Current through Register Vol. 49, No. 6, March 15, 2024
PURPOSE: This rule sets forth methods of disclosure,
reserving for risk-based capital and determining the asset valuation reserve
for derivative instruments used for replication transactions.
(1) An insurer may use derivatives for
replication transactions as permitted pursuant to section
375.345,
RSMo. An insurer engaging in replication transactions shall:
(A) Comply with the following requirements:
1. The disclosure and annual and quarterly
statement reporting of such replication transactions;
2. The inclusion of such transaction in the
insurer's Risk Based Capital (RBC) Report (as required by sections 375.1250-
375.1275, RSMo); and
3. If
applicable, the calculation and reporting of the asset valuation reserve for
such transaction;
(B)
Comply with the filing requirements for Replication Synthetic Asset
Transactions (RSATs) contained in the Purposes and Procedures Manual
of the Securities Valuation Office of the National Association of
Insurance Commissioners;
(C) File
with the director of the Department of Commerce and Insurance a duplicate copy
of all RSAT filings made with the Securities Valuation Office of the National
Association of Insurance Commissioners; after June 1, 2004, the director may
waive this duplicate filing requirement;
(D) Have a system for determining whether a
replication transaction has been effective in replicating the intended
investment position; and
(E)
Include all replicated investment positions in calculating compliance with the
limitations on investments contained in sections 376.300-376.305 and
379.080-379.082, RSMo; provided, that no replicated investment position shall
be held pursuant to the additional investment authority contained in sections
376.307
and
379.080.1(2)(m)
and (o), RSMo.
(2)
Notwithstanding any provision of this regulation to the contrary, an insurer
which is not required to file an RBC Report shall not use derivatives for
replication transactions.
*Original authority: 374.045, RSMo 1967, amended 1993, 1995
and 375.345, RSMo 1985, amended 2002.
