not netted as they are prohibited under
SSAP No. 64, Offsetting and Netting of Assets and Liabilities, are not required to be captured in the disclosures.
Illustration:
A.
Extraordinary Items
On November __, 20__, the Company prepaid the holders of its _____% senior notes. Accordingly, the Company
recorded a loss of $__________ related to the early retirement of debt. The loss comprised a $__________ million
prepayment penalty and a write off of premium associated with the debt. This loss is reflected in Line _____ of the
Income Statement.
B.
C.
Troubled Debt Restructuring
(1)
The Company has one mortgage loan payable with restructured terms. The principal changes in terms include
the modification of terms from _____ years to _____ years and an increase in the interest rate from _____%
to _____%.
(2)
The aggregate gain on restructuring the payable and the related income tax effect were $__________ and
$__________, respectively.
(3)
The aggregate gain on the transfer of assets during 20__ was $__________.
(4)
As of December 31, 20__, the Company has $__________ that is considered contingently payable on the
restructured loan, of which $__________ is included in the loan’s carrying amount. The Company will be
required to pay the contingent amount if its financial condition improves to the degree specified in the loan
agreements.
Other Disclosures and Unusual Items
The following amounts were not represented in the financial statements as of December 31, 20X1 as they represent
segregated funds held for others:
Cash deposits of $______ were not reported in the financial statements as of December 31, 20X1, as these deposits
represented funds held in an escrow account. This is an increase of $____ from the prior year December 31, 20X1
financial statements.
NOTE
The above is just an example of disclosing one item. The reporting entity could have more than one item to
disclose.
189
D.
The company received $__________ and $__________ in 20__ and 20__, respectively, in business
interruption insurance recoveries related to flooding that occurred at the company’s main administrative
office in August 20__. The recoveries were reported within the line item “xxx” on the Summary of
Operations.
E.
State Transferable and Non-transferable Tax Credits
(1)
Carrying Value of Transferable and Non-transferable State Tax Credits Gross of any Related Tax
Liabilities and Total Unused Transferable and Non-transferable State Tax Credits by State and in
Total
Description of State Transferable
and Non-transferable Tax Credits
State
Carrying Value
Unused Amount
Total
(2)
Method of Estimating Utilization of Remaining Transferable and Non-transferable State Tax
Credits
The Company estimated the utilization of the remaining transferable and non-transferable state tax
credits by projecting future premium taking into account policy growth and rate changes,
projecting future tax liability based on projected premium, tax rates and tax credits, and comparing
projected future tax liability to the availability of remaining transferable and non-transferable state
tax credits.
(3)
Impairment Loss
The Company recognized an impairment loss of $______ related to the write-down as a result of
impairment analysis of the carrying amount for state transferable and non-transferable tax credits.
(4)
State Tax Credits Admitted and Nonadmitted
a.
b.
Transferable
Non-transferable
Total Admitted
______________
______________
190
Total Nonadmitted
________________
________________
Fraternal 2013
(3)
a. Number/balance of retained asset
b.
c.
d.
e.
f.
g.
22.
accounts at the beginning of the
year
Number/amount of retained asset
accounts issued/added during the
year
Investment earnings credited to
retained asset accounts during the
year
Fees and other charges assessed
to retained asset accounts during
the year
accounts transferred to state
unclaimed property funds during
the year
accounts closed/withdrawn during
the year
Number/balance of retained asset
accounts at the end of the year
g=a+b+c-d-e-f
Individual
Balance/
Number
Amount
$
Group
Balance/
Amount
Number
$
$
$
N/A
N/A
NA
NA
$
$
$
$
$
$
Events Subsequent
Refer to SSAP No. 9, Subsequent Events, for accounting guidance.
Instruction:
Subsequent events shall be considered either:
Type I – Recognized Subsequent Events:
Events or transactions that provide additional evidence with respect to conditions that existed at the date of
the balance sheet, including the estimates inherent in the process of preparing financial statements.
Type II – Nonrecognized Subsequent Events:
Events or transactions that provide evidence with respect to conditions that did not exist at the date of the
balance sheet but arose after that date.
For material Type I subsequent events, the nature and the amount of the adjustment shall be disclosed only if
necessary to keep the financial statements from being misleading.
Material Type II subsequent events shall not be recorded in the financial statements, but shall be disclosed in the
notes to the financial statements. For such events, an entity shall disclose the nature of the event and an estimate of
its financial effect, or a statement that such an estimate cannot be made.
193
An entity also shall consider supplementing the historical financial statements with pro forma financial data.
Occasionally, a nonrecognized subsequent event may be so significant that disclosure can best be made by means of
pro forma financial data. Such data shall give effect to the event as if it had occurred on the balance sheet date. In
some situations, an entity also shall consider presenting pro forma statements. If the Type II subsequent event is of
such a nature that pro forma disclosures are necessary to keep the financial statements from being misleading,
disclose supplemental pro forma financial data including the impact on net income, surplus, total assets, and total
liabilities giving effect to the event as if it occurred on the date of the balance sheet.
Reporting entities shall disclose the dates through which subsequent events have been evaluated along with the dates
the statutory reporting statements were issued, or available to be issued.
For the annual reporting period ending December 31, 2013, a reporting entity subject to the assessment under
section 9010 of the Affordable Care Act shall provide a disclosure of the assessment payable in 2014 consistent with
the guidance provided under SSAP No. 9, Subsequent Events for a Type II subsequent event. The disclosure shall
provide information regarding the nature of the assessment and an estimate of its financial impact, including the
impact on its risk-based capital position. In accordance with SSAP No. 9, the reporting entity shall also consider
whether there is a need to present pro forma financial statements regarding the impact of the assessment, based on
its judgment of the materiality of the assessment.
Illustration:
Type I – Recognized Subsequent Events:
Subsequent events have been considered through __/__/__ for the statutory statement issued on __/__/__.
On February 1, 20___, a settlement was reached in a major lawsuit against the Company. In conjunction
with the lawsuit, the Company estimated and recorded a liability of $_______ on Line ___ of the
Liabilities, Surplus and Other Funds page. The actual settlement amount of $_______ was paid to the
plaintiff on February 10. The change will be recorded in the First Quarter Statement on Line ___ of the
Statement of Income.
Type II – Nonrecognized Subsequent Events:
Subsequent events have been considered through __/__/__ for the statutory statement issued on __/__/__.
The Company faces loss exposure from the January 15, 20___ earthquake in the State of __________. This
exposure is primarily in the Company’s property and casualty subsidiaries, but also includes potential
losses on its real estate and mortgage loan portfolios. Based on a review of the range of expected loss, the
Company does not believe this event will have a material impact on its financial condition.
