Comprehensive Instrument/Balance Sheet Coverage

The KRM solution can model any of financial instrument positions held in the asset and liability portfolios held by an insurance company. Minimally, this information consists of an instrument identifier, a financial instrument type indicator, the notional or principal amount, and the security identifier for the instrument. For commonly traded instruments like equity securities and bonds, the security identifier can be used to reference additional information about the instrument, such as the issuer or the coupon rate, that is required for the KRM solution to model and analyze the instrument. For non-traded instruments like hedge fund investments, real estate investments, and derivative instruments, the information about the instrument usually must be obtained from internal systems or other sources.

The KRM solution can model securitization derivative instruments, such as REMIC, CMO, ABS, and CDO securitization tranche instruments. Tranched credit derivatives such as synthetic CDOs, tranched credit guarantees, and tranched credit default swaps are also considered securitization tranche instruments. These instruments are derivative instruments promising future cash flows derived from allocation of cash flows from an underlying asset pool and a deal tranche and cash flow waterfall structure. Normally, each asset in the underlying pool is a defaultable financial instrument with a specific issuer. In KRM, these instruments are modeled using third-party deal databases and cash flow generators, e.g. those provided by Intex Solutions. KRM models the outstanding balances and the security identifier for these instruments, and the other attributes, deal structure, and underlying asset pool are obtained from the deal database.

Kamakura can model Insurance Liability Instruments

The KRM solution can model and analyze a wide range of insurance contracts, annuity contracts, and other insurance liability instruments. KRM supports indirect modeling of these instruments using replicating portfolios as well as direct modeling of insurance liabilities as individual financial instruments.

KRM models the detailed contractual and behavioral characteristics of each financial instrument in the asset pool underlying a securitization tranche instrument. The contractual characteristics are obtained from the third-party deal database, while the behavioral characteristic is provided by prepayment, default, and recovery models KRM associates with each instrument in the underlying pool. KRM associates a specific prepayment, default, and recovery model for each instrument in the pool based upon the descriptive characteristics of the instrument, e.g. a particular type of mortgage loan. In general, the prepayment, default, and recovery model associated with instruments in the underlying pool are functions of underlying risk factor values as well as dynamic attributes of the associated instruments (e.g. remaining term), and prepayment, default, and recovery intensities and rates depend upon future values of these underlying risk factors.

