MOUSETRAP ® Integrated Risk Analytics
MOUSETRAP ® is a unique new pension risk quantification model developed by Gazelle which looks at the effect of employer covenant support on a defined benefit pension scheme. Using the forecast cash flows of benefit payments, investment income and recovery plan from an actuarial valuation, and standard economic and financial assumptions driving an asset-liability model (ALM), it models the risk of sponsor default and affordability of contributions in simulated future triennial valuations. This enables Mousetrap to provide risk analytics for the overall risk that scheme members’ benefits will not be paid in full and the overall security of member benefits reflecting the particular scheme and sponsor context.
A strong feature of MOUSETRAP ® is its ability to compare the outcomes in terms of security of member benefits under different sets of assumptions. This may assist both trustees and sponsors in reaching agreements as follows:
For corporate transactions MOUSETRAP ® can now provide a quantitative illustration of the impact of any change in covenant support on the security of member benefits facilitating a more precise, objective and consistent approach to demonstrating material detriment (if any). Mitigation options can also be calibrated to offset the illustrated detriment.
For scheme transactions MOUSETRAP ® can now provide a quantitative illustration of the net overall impact on the security of member benefits of combined changes in covenant support, funding level and investment policy. If necessary adjustments can then be calibrated to ensure that members are “no worse off” in terms of benefit security.
For valuations MOUSETRAP ® can compare the relative positions of the current and last valuations in terms of overall security of member benefits, illustrating whether this has improved or diminished, thereby informing decisions about funding and actuarial prudence.
For investment policy MOUSETRAP ® enables investigation of the interplay between a scheme’s investment strategy and the future contributions that would be required from a sponsor – in particular whether moving to a de-risking strategy will enhance the security of member benefits for the particular scheme and sponsor context and what the illustrative impact on sponsor pension costs would be.
To arrange an introductory presentation for your scheme or to discuss licensing a version of MOUSETRAP ® please contact: email@example.com