On Jan. 1, 2014, the Company will be subject to an annual fee under section 9010 of the Affordable Care
Act (ACA). This annual fee will be allocated to individual health insurers based on the ratio of the amount
of the entity’s net premiums written during the preceding calendar year to the amount of health insurance
for any U.S. health risk that is written during the preceding calendar year. A health insurance entity’s
portion of the annual fee becomes payable once the entity provides health insurance for any U.S. health risk
for each calendar year beginning on or after Jan. 1, 2014. As of Dec. 31, 2013, the Company has written
health insurance subject to the ACA assessment, expects to conduct health insurance business in 2014, and
estimates their portion of the annual health insurance industry fee to be payable on Sept. 30, 2014 to be
$_____. This assessment is expected to impact risk based capital by ____.
THIS EXACT FORMAT MUST BE USED IN THE PREPARATION OF THIS NOTE FOR LINES A AND B IN
THE TABLE BELOW IF APPLICABLE. THIS DOES NOT INCLUDE THE NARRATIVE FOR THE
ILLUSTRATION SHOWN ABOVE. REPORTING ENTITIES ARE NOT PRECLUDED FROM PROVIDING
CLARIFYING DISCLOSURE BEFORE OR AFTER THIS ILLUSTRATION.
A.
B.
ACA fee assessment payable
Assessment expected to impact RBC
$
194
____________
____________ %
Fraternal 2013
Line 17
–
Subsidiary, Controlled or Affiliated Common Stocks – Other
Report the book/adjusted carrying value of all of the common stocks owned in all other controlled or
affiliated companies, or subsidiaries not included on Lines 4 through 16, in Columns 1 and 4. Multiply
Column 4 by the reserve factors provided in Columns 5, 7 and 9 and report the products in Columns 6,
8 and 10, respectively.
Line 18
–
Total Common Stocks
Column 1 should agree with Page 2, Line 2.2, Column 3 plus Schedule DL, Part 1, Column 6,
Line 7599999. The Columns 6, 8 and 10 amounts, respectively, must be reported on the Asset
Valuation Reserve Page, Lines 7, 10 and 9, respectively, Column 4.
Lines 19
through 21
–
Real Estate
Categorize the real estate as indicated on Lines 19 through 21. Real estate reported in Schedule DL,
Part 1, Line 8699999 would also be included in this section. Report the sum of Columns 1, 2 and 3 in
Column 4. Multiply the amount in Column 4 by the reserve factors provided in Columns 5, 7 and 9 and
report the products in Columns 6, 8 and 10, respectively.
NOTE:
Line 22
–
Related party encumbrances are loans from the reporting entity and the amount reflected in
Column 2 should be deducted in Column 2 in the corresponding section of the AVR
worksheet. If the real estate entity to which the loan was made is not wholly owned by the
reporting entity, the related party encumbrance amount reflected in Column 2 should be
based on the reporting entity’s ownership percentage. The amount of the third party
encumbrances without recourse to be reflected in Column 3 is limited to the extent that the
maximum reserve (Column 6) should not exceed the sum of the book/adjusted carrying
value (Column 1) plus related party encumbrances (Column 2) and third party
encumbrances with recourse which are included in Column 3.
Total Real Estate
The Columns 6, 8 and 10 amounts must be combined with Line 74, Columns 6, 8 and 10 amounts and
reported on the Asset Valuation Reserve Page, Lines 7, 10 and 9, Column 5.
Lines 23
through 29
–
Other Invested Assets with Underlying Characteristics of Bonds
Report the book/adjusted carrying value of all Schedule BA assets owned where the characteristics of
the underlying investment are similar to bonds (Lines 0799999 and 0899999 and the portion of
Lines 1199999, 1299999, 1399999 and 1499999 that applies to fixed income instruments similar to
bonds) that have been valued according to the Purposes and Procedures Manual of the NAIC
Securities Valuation Office in Columns 1 and 4. Follow the SVO guidelines and categorize these assets
into NAIC designations one through six as directed by the NAIC Securities Valuation Office
instructions, except those exempt obligations (as listed in the AVR instructions for Line 2) which
should be reported separately. Multiply the amount in Column 4 for each designation by the reserve
factors provided in Columns 5, 7 and 9 and report the products by designation in Columns 6, 8 and 10,
respectively.
Include:
Any investments believed by the reporting entity to fit the category of “Fixed or
Variable Interest Rate Investments that Have the Underlying Characteristics of a
Bond, Mortgage Loan or Other Fixed Income Instrument,” or “Joint Ventures or
Partnership Interests for Which the Primary Underlying Investments are
Considered to Be “Fixed Income Instruments” which qualify for Filing
Exemption or have been reviewed by the SVO.
259
Fraternal 2013
Exclude:
Lines 31
through 36
–
Any investments believed by the reporting entity to possess the underlying
characteristics of a bond, but for which the Securities Valuation Office (SVO)
has not yet affirmed that the specific BA asset (identified by CUSIP) fits in this
category (as identified in the Valuation of Securities product). Until affirmed by
the SVO, these investments are to be reported in Line 74 (Other Invested
Assets – Schedule BA) of this schedule.
Other Invested Assets with Underlying Characteristics of Preferred Stocks
the underlying investment are similar to preferred stocks (the portion of Lines 1199999, 1299999,
1399999 and 1499999 that applies to fixed income instruments similar to preferred stocks) that have
been valued according to the Purposes and Procedures Manual of the NAIC Securities Valuation
Office and certain surplus debentures (included in Lines 2399999 and 2499999) and capital notes
(included in Lines 2999999 and 3099999, respectively) in Columns 1 and 4. Follow the SVO
guidelines and categorize these assets into classes P1 through P6 or RP1 through RP6 as directed by
the NAIC Securities Valuation Office instructions. For surplus debentures and capital notes, use the
Credit Rating Provider (CRP) rating to categorize these assets as if the SVO had assigned a NAIC
designation of 1 through 6. ONLY those surplus debentures and capital notes with an CRP rating
equivalent to the NAIC 1 designation may be included in this section (in Line 31). Multiply the amount
in Column 4 for each designation by the reserve factors provided in Columns 5, 7 and 9 and report the
products by designation in Columns 6, 8 and 10, respectively.
Include:
Partnership Interests for Which the Primary Underlying Investments are
Considered to Be Fixed Income Instruments” which qualify for Filing
Exemption or have been reviewed by the SVO.
Surplus debentures and capital notes that possess a CRP rating equivalent to the
NAIC 1 designation.
Exclude:
Any investments believed by the reporting entity to possess the underlying
characteristics of a preferred stock, but for which the Securities Valuation Office
(SVO) has not yet affirmed that the specific BA asset (identified by CUSIP) fits
in this category (as identified in the Valuation of Securities product). Until
affirmed by the SVO, these investments are to be reported in Line 74
(Other Invested Assets – Schedule BA) of this schedule.
