RaPID© is a state-of-the-art software based on a web interface (Edge, Firefox, Chrome), relational database and fast Java calculation engine covering risk, accounting, controlling, regulatory reporting and treasury for financial institutions.The current facts sheet describes the planning of the SAA (strategic asset allocation) for insurers.
Introduction
The balance sheet of an insurer is usually driven by the liabilities (written policies) and their premiums, costs and claims. The actuaries forecast the liabilities under several scenarios. Based on the resulting net new money – net of premiums, costs and claims – the investment unit then plans the strategic asset allocation for the coming years taking into account external limits defined by FINMA regulation 2016/05 and internal limits.
System overview
RaPID has a fully integrated ETL (extract / transform / load) that allows interfacing any core system and mapping all financial instruments. A reconciliation report ensures consistency with the accounting data. A data quality cockpit measures and amends the data. All data is historized in an Oracle DWH. All processes can be automated. Results are either shown in internal reports or book entries are written back to the accounting system
The whole system can be divided into
1
Input
2
Processing
3
Output
Input data
The input data consists of
Master data: Cash, government and government related bonds, corporate bonds, securitized and collateralized assets, private debt, equity, alternative investments, real estate, other investments, profit and loss data, and derivatives.
Externally planned data: Often parts of the assets such as real estate or mortgages are planned by units other than the investment unit. This forecast is then integrated “as is”.
Macro scenarios: Interest rates, FX rates, indexes, volatilities etc.
Parameters: This includes asset allocation targets, hedge targets, instrument mix and target amount.
Accounting rules: In order to generate postings accounting rules need to be defined.
Auxiliary data: This includes transformation tables, filters, time bucket dates etc.
In total there can be easily 50 different input tables. RaPID© has a powerful ETL (extract / transform / load) to load and map the data. Also, data can be loaded via Excel (copy & paste). Data sanity checks, data amendments and reconciliation reports ensure high data quality.
Processing
The core is the RaPID© calculation engine, which covers the following:
Calibration (matching marked-to-market with marked-to-model).
Forward / future marked-to-model of bonds, private equities, funds, options, FX forwards, interest rate swaps, mortgages, real estate etc.
Generating the new business (single contracts) based on the given SAA target mix.
Generating all accounting measures (LGAAP and IFRS 9 in parallel): Amortized cost, fair value through PNL or OCI, interest income, dividend income, realized / unrealized market gains, realized / unrealized FX gains, cash flows, duration, yield-to-maturity.
Calculation of the FINMA 16/5 tied asset ratios
Calculation of the coverage ratio
Accounting postings
Any kind of customized output
Output
The outputs of the processing are either standard or customized reports:
Multiple balance sheets including PNL for life, non-life, IFRS and portfolio views
The liabilities are valued either by using GMM, PAA or VFA (IFRS 17) or via input from actuarial function (AF).
The following charts show some sample print screens (input, processing, and output) from the system.