Bond Quality
NAIC designation distribution, quality migration, and below-investment-grade exposure
Type
Years-
Size
PE
Methodology
Data Source: Bond Quality Distribution summary (SD0010) -- pre-aggregated carrying values by NAIC designation.
Valuation Basis: Book/Adjusted Carrying Value (BACV), which reconciles to CF0001 Net_Adm_Bonds within ~2%.
NAIC Designations: 1 (AAA-A), 2 (BBB), 3 (BB), 4 (B), 5 (CCC), 6 (D/default). IG = 1-2, HY = 3-6.
Caveats: Filters applied: Maturity_Distribution IS NULL, Asset_Issuer_Type = 'Total', Market_Type IS NULL (to avoid double-counting across sub-dimensions).
Regulatory Context
- SSAP No. 26R — Bonds -- quality designation requirements
- SSAP No. 43R — Loan-backed securities quality modeling
- Purposes and Procedures — NAIC SVO credit assessment framework
SSAP References
- SD0010 — Bond quality distribution by NAIC designation
- Schedule D-1 — Individual bond holdings with NAIC designations