All surplus debentures and capital notes that do NOT possess a CRP rating
equivalent to the NAIC 1 designation. These surplus debentures are to be
reported in Line 74 (Other Invested Assets – Schedule BA) of this schedule.
Lines 39
through 54
–
Other Invested Assets with Underlying Characteristics of Mortgage Loans
the underlying investment are similar to mortgage loans (Lines 0999999, 1099999, 1999999 and
2099999), excluding any mortgage-backed/asset-backed securities included in Lines 23 through 29
above, in Columns 1 and 4. Categorize the mortgage loans as indicated in Lines 39 through 54.
Multiply the amount in Column 4 for each category by the reserve factors in, Columns 5, 7 and 9,
Lines 35 through 50. Report the products by category in Columns 6, 8 and 10, respectively.
260
Lines 56
through 60
–
Other Invested Assets with Underlying Characteristics of Common Stocks
the underlying investments are similar to common stock (Lines 1599999 and 1699999) in Columns 1
and 4. Line 59 should show all Schedule BA assets owned where the characteristics of the underlying
investments are similar to common stocks owned in a controlled or affiliated company, or a subsidiary,
and these assets should be valued according to the Purposes and Procedures Manual of the NAIC
Securities Valuation Office. Categorize these assets consistent with the directions for Page 29, Lines 1,
2 and 4, 16 and 17. For Line 56, the reserve factor must be calculated on an individual company basis.
It is equal to 13% times the beta factor as discussed in the Page 29, Line 1 instructions, and must be at
least 10% but not more than 20%. Multiply the amount in Column 4 by the calculated reserve factors
in Columns 5, 7 and 9 and report the products in Columns 6, 8 and 10, respectively. For Lines 57
through 60, multiply the amounts in Column 4 by the reserve factors provided in Columns 5, 7 and 9
and report the products in Columns 6, 8 and 10, respectively.
Line 65
–
Total Other Invested Assets with Underlying Characteristics of Real Estate
the underlying investment are similar to real estate (Lines 1799999 and 1899999 items that are not
reported in AVR category of Other Invested Assets with Underlying Characteristics of Mortgage
Loans) in Column 1, any related encumbrances on these assets in Column 2, and any third party
encumbrances on these assets in Column 3. Report the sum of Columns 1, 2, and 3 in Column 4.
Column 4 may not be less than zero. Multiply the amount in Column 4 by the reserve factors provided
in Columns 5, 7 and 9 and report the products in Columns 6, 8 and 10, respectively.
NOTE:
Lines 66
through 71
–
Related party encumbrances are loans from the reporting entity and the amount reflected in
Column 2 should be deducted in Column 2 in the corresponding section of the AVR
worksheet. If the real estate entity to which the loan was made is not wholly owned by the
reporting entity, the related party encumbrance amount reflected in Column 2 should be
based on the reporting entity’s ownership percentage. The amount of the third party
encumbrances without recourse to be reflected in Column 3 is limited to the extent that the
maximum reserve (Column 10) should not exceed the sum of the book/adjusted carrying
value (Column 1) plus related party encumbrances (Column 2) and third party
encumbrances with recourse which are included in Column 3.
Low-Income Housing Tax Credit Investments
Report Column 1 in accordance with SSAP No. 93, Accounting for Low Income Housing Tax Credit
Property Investments.
For Line 66, report guaranteed low-income housing tax credit (LIHTC) investments. There must be an
all-inclusive guarantee from CRP-rated entity that guarantees the yield on the investment. Line 66
should equal Schedule BA, Part 1, Column 12, Line 3199999 + Line 3299999.
For Line 67, report non-guaranteed LIHTC investments with the following risk mitigation factors:
I.
A level of leverage below 50%. For LIHTC Fund, the level of leverage is measured at the fund
level.
II.
There is a Tax Credit Guarantee Agreement from General Partner or managing member. This
agreement requires the General Partner or managing member to reimburse investors for any
shortfalls in tax credits due to errors of compliance, for the life of the partnership. For an LIHTC
Fund, a Tax Credit Guarantee is required from the developers of the lower tier LIHTC
properties to the upper tier partnership.
III.
There are sufficient operating reserves, capital replacement reserves and/or operating deficit
guarantees present to mitigate foreseeable foreclosure risk at the time of the investment.
261
Line 67 should equal Schedule BA, Part 1, Column 12, Line 3399999 + Line 3499999.
Only federal low-income housing tax credit investments can be reported on lines 66 and 67. State
low-income housing tax credit investments that meet the requirements of SSAP No. 93 and that at a
minimum meet the requirements for federal guaranteed programs should be reported on Line 68. Line
68 should equal Schedule BA, Part 1, Column 12, Line 3599999 + Line 3699999.
State low-income housing tax credit investments that meet the requirements of SSAP No. 93 and that
at a minimum meet the requirements for federal non-guaranteed programs should be reported on
Line 69. Line 69 should equal Schedule BA, Part 1, Column 12, Line 3799999 + Line 3899999.
Any other low-income housing tax credit investments that meet the requirements of SSAP No. 93 and
cannot be reported on Lines 66 through 69 should be reported on Line 70. Line 70 should equal
Schedule BA, Part 1, Column 12, Line 3999999 + Line 4099999.
Multiply the amount in Column 4 for each category by the reserve factors for Page 31, Columns 5, 7
and 9, Lines 66 through 70. Report the products by category in Columns 6, 8 and 10, respectively.
Line 72 & 73 –
Working Capital Finance Investments
Report the book/adjusted carrying value of all working capital finance investments owned
(Schedule BA, Part 1, Line 4199999) in Columns 1 and 4. Categorize the working capital finance
investments into NAIC designations 1 or 2 as directed by the Purposes and Procedures Manual of the
NAIC Securities Valuation Office. Multiply the amount in Column 4 for each designation by the
reserve factors provided in Columns 5, 7 and 9, and report the products by designation in Columns 6, 8
and 10, respectively.
Line 74
–
Other Invested Assets – Schedule BA
Report the book/adjusted carrying value of all other Schedule BA investments owned that cannot be
classified into one of the above categories (Lines 0199999, 0299999, 0399999, 0499999, 0599999,
0699999, 2199999, 2299999, 2399999, 2499999, 2999999, 3099999, 4299999 and 4399999) in
Column 1 and any encumbrances on these assets in Column 3. Schedule DL, Part 1 investments
reported on Line 8899999 would be included in this total if not classified in one of the above
categories. Collateral loans (Line 2599999 and 2699999) have been intentionally excluded from this
total. For surplus debentures and capital notes, the amount to report in Column 1 is to be calculated
based upon the accounting prescribed in SSAP No. 41, Surplus Notes. Report the sum of Columns 1
and 3 in Column 4. Column 4 may not be less than zero. Note that ALL surplus debentures and capital
notes should be included here in Line 74, EXCEPT those with an CRP rating equivalent to the NAIC 1
designation (which are reported in Line 31 of this schedule). Multiply the amount in Column 4 by the
reserve factors provided in Columns 5, 7 and 9 and report the products in Columns 6, 8 and 10,
respectively. The maximum reserve factor for capital and surplus debentures should be the factors used
for preferred stocks not bonds.
