| Q&A for Filers Compiled from NASVA members over the last few years |
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Please use these convenient bookmarks to choose a topic: Filing | RSAT | Schedule BA | Filing Exemption AVS/ISIS System | Annual/Qtrly Statement Reporting | Pricing | Billing | Miscellaneous |
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Section 2: RSAT Q & AQ: What documentation is required for an RSAT annual update? Do we have to supply support for both the reference obligation and the cash components? A: Part Thirteen, Section 4 of the P&P Manual discusses filing requirements for RSAT annual updates.Back to top Q: It does not appear that any of the short-term RSATs filed in 2005 or 2006 have been reviewed by the SVO and assigned a designation prior to maturity. As such, will the filing requirement for short-term RSATs be re-addressed in the future so industry does not have to file these types of securities? A: The only short-term RSATs filed during 2005 and 2006 were those involving the S&P 500 Futures Index, which are typically 90 days in duration. Between the time an RSAT number is obtained and the filing is received by the SVO, in many instances, the time remaining to complete the filed RSAT is between approximately 30-45 days.Back to top Q: What value does the short-term RSAT filing requirement provide to regulators if the filings are not reviewed prior to maturity? A: The value provided to regulators for filing short-term RSATs is that it facilitates their accurate reporting on Schedule DB-Part F, to the extent that RSATs - by definition - are not rated securities but unrated derivative transactions used for replication purposes.Back to top Q: When does the SVO plan to present its next report on RSATs to the Valuation Of Securities Task Force? A: The SVO can prepare a next report on RSATs whenever it is requested to do so by the VOS TF.Back to top Q: Does the VOS Task Force plan to re-evaluate the need for short-term RSATs to be filed? If so, when does it plan to undertake this examination? A: The VOS Task Force confirmed at the December 2004 National Meeting that short term RSATs were required to be filed with the SVO.Back to top Q: Currently, RSATs receive a charge for RBC and AVR. The cash component and the derivative that are included in the RSAT also receive individual charges in the AVR and RBC calculations. Therefore, there is a “double-charge” in both the AVR and RBS resulting from RSATs. The guidance allows a “credit”, if RSATs meet certain criteria, however, not all RSATs meet the criteria. Does the NAIC/SVO plan to address this issue as RSATs become more common? A: The "credit" was allowed for the specific purpose of eliminating a double charge. We believe it probably was specifically considered when a credit should not be allowed or should be reduced – though perhaps not for every potential type of transaction. It seems appropriate that in cases where the credit risk of the cash instrument is not eliminated there should be an additional RBS charge. This issue is not currently on the working agenda of the Capital Adequacy (E) Task Force, but anyone is welcome to submit an issue to the Task Force for their consideration.Back to top Q: Would any of you who file RSATs put a Z on a security on Schedule DB Part F that you have filed, but have not received a rating yet from the SVO? A: YES!Back to top Q: Does the 120 day filing rule apply to short-term RSATS? A: I include RSATS in my reporting of the 120 day rule and the interrogatory.Back to top
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