Release Notes
Last Updated: 2024-9-9
Cashflows under Different Regimes
6th March 2024
Cashflows under Different Regimes
Asset cashflows under base and stressed yield curve scenarios are now available for display and download:
- In the Cashflow form, now there is a dropdown menu for selecting the regime, and the cashflows are displayed.
- This facility is useful for floating rate notes and early-repayment assets where the cashflows are curve-scenario-dependent; and the stressed curve scenarios are insurance-regime-dependent.
In the portfolio form, regime-specific cashflows can be downloaded for a whole portfolio; and the user can choose whether to aggregate them by rating and duration, or keep them as per individual bond.
The regimes in scope for this functionality are currently: Solvency II, Bermuda, LAGIC, ICS and Singapore RBC.