Include:
Partnership Interests for which the Primary Underlying Investments are
considered to be Fixed Income Instruments” but which do not qualify for Filing
Exemption and have not been reviewed by the SVO. In addition, include those
investments that have been reviewed by the SVO and were determined to have
the underlying characteristics of “Other” instruments (joint venture, partnership
and LLC investments) or to be “Any Other Class of Assets”.
Exclude:
All surplus debentures and capital notes that possess an CRP rating equivalent to
the NAIC 1 designation. These surplus debentures are to be reported on Line 31
(Other Invested Assets with Underlying Characteristics of Preferred Stocks) of
this schedule.
262
Column 8
–
AVR Reserve Objective
For replicated (synthetic) assets, multiply the Reserve Objective Factor appropriate to the asset class of
the replicated (synthetic) asset times the book/adjusted carrying value contained in Column 6. For cash
instrument components that qualify for a credit, the amount contained in this column is the product of
a.
The Reserve Objective Factor appropriate to the asset class of the cash instrument, but not higher
than the average Reserve Objective Factor for the replicated (synthetic) asset(s), times,
b.
The book/adjusted carrying value contained in Column 6, times,
c.
-1.
For other cash instrument components this column should contain 0.
Column 9
–
AVR Maximum Reserve
For replicated (synthetic) assets, multiply the Maximum Reserve Factor appropriate to the asset class
of the replicated (synthetic) asset times the book/adjusted carrying value contained in Column 6. For
cash instrument components that qualify for a credit, the amount in this column in the product of
a.
The Maximum Reserve Factor appropriate to the asset class of the cash instrument, but not higher
than the average Maximum Reserve Factor for the replicated (synthetic) asset(s), times,
b.
The book/adjusted carrying value contained in Column 6, times,
c.
-1.
For other cash instrument components this column should contain 0.
Determine the appropriate Asset Valuation Reserve sub-component for each line based on the
classification contained in Column 5 and show the subtotals for each sub-component on
Lines 0199999, 0299999, 0399999, and 0499999.
AVR treatment for Separate Accounts
Whether or not an AVR is required for separate account assets depends primarily on whether the reporting entity or
policyholder/contract holder suffers the loss in the event of asset default or market value loss. An important exception to this
is when specific state regulation provides an alternative to the AVR. (See the chart on the last page of instructions for this
schedule.)
An AVR is required for separate account investments unless:
1.
The asset default or market value risk is essentially borne directly by the policyholders, or
2.
The regulatory authority for such separate accounts already explicitly provides for establishment of a reserve for
asset default risk where such reserves are essentially equivalent to the AVR.
For example, assets supporting traditional variable annuities and variable life insurance do not require AVR because the
policyholders/contract holders bear the risk of change in the value of assets. However, an AVR is required for that portion
representing the company’s equity interest in the investments of such a separate account, (seed money interest, for example).
Assets supporting typical modified guaranteed contracts or market value adjusted contracts do require AVR because the
company is responsible for credit-related asset loss. Another category of contracts requiring AVR is contracts with book
value guarantees similar to contracts generally found in the general account.
Examples of the exception referred to in (2) above are contracts with market value separate accounts funding guaranteed
benefits where state regulation provides alternatives to the AVR.
265
Fraternal 2013
An AVR supporting the separate accounts assets must be combined with the General Account AVR. Default and Equity
Component worksheets have been added and must be included in the Separate Accounts Statement.
The AVR’s contributions and maximum values are based on book/adjusted carrying values. After completion of the
calculation for Separate Accounts Default and Equity Components, the basic contribution, reserve objective and maximum
reserve amounts reported on Page 26, Lines 7, 10 and 9 should be the sum of the total calculated on Pages 28, 29, 31 and 32
(General Account) and Pages 16, 17, 19 and 20 (Separate Account) as follows:
Basic Contribution:
G/A Page 26, Line 7, Column 1
= G/A
+ S/A
[P28, L34, C6]
[P16, L34, C6]
+ G/A
+ S/A
[P32, L0199999, C7]
[P20, L0199999, C7]
= G/A
+ S/A
[P28, L53, C6]
[P16, L53, C6]
+ G/A
+ S/A
[P32, L0299999, C7]
[P20, L0299999, C7]
= G/A
+ S/A
[P29, L18, C6]
[P17, L18, C6]
+ G/A
+ S/A
[P32, L0399999, C7]
[P20, L0399999, C7]
= G/A
+ S/A
[P29, L22, C6 + P31, L77, C6]
[P17, L22, C6 + P19, L77, C6]
+ G/A
+ S/A
[P32, L0499999, C7]
[P20, L0499999, C7]
=G/A
+ S/A
[P28, L34, C8]
[P16, L34, C8]
+ G/A
+ S/A
[P32, L0199999, C8]
[P20, L0199999, C8]
= G/A
+ S/A
[P28, L53, C8]
[P16, L53, C8]
+ G/A
+ S/A
[P32, L0299999, C8]
[P20, L0299999, C8]
=G/A
+ S/A
[P29, L18, C8]
[P17, L18, C8]
+ G/A
+ S/A
[P32, L0399999, C8]
[P20, L0399999, C8]
=G/A
+ S/A
[P29, L22, C8 + P31, L77, C8]
[P17, L22, C8 + P19, L77, C8]
+ G/A
+ S/A
[P32, L0499999, C8]
[P20, L0499999, C8]
Reserve Objective:
Maximum Reserve:
= G/A [P28, L34, C10]
+ S/A [P16, L34, C10]
+ G/A
+ S/A
[P32, L0199999, C9]
[P20, L0199999, C9]
=G/A
+ S/A
[P28, L53, C10]
[P16, L53, C10]
+ G/A
+ S/A
[P32, L0299999, C9]
[P20, L0299999, C9]
= G/A
+ S/A
[P29, L18, C10]
[P17, L18, C10]
+ G/A
+ S/A
[P32, L0399999, C9]
[P20, L0399999, C9]
= G/A
+ S/A
[P29, L22, C10 + P31, L77, C10]
[P17, L22, C10 + P19, L77, C10]
+ G/A
+ S/A
[P32, L0499999, C9]
[P20, L0499999, C9]
266
(Applies to all investment schedules)
The following definitions apply to the investment schedules.
SAP Book Value (Defined in Glossary of Accounting Practices and Procedures Manual):
Original Cost, including capitalized acquisition costs and accumulated depreciation, unamortized premium
and discount, deferred origination and commitment fees, direct write-downs, and increase/decrease by
adjustment.
