Tullett Prebon Information and IDS launch Solvency II solution
Tullett Prebon Information and Allianz spin-off IDS GmbH Analysis and Reporting Services have jointly launched Solvency II Benchmark Curves, a service to enable risk managers to better calculate and manage capital requirements in response to the Solvency II Directive.
The service provides tailored and quality assured data curves enabling the calibration of risk models required in the calculation of minimum solvency requirements. It offers insurance designed liquidity-adjusted and credit-adjusted curves with an emphasis on forward-looking risk management and governance through the extrapolation of data out to 120 years.
The service is also designed to facilitate the reporting required to implement the Directive, which will force EU insurance companies to hold more capital in relation to the amount of risk they underwrite, to reduce the risk of insolvency.
The total service package includes:
– Base Curve Package including Swap Zero Curves (including extrapolation methods for maturities up to 120 years, and credit risk adjustments) 68 currencies covering G20, EEA, Asia and Latin America
– Core Swap Curves, 35 countries including G20 and EEA
– Liquidity Curves, EUR, CHF, CZK, HUF, PLN, THB, TWD, USD
– Government Curves, 36 currencies
– Corporate Credit Spread Curves
– Financial Credit Spread Curves
– Issuer Specific Pfandbrief Curves.
The curves have been constructed using a broad range of prescribed methodologies including Bootstrap, Nelson-Siegel, Nelson-Siegel-Spread, Exponential Spline, Polynomial, Smith-Wilson, Linear/Cubic Spline, ‘GDV’ model and Nelson-Siegel Long-Term Anchoring and are compliant with the guidelines from EIOPA.