Release Notes

Last Updated: 2024-3-21

15th April 2023 - SSO, C-Ross and FX API Added

Improvements made in this version

  • SSO Sign-In added - new users can simply download the app from Store and sign in with one click - no longer need to pre-register on the website!
  • China C-Ross added - this is an interest regime bearing some resemblance to both Solvency II and US RBC. More details below.
  • FX Rate API added - the user no longer needs to manually add FX rates, which makes the portfolio import process really smooth.
  • Misc small bug fixes.

China C-Ross II highlights from investment point of view

- Clear distinction and strong diversification between domestic and foreign investments. Domestic investments are subject to interest rate risk, growth asset price risk and real estate risk. Foreign investments are subject to fixed income risk, growth asset price risk and foreign currency risk. These two sets of risks are aggregated using a uniform set of regulatory-defined correlation matrix with very strong diversification benefit implied.

- Substantially more favourable capital treatment of DM over EM assets, in spite of the "One Belt One Road" Initiative. Regulatorily "investible" DM countries include the majority of the DM world, while "investible" EM countries are only a small set of what's out there in the EM world. Furthermore, EM investments in general incur 25% arithmetically more capital charge than DM investments, even if it is a money market fund!

- Interest rate, or duration risk, is not SCR-relevant from the point of view of a Chinese insurer investing overseas, because foreign investments are not subject to interest rate capital charge. The interest rate base curve is calculated using a moving average of domestic government bond yields and an Ultimate Forward Rate; and the interest rate shocks are not applied to foreign assets.

Using the SCR Calculator, we can easily import a model portfolio of foreign investments; and then directly enter domestic capital charge figures, to observe the marginal impact on the total market risk capital charge of adding that foreign investment portfolio. Below is an example screenshot:

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