SAP Carrying Value (Defined in Glossary of Accounting Practices and Procedures Manual):
The SAP Book Value plus accrued interest and reduced by any valuation allowance (IF APPLICABLE)
and any nonadmitted adjustment applied to the individual investment. Carrying Value is used in the
determination of impairment.
Adjusted Carrying Value:
Carrying Value amount adjusted to remove any accrued interest and to add back any of the following
amounts: individual nonadmitted amounts, individual valuation allowances (IF APPLICABLE), and
aggregate valuation allowance (IF APPLICABLE). In effect, this is equivalent to the definition of
SAP Book Value (not to be confused with the old “Book Value” reported in the annual statement blanks for
data years 2000 and prior).
Recorded Investment:
The SAP Book Value (Adjusted Carrying Value) plus accrued interest.
The information included in the investment schedules shall be broken down to the level of detail as required when all
columns and rows are considered together unless otherwise addressed in specific instructions. For example, on Schedule D
Part 4, a reporting entity is required to list the CUSIP book adjusted carrying value, among other things. The reporting entity
would only be required to break this information down to a lower level of detail if the information was inaccurate if reported
in the aggregate. Thus, the reporting entity would not be required to break the information down by lot (information for each
individual purchase) and could utilize the information for book/adjusted carrying value using an average cost basis, or some
other method, provided the underlying data reported in that cell was calculated in accordance with the Accounting Practices
and Procedures Manual. However, reporting entities are not precluded from reporting the information at a more detailed
level (by lot) if not opposed by their domiciliary commissioner.
For the columns that disclose information regarding investments that are not under the exclusive control of the reporting
entity, and also including assets loaned to others, the following codes should be used:
LS
RA
RR
DR
DRR
C
DB
DBP
–
–
–
–
–
–
–
–
R
–
SD
M
–
–
O
–
loaned or leased to others
subject to repurchase agreement
subject to reverse repurchase agreement
subject to dollar repurchase agreement
subject to dollar reverse repurchase agreement
pledged as collateral
placed under an option agreement
placed under an option agreement involving “asset
transfers with put options”
letter stock or otherwise restricted as to sale
(Note: Private placements are not to be included
unless specific restrictions as to sale are included as
part of the security agreement)
placed on deposit with state or other regulatory body
not under the exclusive control of the reporting entity
for multiple reasons
other
331
Investments 2013
“To Be Announced” securities (commonly referred to as TBAs) are to be reported in Schedule D unless the structure of the
security more closely resembles a derivative, as defined within SSAP No. 86, Accounting for Derivative Instruments and
Hedging, Income Generation, and Replication (Synthetic Asset) Transactions, in which case the security should be reported
on Schedule DB. The exact placement of TBAs in the investment schedules depends upon how a company uses TBA.
For Rabbi Trusts, refer to SSAP No. 104, Share-Based Payments, for accounting guidance.
For the Foreign Code columns in Schedules D and DA, the following codes should be used:
Code
A
B
C
D
E
F
G
I
R
T
U
O
Nationality of Issuer
US
Canada Foreign
Y
N
N
N
Y
N
N
Y
N
Y
Y
Y
N
N
Y
Y
N
N
N
N
Y
Y
N
N
N
Y
N
N
N
Y
N
Y
N
N
Y
N
Y
N
N
US
Y
N
N
N
N
N
N
N
Y
Y
Y
Y
Y
Country Issued In
Canada Foreign
N
N
Y
N
N
Y
Y
Y
N
Y
N
Y
N
Y
Y
N
N
N
N
N
Y
Y
N
N
N
N
Currency of Security
US
Canada Foreign
Y
N
N
Y
N
N
Y
N
N
N
Y
N
N
N
Y
Y
N
N
Y
N
N
Y
N
N
Y
N
N
Y
N
N
N
N
Y
N
Y
N
N
N
Y
“A”
For Canadian securities issued in Canada and denominated in U.S. dollars.
“B”
For Canadian securities issued in a foreign country but denominated in U.S. dollars.
“C”
For securities denominated in Canadian currency.
“D”
For foreign securities that are denominated in a foreign currency (excluding Canadian currency).
“E”
For U.S. securities issued in a foreign country other than Canada denominated in U.S. dollars.
“F”
For securities issued in a foreign country that are denominated in U.S. dollars.
“G”
For U.S. securities issued in Canada and denominated in U.S. dollars.
“I”
For Canadian securities issued in U.S. and denominated in U.S. dollars.
“R”
For foreign securities issued in the U.S. and denominated in U.S. dollars.
“T”
For Canadian securities denominated in any other foreign currency.
“U”
For Canadian securities issued in U.S. but denominated in Canadian currency.
“O”
For U.S. securities issued in U.S. but denominated in any foreign currency other than Canadian.
Derivatives (Schedule DB); repurchase and reverse repurchase agreements (Schedule DA); and securities borrowing and
securities lending transactions (Schedule DL) shall be shown gross when reported in the investment schedules. If these
transactions are permitted to be reported net in accordance with SSAP No. 64, the investment schedule shall continue to
provide detail of all transactions (gross), with the net amount from the valid right to offset reflected in the financial
statements (pages 2 & 3 of the statutory financial statements). Disclosures for items reported net when a valid right to offset
exists, including the gross amount, the amount offset, and the net amount reported in the financial statements are required per
SSAP No. 64.
332
Revised 10/2013 Investments 2013
SCHEDULE DA – PART 1
SHORT-TERM INVESTMENTS OWNED DECEMBER 31 OF CURRENT YEAR
Include all investments whose maturities (or repurchase dates under repurchase agreement) at the time of acquisition were
one year or less except those defined as cash or cash equivalents in accordance with SSAP No. 2, Cash, Drafts, and
Short-term Investments. All short-term investments owned at December 3l of current year should be separated into bonds,
mortgage loans, exempt money market funds, class one money market mutual funds, other short-term invested assets and
investments in parent, subsidiaries and affiliates. Within each category, investments should be arranged alphabetically.
Refer to SSAP No. 23, Foreign Currency Transactions and Translations, for accounting guidance related to foreign currency
transactions and translations.
Repurchase and reverse repurchase agreements shall be shown gross when reported in the Schedule DA. If these transactions
are permitted to be reported net in accordance with SSAP No. 64, the investment schedule shall continue to provide detail of
all transactions (gross), with the net amount from the valid right to offset reflected in the financial statements (pages 2 & 3 of
the statutory financial statements). Disclosures for items reported net when a valid right to offset exists, including the gross
amount, the amount offset, and the net amount reported in the financial statements are required per SSAP No. 64.
If a reporting entity has any detail lines reported for any of the following required categories or subcategories, it shall report
the subtotal amounts of the corresponding category or subcategory with the specified subtotal line number appearing in the
same manner and location as the pre-printed total or grand total line and number:
NOTE:
See the Investment Schedules General Instructions for the following:
·
Category definitions for bonds.