Asset classes	Available out of the box / via Vendor partnership / customization	Description of modeling capabilities or plug-ins
Bonds and Notes	Out-of-the-box	All types of fixed- and floating-rate instruments that promise periodic interest payments, may amortize principal, may have embedded call/put/equity conversion options or prepayment rights, may have embedded interest rate caps and/or floors (floating-rate), including US Treasury bonds, notes, and bills, Investment Grade Corporate bonds and notes, High Yield bonds and notes, Municipal bonds, notes and bills, Commercial Mortgage Loans, Single Class Residential and Commercial Mortgage Backed Securities (MBS/CMBS), Emerging Market bonds, notes, and bills, can be modeled as individual financial instruments in the KRM solution.
Securitization Tranche Instruments	Out-of-the-box	All types of securitization tranche instruments that promise periodic fixed- or floating-rate interest payments, amortize principal based on cash flow allocations from an underlying asset pool, including tranches of collateralized mortgage obligations (CMOs), collateralized loan obligations (CLOs), and collateralized debt obligations (CDOs), can be modeled as individual financial instruments in the KRM solution.
Equity Securities	Out-of-the-box	All types of equity security instruments that represent ownership interests in a corporation or other entity, may pay periodic dividends, and have future returns described by an asset return function can be modeled as individual financial instruments in the KRM solution.
OTC Interest Rate Derivative Instruments	Out-of-the-box	All types of OTC interest rate derivative instruments, including interest rate swaps, interest rate swaptions, forward rate agreements, interest rate caps, floors, and collars, and interest and principal strips of fixed- and floating-rate instruments.
OTC Bond and Other Fixed- and Floating Rate Instrument Derivative Instruments	Out-of-the-box	All types of OTC bond and other fixed- and floating-rate instrument derivative instruments, including forward and option contracts on bonds and other fixed- and floating-rate instruments.
OTC Equity Derivative Instruments	Out-of-the-box	All types of OTC equity derivative instruments, including equity security and equity index forwards, options, swaps, swaptions, and index caps, floors, and collars.
OTC Foreign Exchange Derivative Instruments	Out-of-the-box	All types of OTC foreign exchange derivative instruments, including currency and FX rate swaps, swaptions, forwards, and spot FX rate caps, floors, and collars.
OTC Credit Derivative Instruments	Out-of-the-box	A wide range of credit derivative instruments, including single-name credit default swaps (CDS), first-to-default credit default swaps, credit-linked bonds, funded and unfunded synthetic CDO tranches, credit guarantees, and credit commitments.
Listed Futures Contracts	Out-of-the-box	All futures contracts on underlying money market instruments, bonds, and equity indices listed on a futures exchange
Listed Options on Futures Contracts	Out-of-the-box	All options on futures contracts on underlying money market instruments, bonds, and equity indices listed on a futures exchange
Property Instruments	Out-of-the-box	All types of property instruments that represent ownership interests in real or other property.
Currency Instruments	Out-of-the-box	All types of currency instruments that represent ownership of a specific currency.
Liability classes		Modeling capabilities
Debt Instruments	Out-of-the-box	All types of fixed- and floating-rate instruments that promise periodic interest payments, may amortize principal, may have embedded call/put/equity conversion options or prepayment rights, may have embedded interest rate caps and/or floors (floating-rate), including bonds, notes, and bills issued by The Hartford, can be modeled as individual financial instruments in the KRM solution.
Variable Annuities	Out-of-the-box/ customization	Most types of variable annuity contracts that promise periodic annuity payments in an amount related to a performance index, typically have embedded guaranteed minimum income, accumulation, withdrawal, or death options, and terminate payments upon death.
Deferred Fixed Annuities	Out-of-the-box/ customization	Most types of deferred fixed annuity contracts that promise periodic annuity payments in a contractually fixed amount starting when the beneficiary elects to receive them, may have embedded guaranteed minimum income, accumulation, withdrawal, or death options, and terminate payments upon death.
Disability Insurance	Out-of-the-box/ customization	Most types of disability insurance contracts that promise periodic insurance payments in a contractually fixed amount starting upon the occurrence of a specified disability and continuing until a specified age or death.
Property Insurance	Out-of-the-box/ customization	Most types of property insurance on property such as a home, automobile, or boat, that promises loss coverage upon the occurrence of a specified physical hazard, such as fire, collision, etc., during a specified contractual term.
Casualty Insurance	Out-of-the-box/ customization	Most types of casualty insurance promising loss coverage to a beneficiary upon occurrence of a specified legal hazard, such as worker injuries or other acts or negligence by the insured, during a specified contractual term.

Kamakura advantage Comprehensive Instrument Coverage

KRM clients can model/analyze/evaluate a comprehensive universe of on-balance sheet debt and/or equity instruments, including alternative assets such as private equity/debt, infrastructure, hedge funds, and direct lending.
KRM clients can model/analyze/evaluate a comprehensive universe of off-balance sheet debt instruments, ranging from exchange traded futures and options to interest rate caps, floors, and swaps to credit derivatives. .
KRM fully supports the integration of multiple, third-party deal libraries (i.e., Intex, Trepp, Moody’s/Markit) as well as certain third-party behavioral assumption models (i.e., ADCo and Black Knight/AFT).
KRM fully supports the integration of all requisite non-contractual behavior assumptions for all instruments, including voluntary prepayments, decay/disintermediation functions, early withdrawal/redemption options, as well as a comprehensive set of credit modeling frameworks (e.g., constant default rates, default probabilities, logistic regression-based default models, user-defined formulae).