Disclosures

5GI Securities

The 5GI Securities disclosure report provides a count and valuation of all holdings with a designation of 5 and a suffix that includes an asterisk (*) by security group – Bonds, Loan-Backed and Structured Securities, Preferred Stock.

AM AM Best SRQ

The AM Best Supplemental Rating Question (SRQ) report lists the top ten holdings by issuer for bonds, and preferred and common stocks. The report includes the statement value, market value, SVO category, and industry for each of the top ten issuers.

S&P Blue Book

The S&P Blue Book report consists of two parts: Asset Risk Components and Liquidity Life. The Asset Risk Components report lists statement values for debt securities group by NAIC Designations and Year to Maturity for the Client or Entity. The Liquidity Life report lists statement values and market values group by Asset Type for the Client or Entity.

Moody’s Survey

The Moody’s Survey report lists statement values, par values, and fair values for all securities for the Client or Entity. These values are generated at the Portfolio Summary or Asset Type level and ordered by Moody’s Rating. You can select the report type using the panel drop-down list.

Fitch Survey

The Fitch Survey report lists statement values, par values, and fair values for all securities for the Client or Entity. These values are generated at the Portfolio Summary or Asset Type level and grouped by NAIC Designation and Modifier. You can select report type using the panel drop-down list.

Fair Value Measurement Footnotes

The NAIC Fair Value Measurement Footnotes report displays the aggregate fair value for a quarterly or annual period. You can display details by fair value hierarchy, level 1, 2, 3, or details for the aggregate carrying value by type of financial instrument. You can use the Footnote Selection (tag 7051) option on the report panel to select either the type of footnote report:

• Fair Value Measurements – Footnote 20D. This footnote report displays an aggregate fair value total by hierarchy level – 1, 2, 3 or the carrying value of "Not Practicable" for each Type of Financial Instrument.

• Fair Value Measurements – Footnote 20E. This footnote report details holdings where the security is deemed as "not practicable" to estimate the fair value of the financial instrument by the reporting entity. The report subtotals the carrying value of these "not practicable" assets by Type of Financial Instruments. You can use the Not Practicable Explanation option on the Create Insurance Overlay panel to assign an asset as "not practicable" at a client level. See "Manage Insurance Overlays" for more information.

Holdings By Designation

The Holdings By Designation report can be run for bonds or preferred stocks. It includes Book Value, Book/Adjusted Carrying Value, Cumulative STAT Unrealized, Fair Value, and Market Unrealized Gain/Loss values grouped by NAIC designation.

Impairment Disclosures – Loan-Backed

The Additional Impairment Disclosures report displays the impact on cost of impairments identified as Not Recovering Amortized Cost (NRAC) for loan-backed securities. The impairment activity included on the report is grouped by security and month-end date.

Prepayment Penalty and Acceleration Fee

The Prepayment Penalty and Acceleration Fee disclosure displays a count of the number of positions and the aggregate amount of income for securities sold, redeemed or otherwise disposed of, which generate investment income as a result of a prepayment penalty and/or acceleration fee.

Risk Based Capital (RBC) Asset Concentration Report

The RBC Asset Concentration report lists the Risk Based Capital requirement for different asset classes of securities. The RBC factors used in the report are specific to the reporting company type.

Risk Based Capital (RBC) Size Factor Report

The RBC Size Factor report displays the Number of Issuers and the Weighted Number of Issuers for a portfolio. The size factor reflects the higher risk of a bond portfolio that contains relatively fewer bonds. The overall factor decreases as the portfolio increases in size. The size factor is based on the weighted number of issuers held by the portfolio.

Statutory Disclosure Summary

The report details the various realized and unrealized gains and losses at the asset level for a client or entity, grouped by SVO Code, Security Type, time to maturity, and time in a loss position. The report reconciles the costs related to impairments, grouped based on the impairment reason.

Supplemental Investment Risks Interrogatories

The Supplemental Investment Risks Interrogatories report includes information designed to assist regulators in identifying and analyzing the risks inherent in an investment portfolio. The Interrogatories apply only to general account assets. Holdings are grouped based on criteria, such as issuer and country, with the top holding displayed as a percentage of total invested assets. Because not all assets held by the client are necessarily present in Eagle STAR, the total invested assets for the client/month end date is required to generate the schedule, and must be entered on the report panel. The value is used as the denominator in the calculation of the various "percentage of total assets" values reported on the schedule. NAIC Designations for issuers and sovereign countries are required to support the values included on the report. See Manage NAIC Designations for a SVO Company Code for more information about this supporting data.

Wash Sales – Footnote 17c Report

The report displays a summary of the potential statutory wash sales by security, for a reporting period. The report is grouped by security types of Bonds and Preferred Stocks and by NAIC Designation within those groupings. You can only create the report at the client level for quarterly and annual periods. See Set Up Wash Sales – Footnote 17c Schedules for more information about this report.

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