·
Foreign column code list and matrix for determining code.
·
Code column list of codes and definitions for securities not under the exclusive control of the
reporting entity.
Category
Line Number
Bonds:
U.S. Governments
Issuer Obligations................................................................................................................................ 0199999
Residential Mortgage-Backed Securities ............................................................................................ 0299999
Commercial Mortgage-Backed Securities ........................................................................................... 0399999
Other Loan-Backed and Structured Securities .................................................................................... 0499999
Subtotals – U.S. Governments ............................................................................................................ 0599999
All Other Governments
Subtotals – All Other Governments .................................................................................................... 1099999
U.S. States, Territories and Possessions (Direct and Guaranteed)
Subtotals – U.S. States, Territories and Possessions (Direct and Guaranteed).................................... 1799999
459
U.S. Political Subdivisions of States, Territories and Possessions (Direct and Guaranteed)
Subtotals – U.S. Political Subdivisions of States, Territories and Possessions
(Direct and Guaranteed) ........................................................................................................ 2499999
U.S. Special Revenue and Special Assessment Obligations and all Non-Guaranteed Obligations
of Agencies and Authorities of Governments and Their Political Subdivisions
Subtotals – U.S. Special Revenue and Special Assessment Obligations and all
Non-Guaranteed Obligations of Agencies and Authorities of
Governments and Their Political Subdivisions .................................................................... 3199999
Industrial and Miscellaneous (Unaffiliated)
Subtotals – Industrial and Miscellaneous (Unaffiliated) ..................................................................... 3899999
Hybrid Securities
Subtotals – Hybrid Securities .............................................................................................................. 4899999
Parent, Subsidiaries and Affiliates Bonds
Subtotals – Parent, Subsidiaries and Affiliates Bonds ........................................................................ 5599999
Total Bonds
Subtotals – Issuer Obligations ............................................................................................................. 7799999
Subtotals – Residential Mortgage-Backed Securities .......................................................................... 7899999
Subtotals – Commercial Mortgage-Backed Securities ....................................................................... 7999999
Subtotals – Other Loan-Backed and Structured Securities.................................................................. 8099999
Subtotals – Bonds ................................................................................................................................ 8399999
Parent, Subsidiaries and Affiliates
Mortgage Loans .................................................................................................................................. 8499999
Other Short-Term Invested Assets ...................................................................................................... 8599999
Subtotals – Parent, Subsidiaries and Affiliates.................................................................................... 8699999
Mortgage Loans ................................................................................................................................................. 8799999
Exempt Money Market Mutual Funds ............................................................................................................... 8899999
Class One Money Market Mutual Funds ........................................................................................................... 8999999
Other Short-Term Invested Assets .................................................................................................................... 9099999
Total Short-Term Investments ........................................................................................................................... 9199999
460
Investments 2013
SCHEDULE DB
DERIVATIVE INSTRUMENTS
All derivatives, regardless of maturity date, are to be reported on Schedule DB. Forward commitments where a reporting
entity cannot determine at the inception of the contract, with certainty, if delivery will be made at the earliest opportunity are
essentially forward contracts and should be reported on Schedule DB.
This schedule should be used to report derivative instruments. Specific accounting procedures for each derivative instrument
will depend on the definition below and documented intent that best describes the instrument. Uses of derivative instruments
that are reported in this schedule include hedging, income generation, replication and other. State investment laws and
regulations should be consulted for applicable limitations and permissibility on the use of derivative instruments. If the
derivative strategy meets the definition of hedging as outlined in SSAP No. 86, Accounting for Derivative Instruments and
Hedging, Income Generation, and Replication (Synthetic Asset) Transactions, then the underlying derivative transactions
composing that strategy should be reported in that category of Schedule DB. If the underlying derivative strategy does not
meet the definition of hedging as per SSAP No. 86, then the underlying derivative transactions composing that strategy
should be reported as either hedging other, replication, income generation or other.
DEFINITIONS OF DERIVATIVE INSTRUMENTS
A hedge transaction is “Anticipatory” if it relates to:
a.
A firm commitment to purchase assets or incur liabilities; or
b.
An expectation (but not obligation) to purchase assets or incur liabilities in the normal course of business.
“Underlying Interest” means the asset(s), liability(ies) or other interest(s) underlying a derivative instrument, including, but
not limited to, any one or more securities, currencies, rates, indices, commodities, derivative instruments, or other financial
market instruments.
“Option” means an agreement giving the buyer the right to buy or receive, sell or deliver, enter into, extend or terminate, or
effect a cash settlement based on the actual or expected price, level, performance or value of one or more Underlying
Interests.
“Warrant” means an agreement that gives the holder the right to purchase an underlying financial instrument at a given price
and time or at a series of prices and times according to a schedule or warrant agreement.
“Cap” means an agreement obligating the seller to make payments to the buyer, each payment under which is based on the
amount, if any, that a reference price, level, performance or value of one or more Underlying Interests exceed a
predetermined number, sometimes called the strike/cap rate or price.
“Floor” means an agreement obligating the seller to make payments to the buyer, each payment under which is based on the
amount, if any, that a predetermined number, sometimes called the strike/floor rate or price exceeds a reference price, level,
performance or value of one or more Underlying Interests.
“Collar” means an agreement to receive payments as the buyer of an Option, Cap or Floor and to make payments as the
seller of a different Option, Cap or Floor.
“Swap” means an agreement to exchange or net payments at one or more times based on the actual or expected price, level,
performance or value of one or more Underlying Interests or upon the probability occurrence of a specified credit or other
event.
“Forward” means an agreement (other than a Future) to make or take delivery of, or effect a cash settlement based on, the
actual or expected price, level, performance or value of one or more Underlying Interests.
467
Investments 2013
“Future” means an agreement traded on an exchange, Board of Trade or contract market to make or take delivery of, or
effect a cash settlement based on, the actual or expected price, level, performance or value one or more Underlying Interests.
“Option Premium” means the consideration paid (received) for the purchase (sale) of an Option.
“Margin Deposit” means a deposit that a reporting entity is required to maintain with a broker with respect to the Futures
Contracts purchased or sold.
GENERAL INSTRUCTIONS FOR SCHEDULE DB
Each derivative instrument should be reported in Parts A, B or C according to the nature of the instrument, as follows:
Part A:
Part B:
Part C:
*
Positions in Options,* Caps, Floors, Collars, Swaps, and Forwards**
Positions in Futures Contracts
Positions in Replication (Synthetic Asset) Transaction
Warrants acquired in conjunction with public or private debt or equity that are more appropriately reported in
other schedules do not have to be reported in Schedule DB.
** Forward commitments that are not derivative instruments (for example, the commitment to purchase a GNMA
security two months after the commitment date or a private placement six months after the commitment date)
should be disclosed in the Notes to Financial Statements, rather than on Schedule DB.
