What the schedules contain
| Schedule | What it lists | Why it matters |
|---|---|---|
| Schedule D, Part 1 | Every long-term bond owned at year-end: issuer, CUSIP, par, book/adjusted carrying value, fair value, rate, maturity, NAIC designation | The core of the portfolio. Yield, duration, credit quality, and concentration all come from here |
| Schedule D, Part 1A | Bonds summarized by NAIC designation and by years to maturity | A one-page view of credit quality and the maturity ladder |
| Schedule D, Part 2 | Preferred and common stocks owned | Equity exposure and its share of surplus |
| Schedule D, Parts 3–5 | Bonds and stocks acquired and disposed of during the year | Turnover, realized gains and losses, and whether trading matches the policy |
| Schedule DA | Short-term investments | Together with Schedule E (cash), the liquidity position |
| Schedule BA | Other long-term invested assets: private funds, real estate partnerships, and similar | The alternatives book, which rating agencies watch closely at smaller carriers |
| Exhibit of Net Investment Income | Income by asset class and investment expenses | What the portfolio actually earned, and what it cost to run |
The handful of measures that matter
From these schedules a reviewer can compute everything a finance committee needs to oversee the portfolio. Book yield and the gap between book and market yield show whether the portfolio is earning what today's market offers. The maturity ladder from Part 1A, with coupons and yields from Part 1, gives a working duration figure; set against the liabilities, that is the first ALM question answered. The NAIC designation mix (designations 1 and 2 are investment grade; 3 through 6 are below) shows credit quality in the regulator's own terms and drives the bond capital charge. Issuer and sector concentration come straight from Part 1. Cash and short-term as a share of invested assets, from Schedules DA and E, measure liquidity, and usually reveal cash drag. Schedule BA as a share of surplus is the alternatives exposure a rating analyst will ask about. And investment income to average invested assets over five years, from the Five-Year Historical Data page, is the plain-English answer to "how is the portfolio doing."
What the numbers should make a board ask
- Our yield is below peers of our size and type. Is that a deliberate quality or duration choice, or cash sitting idle?
- Our maturity ladder is bunched in the next three years. Was that a decision about the liabilities, or where the manager found bonds?
- Ten percent of invested assets is in cash and short-term. What liquidity event is that sized for, and does the reinsurance program already cover it?
- Schedule BA has grown to a meaningful share of surplus. Who is monitoring those funds, and how are they valued?
- Investment expenses in the income exhibit have risen with assets. What are we paying in basis points, and what would a mandate of this size cost today?
Where the data comes from and what it can't tell you
The statutory statement is a public document filed with the domiciliary regulator and the NAIC. Peer comparisons are possible because every insurer files the same schedules in the same format, which is what makes a benchmark meaningful. The schedules have limits: Schedule D gives maturity and coupon but not option-adjusted analytics, so duration from the filing is an approximation suitable for oversight rather than trading; fair values are as of a single date; and the filing says nothing about the liabilities, which is why portfolio-side analysis is the start of oversight rather than the end of it.
The complimentary diagnostic. We take your year-end statutory statement, compute these measures, compare them with a peer group of similarly sized carriers, and return a ten-page written read-out with the method shown. It is the fastest way to find out whether there's a conversation worth having.