RCP Strategic Advisors

RCP Policy Valuation Services

Static valuation models oversimplify the key analytics required to project accurate cost of insurance and translate changing life expectancy estimates into a rational cash flow snapshot as of a given valuation date. In addition, these cash flows do not reflect dynamic marketplace conditions regarding buyer preferences and liquidity limitations. RCP's life settlement valuation services consolidates years of sector insights, risk mitigation expertise and "insider" market data to provide comprehensive analysis at both the portfolio and policy level.

Through our analytical techniques and actuarial experience, RCP's valuation service provides an accurate projected and potential value of your life insurance portfolio. The RCP portfolio valuation process utilizes proprietary modeling, thus creating an efficient, accurate, and cost-effective policy and portfolio pricing.

The RCP approach looks at the portfolio on a policy by policy basis, conducting an in-depth analysis of each policy. This process includes Life Expectancy analysis (on dated LE's), policy illustration analysis and COI premium optimization, portfolio modeling and valuation, individual cash flow projections, and portfolio Monte Carlo simulations. RCP will deliver sensitivity analysis to define the portfolio volatility and address approaches to smooth returns over time.

Comprehensive reporting is made available to the client at the end of the project, as well as, a Power Point presentation (PPT) that can be used as a tool in presenting the portfolio to prospective investors. The reports highlight all valuation results, projected cash flows, LE analysis results, and clearly outline all assumptions and methodologies used in determining the fair market results.

Policy Illustration Review and Re-Engineering

The illustrated premium stream will be optimized based on RCP proprietary models, in order to obtain an optimized (minimum/COI) premium stream. In order for RCP to procure the best current market value for the portfolio, a RCP optimized premium stream needs to be employed. No validation of or comparisons with prior existing COI premium streams will be performed, unless otherwise advised.

LE analysis on non-current LE

The life expectancy estimate is one of the most important variables in pricing policies in the life settlement market. In the event that LE's are not up to date within an acceptable time period, the most current LE will be extended and brought to an acceptable market level. The LE extension assumptions will be based on RCP experience and market conditions.

Portfolio Modeling and Evaluation

RCP valuation models are tailored to fit the characteristics and requirements of the portfolio. Each policy is valued based on information provided including the optimized COI premiums as described above. A total value of the portfolio is obtained through the combination of all individual policies.

Sensitivity studies are performed on the portfolio valuation. The LE's are stress tested by +/-10% and/or one standard deviation in order to provide a better picture of portfolio value and performance as it relates to current market values and conditions.

Projected Cash Flows

Projected probabilistic cash flows are performed on each policy. By doing this, cash flows can be discounted at different IRR levels, making it possible to meet the demands of various investor parameters. Projected cash flows are provided for each stress test scenario.

Monte Carlo Simulations

In order to further validate the portfolio pricing analysis, RCP performs Monte Carlo simulations on the portfolio, based on a set of 1500 deterministic scenarios. The trials essentially further stress test the pool. This provides an interval for the portfolio value, pointing out the best case and worst case scenarios.

Cash flows can be generated for thousands of scenarios that can be fed into a securitization waterfall structure.

For more information please contact Nemo Perera, Managing Partner, at 212 496-7478 or by email at nemo.perera@rcps.com