INVESTMENT SCHEDULES GENERAL INSTRUCTIONS

Bond Definition

Proposed Reporting Lines

Exposed July 18, 2022

This document proposes annual statement general instructions (reporting line descriptions) for suggested reporting lines for

investments reported ad issuer credit obligations or asset-backed securities on Schedule D, Part 1. As detailed within, the

general classifications that currently exist are proposed to be deleted and new reporting lines divided between issuer credit

obligations and asset-backed securities are suggested.

Comments are requested on all aspects of this document – including whether reporting lines should be added or deleted as

well as the suggested instructions to clarify what should be captured in each location.

Although this document is the “Investment Schedule General Instructions” the revisions have been limited to Schedule D,

Part 1. (Other sections have been deleted from this draft.) It is recognized that corresponding revisions will be required to a

variety of other schedules. Although it is perceived that the new reporting lines will be carried over into applicable schedules,

comments are also welcome on whether variations should occur. Once initial consideration occurs on Schedule D, Part 1,

then impact to other schedules will be subsequently detailed so a complete picture can be considered prior to incorporation.

The proposed reporting lines are detailed below. These lines are not part of this page in the Annual Statement Instructions but

are included for reference purposes.

Comments on the proposed lines, as well as the ordering of the proposed lines are welcome. The categories for which both

unaffiliated and affiliated holdings are proposed to be captured are identified. This is simply to identify the categories in

which affiliated holdings will be reported and does not represent the actual structure for reporting in the blanks. Comments

are requested on these categories and whether additional categories shall report affiliated investments.

Issuer Credit Obligations:

U.S. Government Obligations ..................................................................................................................................................

Other U.S. Government Securities ...........................................................................................................................................

Non-U.S. Sovereign Jurisdiction Securities .............................................................................................................................

Municipal Bonds – General Obligations ..................................................................................................................................

Municipal Bonds – Special Revenue ........................................................................................................................................

Project Finance Bonds Issued by Operating Entities (Unaffiliated / Affiliated) .....................................................................

Corporate Bonds (Unaffiliated / Affiliated) ............................................................................................................................

Mandatory Convertible Bonds (Unaffiliated / Affiliated) ........................................................................................................

Single Entity Backed Obligations (Unaffiliated / Affiliated) ...................................................................................................

SVO-Identified Bond Exchange Traded Funds – Fair Value ...................................................................................................

SVO-Identified Bond Exchange Traded Funds – Systematic Value ........................................................................................

Bonds Issued from SEC-Registered Business Development Corps, Closed End Funds & REITS (Unaffiliated / Affiliated) .

Bank Loans – Issued (Unaffiliated / Affiliated)

Bank Loans – Acquired (Unaffiliated / Affiliated) ...................................................................................................................

Mortgages Loans that Qualify as SVO-Identified Credit Tenant Loans (Unaffiliated / Affiliated) .........................................

Certificates of Deposit ..............................................................................................................................................................

Other Issuer Credit Obligations (Unaffiliated / Affiliated) ......................................................................................................

Total Issuer Credit Obligations (Unaffiliated & Affiliated) ...............................................................................................

Total Affiliated Issuer Credit Obligations ............................................................................................................................

Financial Asset-Backed Securities – Self-Liquidating

Agency Residential Mortgage-Backed Securities - Guaranteed ......................................................................................

Agency Commercial Mortgage-Backed Securities - Guaranteed ....................................................................................

Agency Residential Mortgage-Backed Securities – Not Guaranteed ..............................................................................

Agency Commercial Mortgage-Backed Securities – Not Guaranteed ...........................................................................

Non-Agency Residential Mortgage-Backed Securities (Unaffiliated / Affiliated) ..........................................................

Non-Agency Commercial Mortgage-Backed Securities (Unaffiliated / Affiliated) ........................................................

Non-Agency – CLOs / CBOs / CDOs (Unaffiliated / Affiliated) ....................................................................................

Other Financial Asset-Backed Securities - Self-Liquidating (Unaffiliated / Affiliated)..................................................

Total Financial Asset-Backed Securities - Self-Liquidating (Unaffiliated / Affiliated) ...........................................................

Financial Asset-Backed Securities – Not Self-Liquidating

Equity Backed Securities (Unaffiliated / Affiliated) .......................................................................................................

Other Financial Asset Backed Securities – Not Self-Liquidating (Unaffiliated / Affiliated) ..........................................

Total Financial Asset-Backed Securities – Not Self Liquidating (Unaffiliated / Affiliated) ..................................................

