Explorer

The firm selected for testing a control that consisted of reviews of the appropriateness of the models the issuer used to determine the fair values of investments and derivatives. The firm did not evaluate the review procedures that the control owners performed including the procedures to identify items for follow up and the procedures to determine whether those items were appropriately resolved. (AS 2201.42 and .44)

The firm selected for testing a control over the valuation of the issuer's investments and derivatives that consisted of reviews of the recorded fair values. The firm did not evaluate the specific review procedures that the control owners performed to assess the reasonableness of certain assumptions used to determine these fair values. (AS 2201.42 and .44)

The issuer used models to value certain derivatives. The firm selected for testing a control that consisted of the issuer's review of the fair values determined by these models. The firm did not evaluate the specific review procedures the control owner performed to assess the reasonableness of the resulting fair values for certain of these derivatives. (AS 2201.42 and .44)

The issuer used various models in the valuation of certain derivatives. The firm selected for testing controls over these models that consisted of (1) the validation of the design and construction of models that met certain criteria and (2) the annual review of the models that were not subject to the first control. The firm did not evaluate the review procedures the control owners performed including the criteria the control owners used to identify items for follow up and whether those items were appropriately resolved. (AS 2201.42 and .44)

The issuer determined the recorded fair value of its derivatives based on valuations provided by an external valuation specialist. The firm selected for testing a control that consisted of the review of the valuation report prepared by the external valuation specialist including underlying inputs and assumptions. The firm did not evaluate the review procedures that the control owner performed including the procedures to identify items for follow up and the procedures to determine whether those items were appropriately resolved. (AS 2201.42 and .44)

The firm selected for testing a control that consisted of the issuer's review of the appropriateness of the accounting treatment for a convertible debt transaction and related derivatives that the issuer entered into during the year. The firm did not evaluate the review procedures that the control owner performed including the procedures to identify items for follow up and the procedures to determine whether those items were appropriately resolved. (AS 2201.42 and .44)

The firm selected for testing a control that consisted of the review of the price curves that the issuer used to determine the value of commodity derivatives. The firm did not evaluate the review procedures that the control owner performed including the procedures to identify items for follow up and the procedures to determine whether those items were appropriately resolved. (AS 2201.42 and .44)

The issuer used various models to value certain derivatives. The firm selected for testing a control that consisted of the review and validation of (1) new or updated models and (2) existing models based on issuer-assigned risk ratings. The firm did not evaluate the review procedures that the control owners performed including the procedures to identify items for follow up and procedures to determine whether those items were appropriately resolved. (AS 2201.42 and .44)

The issuer designated certain instruments as net investment hedges under FASB ASC Topic 815 Derivatives and Hedging. The following deficiencies were identified: · The firm selected for testing a control that included the issuer's review of its hedge accounting but did not evaluate the specific review procedures that the control owner performed over the accuracy and completeness of the issuer-prepared schedules used to evaluate the hedge accounting. (AS 2201.42 and .44)

The issuer held a portfolio of derivatives and investment securities (collectively 'investments') which were carried at fair value. - The firm selected for testing a control that consisted of a reconciliation of mark to market values of derivatives and investment securities and the investigation of variances over established thresholds. The firm did not test an aspect of the control related to certain investment securities. Further the firm did not evaluate the specific review procedures that the control owner performed to determine whether items identified for follow-up were appropriately resolved. (AS 2201.42 and .44)

The issuer held a portfolio of derivatives and investment securities (collectively 'investments') which were carried at fair value. - The firm selected for testing another control that consisted of management's review and approval of certain adjustments to derivative values for counterparty credit risk. The firm did not evaluate the specific review procedures that the control owner performed to evaluate the reasonableness of the adjustments. (AS 2201.42 and .44)

The firm selected for testing a control that consisted of the issuer's validation of the models that the issuer used in the valuation of certain of its investment securities and derivatives. The firm did not evaluate the specific review procedures that the control owners performed to assess the results of the testing of these models. (AS 2201.42 and .44)