Revisions to SSAP No. 100 Fair Value Measurements
The NAIC approved revisions to SSAP No. 100 Fair Value Measurements during November 2010. The revised SSAP requires disclosure of certain information on assets and liabilities that are carried and reported at fair value. The requirements are effective for 2010 Annual Statement reporting.
The NAIC has established a three level fair value hierarchy for securities carried at market. Briefly, the levels can be described as follows:
Level 1 Quoted prices from active markets
Level 2 Prices based on observable market data other than quoted prices
Level 3 Prices based on unobservable market data
Basically, the new requirements require disclosure of:
The fair value of securities carried at market, segregated by hierarchy Level
Amount of transfers between Level 1 and Level 2, along with reasons for the transfers
Description of valuation techniques and inputs for Levels 2 and 3
Reasons for any transfers into or out of Level 3 as well as a reconciliation of opening to closing balances of Level 3 securities.
We would be pleased to discuss in more detail the effects of the revised SSAP on your audit and your Annual Statement preparation process.
Jerome P. Dublan, CPA
Insurance Industry Auditing and Consulting, Ltd
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