Non-Financial Asset Backed Securities - Practical Expedient .................................................................................................

Lease-Backed Securities – Practical Expedient (Unaffiliated / Affiliated) .....................................................................

Other Non-Financial Asset-Backed Securities – Practical Expedient (Unaffiliated / Affiliated) ....................................

Total Non-Financial Asset-Backed Securities – Practical Expedient (Unaffiliated / Affiliated) ...........................................

Non-Financial Asset-Backed – Full Analysis .............................................................................................................................

Lease-Backed Securities – Full Analysis (Unaffiliated / Affiliated) ..............................................................................

Other Non-Financial Asset-Backed Securities – Full Analysis (Unaffiliated / Affiliated) ..............................................

Total Non-Financial Asset-Backed Securities – Full Analysis (Unaffiliated / Affiliated) ......................................................

Total Asset-Backed Securities .....................................................................................................................................................

Total Affiliated Asset-Backed Securities....................................................................................................................................

Total Long-Term Bonds (Issuer Credit Obligations & Asset Backed Securities) ..................................................................

Total Affiliated Long-Term Bonds (Issuer Credit Obligations & Asset Backed Securities)

INVESTMENT SCHEDULES GENERAL INSTRUCTIONS

(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.

“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—Derivatives, 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 example, if a reporting entity was to acquire a TBA with the intent to take possession of a Schedule D, Part 1

qualifying mortgage-backed security, the TBA shall be reported on Schedule D, Part 1 at acquisition. If a reporting entity was

to an acquire a TBA, with the intent to roll the TBA, this acquisition is more characteristic of a forward derivative and shall

be captured on Schedule DB.)

For Rabbi Trusts, refer to SSAP No. 104R—Share-Based Payments for accounting guidance.

For the Foreign Code columns in Schedules D and DA, the following codes should be used:

“A” For Canadian securities issued in Canada and denominated in U.S. dollars.

“B” For those securities that meet the definition of foreign provided in the Supplement Investment Risk

Interrogatories and pay in a currency OTHER THAN U.S. dollars.

“C” For foreign securities issued in the U.S. and denominated in U.S. dollars.

“D” For those securities that meet the definition of a foreign as provided in the Supplement Investment Risk

Interrogatories and denominated in U.S. dollars (e.g., Yankee Bonds or Eurodollar bonds).

Leave blank for those securities that do not meet the criteria for the use of “A”, “B”, “C” or “D.”

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—Offsetting and Netting of Assets and

Liabilities, 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 and 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—Offsetting and Netting of Assets and Liabilities.

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 – Loaned or leased to others

RA – Subject to repurchase agreement

RR – Subject to reverse repurchase agreement

DR – Subject to dollar repurchase agreement

DRR – Subject to dollar reverse repurchase agreement

C – Pledged as collateral – excluding collateral pledged to FHLB

CF – Pledged as collateral to FHLB (including assets backing funding agreements)

DB – Pledged under an option agreement

DBP – Pledged under an option agreement involving “asset transfers with put options”

R – Letter stock or otherwise restricted as to sale – excluding FHLB capital stock

(Note: Private placements are not to be included unless specific restrictions as to

sale are included as part of the security agreement.)

RF – FHLB capital stock

SD – Pledged on deposit with state or other regulatory body

M – Not under the exclusive control of the reporting entity for multiple reasons

SS – Short sale of a security

O – Other

The following is the description of the General and Specific Classifications used for reporting the detailed lines for bonds and

stocks.

General Classifications Bonds Schedule D, Part 1 Only:

All investments shall qualify for reporting on Schedule D, Part 1. Investments that may fit within the classifications below

are not permitted on Schedule D, Part 1 if they do not qualify under the bond definition detailed within SSAP No. 26R—

Bonds and SSAP No. 43R—Asset-Backed Securities or are otherwise named in scope within those statements.

(Note: Schedule D-1 references will be updated to reflect D-1-1 (ISC) and D-1-2 (ABS) if that approach is supported.)

Refer to SSAP No. 26R—Bonds, SSAP No. 43R—Loan-Backed and StructuredAsset-Backed Securities and SSAP No. 97—

Investments in Subsidiary, Controlled and Affiliated Entities for additional guidance.

