SSAP 43R – Reporting NAIC Designations as Weighted Averages
SAPWG provided clarification for the accounting and reporting for instruments acquired in lots under SSAP 43 – Loan-backed and Structured Securities. Principally, the amendment addresses the question if securities acquired under the same CUSIP, at different prices, can report NAIC designations using the weighted average method as defined within the SVO standards, or whether these individual lots should be separately designated with different rating even if under the same CUSIP ID. Adopted revisions require securities with differing NAIC designations by lot to be reported in the aggregate at the lowest NAIC designation or separately by lot.
You can read more SAPWG updates from the Summer meeting in our original SSAP Chat article here.