All derivatives, regardless of maturity date, are to be reported on Schedule DB. Forward commitments where the reporting
entity cannot determine at the inception of the contract, with certainty, if delivery will be made at the earliest opportunity are
essentially forward contracts and should be reported on Schedule DB.
The reporting entity may be required to demonstrate the intended hedging characteristics under state statute in order to report
in this derivative “Hedge Other” category.
The fair value is the value at which the instrument(s) could be exchanged in a current transaction. Amortized or
book/adjusted carrying values should not be substituted for fair value. Public market quotes are the best indication of fair
value. The reporting entity should document the determination of fair value.
Part D should be used to report the counterparty exposure (i.e., the exposure to credit risk on derivative instruments) to each
counterparty (or guarantor, as appropriate).
Derivatives shall be shown gross when reported in the Schedule DB. If these transactions are permitted to be reported net in
accordance with SSAP No. 64, the investment schedule shall continue to provide detail of all transactions (gross), with the
net amount from the valid right to offset reflected in the financial statements (pages 2 & 3 of the statutory financial
statements). Disclosures for items reported net when a valid right to offset exists, including the gross amount, the amount
offset, and the net amount reported in the financial statements are required per SSAP No. 64.
468
Column 19
–
Hedge Effectiveness at Inception and at Termination
For hedge transactions, show as a percentage expressed as (XX / YY), where “XX” shows the hedge
effectiveness percentage at inception and “YY” shows the hedge effectiveness percentage at
termination. For example, 100.45% hedge effectiveness at inception and 94.90% hedge effectiveness
on December 31 of the current year is reported as “100 / 95.” Round to the nearest whole percentage.
Do not use decimals. When hedge effectiveness cannot be calculated, enter a reference code number in
this column (e.g., 0001, 0002, etc.) then disclose the financial or economic impact of the hedge at the
end of the reporting period in Schedule DB footnotes for each reference code number used in the
schedule. A reference code number may be used multiple times in this column to indicate the same
explanation.
For example:
a)
0001
Reduces bond portfolio duration by .2 years.
Fair Value Hedges:
How much of the change in value of the hedged item(s) was hedged by the change in value of
the derivative, both:
·
·
b)
At the inception of the derivative transaction; and
At termination.
Cash Flow Hedges:
How much of the change in cash flows or present value of cash flows of the hedged item(s) was
hedged by the change in cash flows or present value of cash flows of the derivative, both:
·
·
Column 20
–
At the inception of the derivative transaction; and
At termination.
Value of One (1) Point
This represents the monetary value of a one (1) point move in a futures position published by the
exchange. This monetary value of one (1) point is utilized in the calculation of the futures’ variation
margin.
** Column 21 will be electronic only **
Column 21
–
Legal Entity Identifier (LEI)
Provide the 20-character Legal Entity Identifier (LEI) for any counterparty as assigned by a designated
Local Operating Unit. If no LEI number has been assigned, leave blank.
493
Investments 2013
SCHEDULE DB – PART D – SECTION 1
COUNTERPARTY EXPOSURE FOR DERIVATIVE INSTRUMENTS OPEN
DECEMBER 31 OF CURRENT YEAR
Counterparty Exposure to any one counterparty is the exposure to credit risk associated with the use of derivative instruments
with that counterparty. This section displays the Book/Adjusted Carrying Value exposure and Fair Value exposure to each
counterparty, net of collateral. Also displayed is the total potential exposure for each counterparty for Schedule DB, Parts A
and B.
On the first line, show the aggregate sum for exchange traded derivatives. On subsequent lines, show separately six groups of
OTC (over-the-counter) derivative counterparties by NAIC Designation, followed by the aggregate sum for centrally cleared
derivatives. Within each group, list the counterparties or central clearinghouses in alphabetical order. For each counterparty
with a master agreement, show on a second line, if applicable, totals for derivative instruments not covered by the master
agreement. Use additional lines, as needed, if multiple master agreements with the counterparty exist that do not provide for
netting of offsetting amounts by the reporting entity against the counterparty upon termination in the event that the
counterparty defaults. Show subtotals for each group.
If a reporting entity has any detail lines reported for any of the following required groups, it shall report the subtotal amount
of the corresponding group with the specified subtotal line number appearing in the same manner and location as the
pre-printed total.
Aggregate Sum of Exchange Traded Derivatives ............................................................................................................ 0199999
Total NAIC 1 Designation ............................................................................................................................................... 0299999
Aggregate Sum of Central Clearinghouses ...................................................................................................................... 0899999
Total (Sum of 0199999, 0299999, 0399999, 0499999, 0599999, 0699999, 0799999 & 0899999) ................................ 0999999
Column 1
–
Description of Exchange, Counterparty or Central Clearinghouse
The first line for the Aggregate Sum of Exchange Traded Derivatives. On subsequent lines, show the
name and the Commodity Futures Trading Commission’s Legal Entity Identifier (LEI), if an LEI
number has been assigned, for the counterparty or central clearinghouse. Include the name and the LEI
of the central clearinghouse and the derivatives clearing member, where appropriate.
Column 2
–
Master Agreement (Y or N)
The lines for the Aggregate Sum of Exchange Traded Derivatives (Line 0199999) and for the
Aggregate Sum of Central Clearinghouses (Line 0899999) should be left blank. For OTC
counterparties, indicate “Y” if:
1.
The reporting entity has a written International Swaps and Derivatives Association (ISDA)
master agreement with the counterparty that provides for the netting of offsetting amounts by
the reporting entity against the counterparty upon termination in the event that the counterparty
defaults, or if such netting provisions of an ISDA master agreement are either incorporated by
reference in transaction confirmations or are otherwise contractual provisions to which
derivative instrument confirmations with the counterparty are subject, or if the reporting entity
has a written non-ISDA master agreement with the counterparty that provides for the netting of
offsetting amounts or the right of offset by the reporting entity against the counterparty upon
termination in the event that the counterparty defaults; and
2.
The domiciliary jurisdiction of such counterparty is either within the United States or if not
within the United States, is within a foreign (non-United States) jurisdiction listed in the
Purposes and Procedures Manual of the NAIC Securities Valuation Office as eligible for
netting.
494
SCHEDULE DL – PART 1
SECURITIES LENDING COLLATERAL ASSETS
Reinvested Collateral Assets Owned December 31 Current Year
This schedule should include a detailed listing of reinvested collateral assets that were owned as of the end of the current
reporting year. For Schedule DL, reinvested collateral assets are collateral currently held as part of a securities lending
program administered by the reporting entity or its agent (affiliated or unaffiliated) that can be resold or repledged. This is the
currently held collateral, meaning original collateral if it is still in the original form received or the new invested asset
resulting from the disposal and/or reinvestment of the original collateral. See SSAP No. 103, Accounting for Transfers and
Servicing of Financial Assets and Extinguishments of Liabilities, for accounting guidance.