Issuer Credit Obligations – Investments that qualify for reporting on Schedule D, Part 1 in scope of SSAP No. 26R:

U.S. Government Obligations:

U.S. Government shall be defined as U.S. Government Obligations, as defined per the Purposes and

Procedures Manual of the NAIC Investment Analysis Office, includes direct claims (including securities, loans

and leases) on, and the portions of claims that are directly and unconditionally issued, guaranteed or insured by

the U.S. Government or its agencies. U.S Government obligations captured within this category include

obligations issued by U.S. Government agencies that are fully guaranteed or insured as to the timely payment of

principal and interest by the full faith and credit of the U.S. Government.

Note: Although not planned as part of the A/S instructions, pursuant to the.2022 P&P Manual, investments from the

following agencies would be included in this reporting line:

• Army and Air Force Exchange Service (AAFES)

• Commodity Credit Corporation (CCC)

• Export–Import Bank of the United States (EXIM Bank)

• Farmers Home Administration (FmHA) – Certificates of Beneficial Ownership

• Federal Deposit Insurance Corporation (FDIC)

• Federal Housing Administration (FHA)

• General Services Administration (GSA)

• Government National Mortgage Association (GNMA)

• National Credit Union Administration (NCUA)

• Overseas Private Investment Corp (OPIC)

• Small Business Administration (SBA)

• U.S. Agency for International Development (USAID)

• U.S. Department of Agriculture (USDA)

• U.S. Department of Health and Human Services (HHS)

• U.S. Department of Housing and Urban Development (HUD)

• U.S. Department of the Treasury

• U.S. Department of Veterans Affairs (VA)

• U.S. International Development Finance Corporation (DFC)

• U.S. Maritime Administration (MARAD)

• Washington Metropolitan Area Transit Authority

All Other U.S. Government Securitiess:

Securities issued by U.S. Government agencies or government-sponsored enterprises that are not backed by the

full faith and credit of the U.S. Government.

This category includes securities issued from agencies that are not backed by the full faith and credit of the U.S.

Government but have a filing exemption detailed in the Purposes and Procedures Manual of the NAIC

Investment Analysis Office based on analytical judgement.

Note: Although not planned as part of the A/S instructions, pursuant to the 2022 P&P Manual, investments from the

following agencies would be included in this reporting line:

• Federal Agricultural Mortgage Corporation (Farmer Mac)

• Federal Farm Credit Banks (FFCB)

• Federal Financing Bank (FFB)

• Federal Home Loan Banks (FHLB)

• Federal Home Loan Mortgage Corporation (Freddie Mac)

• Federal National Mortgage Association (Fannie Mae)

• Financing Corporation (FICO)

• Resolution Funding Corporation (REFCorp)

• Tennessee Valley Authority (TVA)

Non-U.S. Sovereign Jurisdiction Securities

This includes bond investments issued by non-U.S. sovereign governments, including bonds of political

subdivisions and special revenue. This also includes bonds issued by utilities owned by non-U.S. governments

and bonds fully guaranteed by non-U.S. governments.

U.S. States, Territories and PossessionsMunicipal Bonds – General Obligation (Direct and Guaranteed):

Include securities issued by states, cities, counties and other governmental entities to fund day-to-day

obligations and to finance capital projects that are not secured by specific assets, but are backed by the “full

faith and credit” (taxing power) of the issuer. General obligations of these entities (NAIC members), as well as

bonds issued by utility companies owned by these entities. NAIC membership is composed of the 50 states, the

District of Columbia, American Samoa, Guam, Northern Marianna Islands, Puerto Rico, and the U.S. Virgin

Islands.

Municipal Bonds – Special Revenue

Include securities issued by states, cities, counties, and other governmental entities to finance projects not

backed by the taxing power of the issuer, but by revenues from the specific project or source (e.g., highway

tolls). Also include other municipal securities that do not qualify as general obligation (e.g., pre-refunded bonds

and insured bonds).

Project Finance Bonds Issued by Operating Entities

Include non-municipal securities issued by an operating entity as defined in SSAP No. 26R, that finances a

single asset or operation (such as a toll road or power generation facility). For these investments, the asset or

operation collateralizes the issuance and the cash flows produced satisfy the debt payments. The use of a

bankruptcy remote entity (e.g., Special Purpose Vehicle) does not preclude reporting in this category when the

entity is determined to represent an operating entity and the entity is determined to represent an operating entity

and the primary purpose of the debt issuance is to finance a specific operating project for the operating entity.

U.S. Political Subdivisions of States, Territories and Possessions (Direct and Guaranteed):

General obligations of cities, counties, townships, etc., as well as bonds issued by utility companies owned by

these entities.

