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Asset Valuation Reserve (Worksheet)

The Asset Valuation Reserve (AVR) Worksheet addresses the credit-related (default) and equity risks of a company's assets by calculating a basic contribution, a reserve objective, and a maximum reserve amount. The AVR Worksheet combines prior year reserve values, current year capital gains, and values from the supporting AVC schedules below, the AVR – Default Component and the AVR – Equity Component, for various asset classes. Eagle STAR provides the Basic, Reserve, and Maximum factors for all lines and values on the Default and Equity schedules, and values display for securities supported by ISTAR.
If supplied, the AVR process applies a Client Level tax rate to the gains/losses when determining the reserve values. Information on the worksheet includes:

• Basic Contribution

• Reserve Objective

• Maximum Reserve

See Set Up Asset Valuation Reserves (AVR) Schedules for information about the steps for creating AVR schedules.

AVR – Default Component

AVR – Default Component is the Basic Contribution, Reserve Objective and Maximum Reserve Calculations – Default Component schedule. The schedule covers the bond, preferred stock, and derivative instrument sub-components of the default component of the AVR. The basic contribution factors, on average, approximates the expected annual losses. The reserve objective factors provide an accumulation level estimated to cover, in the aggregate, about 85% of the distribution of losses for each asset category. The maximum reserve factors define the largest amount that may be accumulated in the AVR.

See Set Up Asset Valuation Reserves (AVR) Schedules for information about the steps for creating AVR schedules.

AVR – Equity Component

AVR – Equity Component is the Basic Contribution, Reserve Objective and Maximum Reserve Calculations – Equity and Other Invested Asset Component schedule. The schedule covers the common stock sub-component of the equity component of the AVR. The basic contribution factors, on average, will provide an amount that approximates expected annual losses. The reserve objective factors provide an accumulation level estimated to cover, in the aggregate, about 85% of the distribution of losses for each asset category. The maximum reserve factors define the largest amount that may be accumulated in the AVR.

See Set Up Asset Valuation Reserves (AVR) Schedules for information about the steps for creating AVR schedules.

D – Summary by Country & Verification

Schedule D – Summary by Country & Verification provides two schedule views: Summary by Country and Verification Between Years.

Schedule D – Summary by Country

Displays long term bonds and stocks owned as of the end of the current year period, with a footnote identifying the aggregate value of bonds that are valued at other than the actual fair value in the Fair Value column. The schedule provides totals by major category and country (United States, Canada, or Other Countries) for:

• Book/Adjusted Carrying Values

• Fair Value

• Actual Cost

• Par Value of Bonds

Schedule D – Verification Between Years

Summarizes the column totals from Schedule D that represent various increases and decreases in Book/Adjusted Carrying Value, from prior year end to the end of the current year. Total non-admitted assets and/or valuation allowances (if applicable) are reflected in the verification schedule, to determine the statement value of long term bonds and stocks, as of the end of the current year period.

Schedule DA – Verification

Schedule DA – Verification is the Verification Between Years – Short-Term Invested Assets schedule. The schedule summarizes the various increases and decreases in Book/Adjusted Carrying Value for short-term invested assets, from prior year end to the end of the current year period. Total non-admitted assets and/or valuation allowances, if applicable, are reflected in the verification schedule to determine the statement value of short-term invested assets as of the end of the current year period.

DB – Part A – Verification

The Schedule DB – Part A – Verification is the Verification Between Years – Futures Contracts schedule. The schedule provides a summary of column totals from Schedule DB – Part A for Sections 1 and 2, that represents various increases and decreases in Book/Adjusted Carrying Value from prior year end to the end of the current year.

DB – Part B – Verification

The Schedule DB – Part B – Verification is the Verification Between Years – Futures Contracts schedule. The schedule provides a summary of column totals from Schedule DB – Part B for Sections 1 and 2, that represents various increases and decreases in Book/Adjusted Carrying Value from prior year end to the end of the current year.

Schedule DB – Verification

Schedule DB – Verification is the Verification of Book/Adjusted Carrying Value, Fair Value and Potential Exposure of all Open Derivative Contracts schedule. The schedule verifies the amounts reported in each individual derivative schedule (Schedule D – Part A – Section 1 and Schedule D – Part B – Section 1) against those reported in the Counterparty Exposure schedule (Schedule DB – Part D – Section 1).

Schedule BA – Verification

Schedule BA – Verification is the Verification Between Years – Long-Term Invested Assets schedule. The schedule summarizes the various increases and decreases in Book/Adjusted Carrying Value for long term invested assets, from prior year end to the end of the current year period. Total non-admitted assets and/or valuation allowances, if applicable, are reflected in the verification schedule to determine the statement value of long term invested assets as of the end of the current year period.

Schedule E – Part 2 – Verification

Schedule E – Verification is the Verification Between Years – Cash Equivalents schedule. The schedule summarizes the various increases and decreases in Book/Adjusted Carrying Value for cash equivalent securities, from prior year end to the end of the current year period. Total non-admitted assets and/or valuation allowances, if applicable, are reflected in the verification schedule to determine the statement value of cash equivalents as of the end of the current year period.

General Interrogatory 28 (Schedule DM)

General Interrogatory 28 (Schedule DM) is the General Interrogatory informational schedule. The schedule provides line totals for bonds (long term and short-term) and preferred stocks for:

• Statement value

• Fair Value

• Differences between Statement value and Fair Value

D1A1 – Maturity Distribution by Designation

Schedule D – Part 1A – Section 1 is the Quality and Maturity Distribution of all Bonds Owned December 31 at Book/Adjusted Carrying Values by NAIC Designations NAIC schedule. The schedule summarizes the Book/Adjusted Carrying Value of long term and short-term bonds by quality per NAIC designation, maturity, and major categories.

D1A2 – Maturity Distribution by Major Type

Schedule D – Part 1A – Section 2 is the Maturity Distribution of all Bonds Owned December 31 at Book/Adjusted Carrying Values by Major Type NAIC schedule. The schedule summarizes the Book/Adjusted Carrying Value of long term and short-term bonds by maturity, major categories, and sub categories.

Exhibits of NII and Capital Gains (Losses)

The Exhibits of NII and Capital Gains (Losses) are Net Investment Income and Capital Gains (Losses).

Exhibit of Net Investment Income

Provides the amount, by investment categories, for investment income collected and earned during the current year, with footnotes to support amortization of premiums, accretion of discounts, and paid for accrued interest on purchases.

Exhibit of Capital Gains (Losses)

Provides the amount by investment categories for:

• Realized Gains and Losses, Other Than Temporary Impairments

• Realized Foreign Currency Gains And Losses

• Current Year Changes in Unrealized Market Gains and Losses (if required)

• Unrealized Foreign Currency Gains and Losses During the Current Year

Interest Maintenance Reserve

Captures the Realized Capital Gains/(Losses) that result from changes in the overall level of interest rates and amortizes them into income over the approximate remaining life of the investments sold. The approximate remaining life will be estimated using security attributes such as: Asset Type, Maturity Date, and conversion Sink, Call and Put schedules. Additionally, investments will be included or excluded from the IMR based on the maximum NAIC Rating and the change in NAIC Rating over the holding-period in the portfolio.

See Set Up Interest Maintenance Reserves (IMR) Schedules for information about this schedule.

Summary Investment Schedule

The Summary Investment Schedule provides the Gross Investment Holdings and related percentages, grouping securities with common risk characteristics.