Guide to Portfolio Rate Capture in Flexible Scenario Format

Transcription

1 Guide to Portfolio Rate Capture in Flexible Scenario Format

2 GGY AXIS 5001 Yonge Street Suite 1300 Toronto, ON M2N 6P6 Phone: Toll free: GGY-AXIS Fax: Web: Table of Contents 1. PORTFOLIO RATE CAPTURE SETUP FUND ASSUMPTIONS SETTING LIABILITY CATEGORIES SETTING CAPTURED RATE BASES STORING ASSET EARNED RATES TO THE SCENARIO CAPTURING THE EARNED RATES INTERACTIVELY CAPTURING THE ASSET EARNED RATES IN A BATCH VIEWING ASSET EARNED RATES IN THE SCENARIO REFERENCING THE ASSET EARNED RATES IN MODEL ASSUMPTIONS i -

3 1. Portfolio Rate Capture Setup Fund Assumptions 1.1 Setting Liability Categories When running a Fund projection in AXIS, there are at least 2 business segments: the General Account, and the whole block of assets, the Total Fund. These 2 segments are identical if there are no assets backing additional Liability Categories. If you want to capture the asset earned rate for either block of assets, you should provide a label for that segment. This label is set in the Investment Earnings section of the Fund Assumptions screen, and is a Liability Category. Page 1 of 6

4 1.2 Setting Captured Rate Bases After specifying a label for the block of assets, you should also set the method for calculating the asset earned rates that you want to capture. This is set in the Captured Rate Basis object, which is in the Investment Earned Rate section of the Fund Assumptions screen. The Captured Rate Basis object determines things like which asset accounting basis should be used to derived the earned rates, as well as whether or not investment expenses should be included in the calculation. Once these assumptions are set, you can then capture the earned rates interactively or through a Portfolio Rate Capture batch. Page 2 of 6

5 2. Storing Asset Earned Rates to the Scenario 2.1 Capturing the Earned Rates Interactively To interactively store the rates to the AXIS scenario, the user must run the Fund, then click the "Earned Rate" button when viewing calendar year results. The user will then see a wizard where they can specify the dates to capture rates for, as well as what boundaries to apply to these rates. Page 3 of 6

6 2.2 Capturing the Asset Earned Rates in a Batch To capture earned rates using a batch, the user must create a Portfolio Rate Capture batch. The Portfolio Rate Capture batch will refer to an Office or Fund level Batch Testing batch. This batch will select the Funds or Offices to be run, as well as which scenarios need to be run for each Fund or Office. The reports selected in the Batch Testing batch will be exported as well. Please also review the Note in next section Viewing Asset Earned Rates in the Scenario. In a Portfolio Rate Capture batch, the user must set up a convergence criteria. This convergence criteria may be necessary in case any of your liability assumptions depend on the asset earned rate, as this will results in a circular process that must be solved iteratively until the convergence criteria are met. At the end of each iteration, the captured earned rates will be stored to the corresponding scenario. If convergence criteria is not met, these captured earned rates will be used as the initial inputs for the following iteration in which AXIS will rerun the Office or Fund and any Cells identified in the Batch Testing batch. If you are interested in how to link the liability assumptions to the asset earned rate, this will be explained in section Referencing the Portfolio Rates below. Page 4 of 6

7 3. Viewing Asset Earned Rates in the Scenario After capturing the earned rates, they will be stored to the future scenario, in the "Portfolio Rate Capture" tab. There will be a separate page for each Liability Category you have set up to capture the Earned Rates in the Fund Assumptions, with a separate column for each Captured Rate Basis object from the Fund Assumptions screen. That is, each pair of Liability Category and Captured Rate Basis objects uniquely identify a set of captured earned rates in a future scenario. Captured Rate Bases Liability Category Note: In any one Portfolio Rate Capture batch, if you plan to capture earned rates for multiple Funds or Offices, you may want to set up a unique set of Liability Category and Captured Rate Basis pairs for each Fund or Office to avoid the captured rates for one Fund or Office in a future scenario being overwritten by those rates captured for the same pair in another Fund or Office in the same batch. This could be accomplished by setting up a separate Liability Category in each Fund/Office, or a unique Captured Rate basis in each Fund/Office. In order to make the rates captured easy to tie to each Fund/Office, we recommend a unique pair of Liability Category and Captured Rate Basis objects for each set of earned rates that will be captured. However, if you intend to have the same set of earned rates in a scenario being overwritten by different Fund/Office so that the most recent captured set is being referred to, then specifying duplicate pairs of Liability Category and Captured Rate Basis in Funds/Offices will be necessary. Page 5 of 6

8 4. Referencing the Asset Earned Rates in Model Assumptions These captured portfolio rates can be referenced anywhere in AXIS, just like any other rates in the scenario, through a Scenario Referencing Object. The type of rate in this case will be a "Portfolio Rate", and you will want to point to the appropriate Liability Category and Captured Rate Basis. In case a rate for the selected Liability Category and Captured Rate Basis pair does not yet exist in the scenario, the user may specify a Default scenario reference, which will be used as a proxy. This alternate SRO can link to the yield curve or other elements of the scenario. If you are doing the portfolio rate capture for the first time, the Portfolio Rate tab is not yet populated in the future scenario, and the proxy rate will be used. This Default Scenario Reference is very important when converting a portfolio rate capture process from the Fixed Scenario Format to the Flexible Scenario Format. Page 6 of 6