U.S. Special Revenue and Special Assessment Obligations and All Non-Guaranteed Obligations of Agencies and

Authorities of Governments and Their Political Subdivisions:

Those U.S. government issues not listed as “Securities That Are Considered “Exempt Obligations” For

Purposes of Determining The Asset Valuation Reserve And The Risk-Based Capital Calculation” in the

Purposes and Procedures Manual of the NAIC Investment Analysis Office, yet included as “Filing Exemptions

for Other U.S. Government Obligations”. This category also includes bonds that are issued by states, territories,

possessions and other political subdivisions that are issued for a specific financing project rather than as general

obligation bonds. Also include mortgage reference securities that are within the scope of SSAP No. 43R—Loan-

Backed and Structured Securities.

Industrial and Miscellaneous (Unaffiliated)Corporate Bonds:

This category includes all non-governmental issues that do not qualify for some other category in Schedule D,

Part 1, including privatized (non-government ownership) utility companies. Include Public Utilities.Issuer credit

obligation issued by a company to raise capital and support company operations.

Mandatory Convertible Bonds

A type of convertible bond that has a required conversion or redemption feature. Either on or before a

contractual conversion date, the holder must convert the mandatory convertible into underlying common stock.

Single-Entity Backed Obligations

Investments for which repayment is fully supported by an underlying contractual obligation of a single

operating entity. This does not include corporate bonds or project finance structures. Examples of structures that

could qualify for reporting within this category, if payment is fully supported by a single operating entity,

include but are not limited to, equipment trust certificates, enhanced equipment trust certificates, single-tenant

lease-backed securities and funding agreement backed notes. Repayment is considered fully supported by the

underlying operating entity if the structure in place at origination provides cash flows to satisfy all interest and

at least 95% of the principal of the security. (For example, a 5-year lease-backed security that has all cash flows

for interest and principal repayment generated from one existing tenant who is under a matching 5-year lease

term on the building qualifies for reporting as a single-entity backed obligation.)

SVO Identified Funds – Fair Value:

This category includes allInclude SVO-Identified Bond Exchange Traded Funds included on the “List of

Exchange Traded Funds Eligible for Reporting as a Schedule D Bond (the ETF Bond List)” as found on the

Securities Valuation Office Web page (https://www.naic.org/svo.htm) that do not quality for, or for which the

reporting entity has elected not to report, at systematic value.

SVO Identified Funds – Systematic Value:

Include SVO-Identified Bond Exchange Traded Funds included on the “List of Exchange Traded Funds Eligible

for Reporting as a Schedule D Bond (the ETF Bond List)” as found on the Securities Valuation Office Web

page (https://www.naic.org/svo.htm) that qualify for, and that the reporting entity has elected to report, at

systematic value. Use of systematic value is an irrevocable election as long as the qualifying investment is held

by the reporting entity and qualifies for systematic value within the parameters of SSAP No. 26R.

Bonds Issued From SEC-Registered Business Development Corps, Closed-End Funds & REITs

Bonds issued by SEC-registered business development corporates, closed-end funds or similar operating entities

registered under the 1940 Act.

Bank Loans – Issued

Fixed-income instruments, representing indebtedness of a borrower, made by a financial institution. Bank loans

in this category shall be obligations of operating entities acquired directly at issuance by a reporting entity.

Bank Loans - Acquired

Fixed-income instruments, representing indebtedness of a borrower, made by a financial institution. Bank loans

in this category shall be obligations of operating entities acquired through an assignment, participation or

syndication.

See SSAP No. 26R—Bonds for guidance.

Mortgage Loans that Qualify as SVO-Identified Credit Tenant Loans

Mortgage loans, in scope of SSAP No. 37—Mortgage Loans, that have been filed with the SVO and included on

the SVO Identified Credit-Tenant Loan listing. Investments in the form of security structures shall not be

captured on this reporting line. Security structures supported by a credit tenant lease shall be reported as single-

entity back obligations (if qualifying) or captured in the appropriate reporting line for Asset-Backed Securities.

Certificates of Deposit

Certificates of deposit that have a fixed schedule of payments and a maturity date in excess of one year from the

date of acquisition.

Other Issuer Credit Obligations

Report investment structures that qualify as issuer credit obligations pursuant to SSAP No. 26R that do not fit

within a specific reporting line. (Specific reporting lines shall be utilized when applicable.) Debt instruments in

a CAPCO permitted under SSAP No. 26R shall also be captured within this category.