Include reinvested collateral assets from securities lending programs where the program is administered by the reporting
entity’s unaffiliated agent (i.e., collateral is received by the reporting entity’s unaffiliated agent that can be resold or
repledged). These securities will be reported in aggregate on the Assets page, Line 10
For reinvested collateral assets from securities lending programs where the program is administered by the reporting entity’s
affiliated agent (i.e., collateral is received by the reporting entity’s affiliated agent that can be resold or repledged), the
securities may be reported on Schedule DL, Part 1 if reported in aggregate on the Assets page, Line 10 or reported on
Schedule DL, Part 2 if reported in other investment schedules (e.g., Schedules A, B, BA, D, DA and E), but not both.
Reinvested collateral assets reported on Schedule DL, Part 1 are excluded from other investment schedules (e.g., Schedules
A, B, BA, D, DA and E).
Bonds, preferred stocks and common stocks are to be grouped separately, showing a subtotal for each category.
Securities borrowing and securities lending transactions shall be shown gross when reported in the Schedule DL. If these
SSAP No. 64.
Class One Bond Mutual Funds and Exchange Traded Funds, which are described in the Investment Schedules
General Instructions, are to be included in Industrial and Miscellaneous (Unaffiliated).
If an insurer has any detail lines reported for any of the following required categories or subcategories, it shall report
the subtotal amount of the corresponding category or subcategory, with the specified subtotal line number appearing
in the same manner and location as the pre-printed total or grand total line and number:
NOTE:
·
Category definitions for bonds and stocks.
·
reporting entity.
·
Flow chart for determining the NAIC designation for structured securities.
·
List of stock exchange names and abbreviations.
Category
Line Number
Bonds (Schedule D, Part 1 type):
U.S. Governments
Other Loan-Backed and Structured Securities ................................................................................... 0499999
499
All Other Governments
Issuer Obligations ............................................................................................................................... 0699999
Subtotals – All Other Governments .................................................................................................... 1099999
U.S. States, Territories and Possessions (Direct and Guaranteed)
Subtotals – U.S. States, Territories and Possessions (Direct and Guaranteed).................................... 1799999
U.S. Political Subdivisions of States, Territories and Possessions (Direct and Guaranteed)
Issuer Obligations ............................................................................................................................... 1899999
Subtotals – U.S. Political Subdivisions of States, Territories and Possessions
(Direct and Guaranteed) ................................................................................................... 2499999
U.S. Special Revenue and Special Assessment Obligations and all Non-Guaranteed
Obligations of Agencies and Authorities of Governments and Their Political Subdivisions
Subtotals – U.S. Special Revenue and Special Assessment Obligations and
all Non-Guaranteed Obligations of Agencies and Authorities of Governments
and Their Political Subdivisions ....................................................................................... 3199999
Industrial and Miscellaneous (Unaffiliated)
Subtotals – Industrial and Miscellaneous (Unaffiliated) ..................................................................... 3899999
Hybrid Securities
Subtotals – Hybrid Securities .............................................................................................................. 4899999
Parent, Subsidiaries and Affiliates
Subtotals – Parent, Subsidiaries and Affiliates.................................................................................... 5599999
Total Bonds
Subtotals – Issuer Obligations ............................................................................................................. 6199999
Subtotals – Residential Mortgage-Backed Securities .......................................................................... 6299999
Subtotals – Commercial Mortgage-Backed Securities ........................................................................ 6399999
Subtotals – Other Loan-Backed and Structured Securities.................................................................. 6499999
Subtotals – Total Bonds ...................................................................................................................... 6599999
500
Investments 2013
Column 10
–
Legal Entity Identifier (LEI)
Provide the 20-character Legal Entity Identifier (LEI) for any mortgagor, issuer or counterparty as
assigned by a designated Local Operating Unit. If no LEI number has been assigned, leave blank.
General Interrogatories:
1.
The total activity for the year represents the net increase (decrease) from the prior year-end to the current year-end.
2.
The average balance for the year is the average daily balance.
Average daily balance:
Total of daily balances divided by the number of days. Always calculate based on a
365/366 day year. If data is missing for a given date (e.g., weekend, holiday), count the
previous day’s value multiple times. The actual day count for the year (365/366) would
serve as the denominator in the average calculation.
505
Investments 2013
SCHEDULE DL – PART 2
SECURITIES LENDING COLLATERAL ASSETS
Reinvested Collateral Assets Owned December 31 Current Year
This schedule should include a detailed listing of reinvested collateral assets that were owned as of the end of the current
reporting year. For Schedule DL, reinvested collateral assets are collateral currently held as part of a securities lending
program administered by the reporting entity or its agent (affiliated or unaffiliated) that can be resold or repledged. This is the
currently held collateral, meaning original collateral if it is still in the original form received or the new invested asset
resulting from the disposal and/or reinvestment of the original collateral. See SSAP No. 103, Accounting for Transfers and
Servicing of Financial Assets and Extinguishments of Liabilities, for accounting guidance.
Include reinvested collateral assets from securities lending programs where the program is administered by the reporting
entity (i.e., collateral is received by the reporting entity that can be resold or repledged).
For reinvested collateral assets from securities lending programs where the program is administered by the reporting entity’s
affiliated agent (i.e., collateral is received by the reporting entity’s affiliated agent that can be resold or repledged), the
securities may be reported on Schedule DL, Part 2 if reported in other investment schedules (e.g., Schedules A, B, BA, D,
DA and E) or reported on Schedule DL, Part 1 if reported in aggregate on the Assets page, Line 10, but not both.
Reinvested collateral assets reported on Schedule DL, Part 2 are included in the other investment schedules (e.g., Schedules
A, B, BA, D, DA and E).
Bonds, preferred stocks and common stocks are to be grouped separately, showing a subtotal for each category.
Securities borrowing and securities lending transactions shall be shown gross when reported in the Schedule DL. If these
SSAP No. 64.
Class One Bond Mutual Funds and Exchange Traded Funds that are described in the Investment Schedules General
Instructions are to be included in Industrial and Miscellaneous (Unaffiliated).
If an insurer has any detail lines reported for any of the following required categories or subcategories, it shall report
the subtotal amount of the corresponding category or subcategory, with the specified subtotal line number appearing
in the same manner and location as the pre-printed total or grand total line and number:
NOTE:
·
Category definitions for bonds and stocks.
·
reporting entity.
·
Flow chart for determining the NAIC designation for structured securities.
·
List of stock exchange names and abbreviations.
Category
Line Number
Bonds (Schedule D, Part 1):
U.S. Governments
Other Loan-Backed and Structured Securities ................................................................................... 0499999
506

10/13 Revisions - National Association of Insurance Commissioners

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