Certified Reinsurer Calculations - Cat Recoverable Qualifying for Collateral Deferral
Can somebody help double-check my work on this front?
With respect to the 'Catastrophe Recoverables Qualifying for Collateral Deferral', I'm really not satisfied with an assumption that this is equal to 0 and thus ignored. Seems like a good test question. So I was trying to come up with an easy formula to remember the calculation for the provision (for CD), and I built the exhibit from Odom into Excel and it seems like it works.
The equation is:
Provision_CD = Max{N - C - K/R, 0}, where
N = Net Amount Recoverable from Reinsurers (col 19)
=Reinsurance Recoverable on Paid... (col 15) - Ceded Balances Payable (col 17) - Other Amounts Due to Reinsurers (col 18)
C = Catastrophe Recoverables Qualifying for Collateral Deferral (col 57)
K = Collateral + Funds Held (Cols 20 + 21 + 22 + 24)
R = Percent Collateral Required for Full Credit (Col 56)
Algebraically, the Net Recoverables Subject to Collateral Requirements for Full Credit cancels out of the fraction for the %_Provided calculation, and this format is quite simple to remember.
Anybody see any issues?
Comments
Yes, I think it works. Essentially, N * ( K / ( N * R ) ) = K / R.