Hybrid Securities:

Securities whose proceeds are accorded some degree of equity treatment by one or more of the nationally

recognized statistical rating organizations and/or which are recognized as regulatory capital by the issuer’s

primary regulatory authority. Hybrid securities are designed with characteristics of debt and of equity and are

intended to provide protection to the issuer’s senior note holders. Hybrid securities products are sometimes

referred to as capital securities. Examples of hybrid securities include Trust Preferreds, Yankee Tier 1s (with

and without coupon step-ups) and debt-equity hybrids (with and without mandatory triggers).

This specifically excludes surplus notes, which are reported in Schedule BA; subordinated debt issues, which

have no coupon deferral features; and “Traditional” preferred stocks, which are reported in Schedule D, Part 2,

Section 1. With respect to preferred stock, traditional preferred stocks include, but are not limited to

a) U.S. issuers that do not allow tax deductibility for dividends; and b) those issued as preferred stock of the

entity or an operating subsidiary, not through a trust or a special purpose vehicle.

Parent, Subsidiaries and AffiliatesAffiliated Reporting Lines:

Each reporting category other than those specific to government jurisdictions shall have affiliated investments

separately reported within the affiliate reporting line. The definition of affiliates is pursuant to Defined by SSAP

No. 97—Investments in Subsidiary, Controlled and Affiliated Entities.

Asset-Backed Securities – Investments that qualify for Schedule D, Part 1 pursuant to SSAP No. 43R:

Financial Asset-Backed Securities - Self-Liquidating – A self-liquidating security is a design where the terms of the

underlying collateral has contractual principal and interest that results with a conversion into cash over a period of time

(e.g., receivables or other such assets). (For example, a mortgage loan backing a mortgage-backed security, where the

loan balance is reduced as payments are made and is ultimately fully paid off by the borrower, or a collateralized loan

obligation (CLO) backed by bank loans that reduces as the loan is paid.) A financial asset is defined within SSAP No.

103R as cash, evidence of an ownership interest in an entity, or a contract that conveys to one entity a right (a) to receive

cash or another financial instrument from a second entity or (b) to exchange other financial instruments on potentially

favorable terms with the second entity. As a point of clarity, for the purposes of the bond definition and reporting on

Schedule D, Part 1, financial assets do not include assets for which the realization of the benefits conveyed by the above

rights depends on the completion of a performance obligation (e.g., leases, mortgage servicing rights, royalty rights,

etc.). These assets represent non-financial assets, or a means through which non-financial assets produce cash flows,

until the performance obligation has been satisfied.

Agency Residential Mortgage-Backed Securities - Guaranteed

Include ‘agency’ residential mortgage-backed securities where the mortgages or bonds are guaranteed as to

principal and interest by federal and federally sponsored agencies such as the Government National Mortgage

Association (GNMA), Federal National Mortgage Association (FNMA) or Federal Home Loan Mortgage

Corporation (FHLMC). Also include loans guaranteed by the U.S. Department of Veteran Affairs or the U.S.

Department of Agriculture’s Rural Development Housing and Community Facilities Programs. Government

Sponsored Mortgage Reference Securities shall not be captured within this category.

Agency Commercial Mortgage-Backed Securities - Guaranteed

Include ‘agency’ commercial mortgage-backed securities where the mortgages or bonds are guaranteed as to

principal and interest by federal and federally sponsored agencies such as the Government National Mortgage

Association (GNMA), Federal National Mortgage Association (FNMA) or Federal Home Loan Mortgage

Corporation (FHLMC). Also include loans guaranteed by the U.S. Department of Veteran Affairs or the U.S.

Department of Agriculture’s Rural Development Housing and Community Facilities Programs. Government

Sponsored Mortgage Reference Securities shall not be captured within this category.

Agency Residential Mortgage-Backed Securities – Not Guaranteed

Include residential mortgage-backed securities issued by an agency that is not guaranteed by federal or federally

sponsored agencies. This category shall include mortgage-referenced securities issued by a government-

sponsored enterprise (e.g., Fannie Mae or Freddie Mac) in the form of a credit-risk-transfer in which the

security is tied to a pool of residential mortgages. These items reflect instruments in which the payments

received are linked to the credit and principal payment risk of the underlying mortgage loan borrowers captured

in the referenced pool of mortgages. For these instruments, the holder may not receive a return of their full

principal as repayment is contingent on repayment by the mortgage loan borrowers in the referenced pool of

mortgages.

Agency Commercial Mortgage-Backed Securities – Not Guaranteed

Include commercial mortgage-backed securities issued by an agency that is not guaranteed by federal or

federally sponsored agencies. This category shall include mortgage-referenced securities issued by a

government-sponsored enterprise (e.g., Fannie Mae or Freddie Mac) in the form of a credit-risk-transfer in

which the security is tied to a pool of commercial mortgages. These items reflect instruments in which the

payments received are linked to the credit and principal payment risk of the underlying mortgage loan

borrowers captured in the referenced pool of mortgages. For these instruments, the holder may not receive a

return of their full principal as repayment is contingent on repayment by the mortgage loan borrowers in the

referenced pool of mortgages.

Non-Agency Residential Mortgage-Backed Securities

Include residential mortgage-backed securities not issued by a government agency.

Non-Agency Commercial Mortgage-Backed Securities

Include commercial mortgage-backed securities not issued by a government agency.

Non-Agency - CLOs/ CBOs /CDOs

Include self-liquidating collateralized loan obligations, collateralized bond obligations and collateralized debt

obligations. In general, this category includes pools of assets whose cash flows are divided into 2 or more

tranches. This also includes any other significant leverage inside the deal, for example, in the form of off-

market swaps or repo. The underlying collateral in this category consists of corporate or structured credit, cash

or synthetic. This category does not include single name underlying collateral. Lastly, the repayment of the

securities issued by CLOs/ CBOs /CDOs depend primarily on the default and recovery of the underlying

collateral and not on their market value.

The above definition includes comments from the Capital Markets Bureau to define CLOs for inclusion.

Other Financial Asset Backed Securities - Self-Liquidating

Include self-liquidating financial asset-backed securities not issued by a government agency that are not backed

by commercial or residential mortgage loans and that are not considered CLOs / CBOs / CDOs.

Affiliated Reporting Lines:

Each reporting category other than those specific to government (agency) issuances shall have affiliated

investments separately reported within the affiliate reporting line. The definition of affiliates is pursuant to

SSAP No. 97—Investments in Subsidiary, Controlled and Affiliated Entities.

Financial Asset-Backed Securities – Not Self-Liquidating – Include all financial-asset backed securities where the

structure does not represent a design where the underlying collateral converts into cash over a period of time.

Equity-Backed Securities

Include structures where the financial assets backing the structure reflect equity. These securities must

overcome the rebuttable presumption that equity-like structures do not inherently possess the characteristics to

be reported on Schedule D, Part 1 and have appropriate reporting entity documentation supporting a conclusion

that the underlying equity interests lend themselves to the production of predictable cash flows and the

underlying equity risks have been sufficiently redistributed through the capital structure of the issuer. This

category should include securitized collateralized fund obligations (CFOs) and other such structures, that

qualify within Schedule D, Part 1. (Securitized equity-backed structures, including CFO structures, that do not

qualify for Schedule D, Part 1 reporting shall be captured on Schedule BA.)

Other Financial Asset Backed – Not Self-Liquidating

Include non-self-liquidating financial asset-backed securities that are not backed by equity.

Non-Financial Asset Backed Securities (Practical Expedient) – A non-financial ABS is defined as a bond backed by

assets that are expected to generate a meaningful level of cash flows toward repayment of the bond through use,

licensing, leasing, servicing or management fees, or other similar cash flow generation. For the avoidance of doubt, there

must be a meaningful level of cash flows to service the debt, other than through the sale or refinancing of the assets. As a

practical expedient, if less than 50% of the original principal relies on the sale or refinancing of the underlying assets, the

meaningful criteria is considered to be met. In applying this practical expedient, only contractual cash flows of the non-

financial asset may be considered.

Lease-Backed Transactions (Practical Expedient)

Include structures where the generation of cash flows to use towards repayment of the asset-backed security are

predominantly driven from underlying lease transactions.

Other Non-Financial Asset Backed Securities (Practical Expedient)

Include structures where the generation of cash flows to use towards repayment of the asset-backed security are

predominantly driven from underlying cash-flow streams that do not predominantly reflect lease arrangements.

Non-Financial Asset-Backed Securities (Full Analysis) – Include non-financial asset backed securities that qualify for

reporting on Schedule D, Part 1 pursuant to SSAP No. 43R—Asset-Backed Securities, but that do not qualify within the

practical expedient for meaningful cash flows.

Lease-Backed Transactions (Full Analysis)

Include structures where the generation of cash flows to use towards repayment of the asset-backed security are

predominantly driven from underlying lease transactions.

Other Non-Financial Asset Backed Securities (Full Analysis)

Include structures where the generation of cash flows to use towards repayment of the asset-backed security are

predominantly driven from underlying cash-flow streams that do not predominantly reflect lease arrangements.