What constitutes a defensible ORSA climate-scenario library for insurers and reinsurers — and why most off-the-shelf scenario sets aren't it.
ORSAScenariosNGFSThe NGFS scenarios — orderly, disorderly, hot-house — are useful as a calibration anchor. They are not, on their own, an ORSA scenario library. Three reasons.
First, they're economy-wide. The NGFS scenarios describe macro pathways. The ORSA needs scenarios that bite at the firm's specific portfolio, geography, line-of-business mix and operational footprint. A 3°C disorderly transition affects an Aviva-sized UK life insurer differently from a Lloyd's specialty syndicate writing offshore energy; the same NGFS scenario produces different SCR sensitivity in each.
Second, they're medium-to-long horizon. The ORSA needs scenarios at multiple horizons including 12–24 months, where the regulatory and operational channels matter more than physical and transition asset re-pricing.
Third, they don't capture compound and cascading events — the 2026 supervisory question. A flood plus a regulatory letter plus a reinsurance dispute plus a key-vendor outage compound in ways no single NGFS scenario describes.
Compound climate-operational. A Cat-4 hurricane landfall corridor coinciding with a 72-hour data-centre thermal event in the firm's primary cloud region. Both stresses arrive in the same week.
Regulatory-cascade. A material climate event triggers four parallel supervisory letters in the same quarter. Sized by operational capacity consumed, not financial loss.
Behavioural reverse-stress. What set of shocks causes a supervisory intervention restricting underwriting capacity below viable scale, even if SCR is technically met?
A common failure mode: each new scenario is a multi-week project requiring custom modelling, fresh data extraction, and bespoke management-action assumptions. By the time the scenario is built, the supervisor's question has moved on.
The Abgalis Engine approach inverts this. The channel architecture is the constant; scenarios are configurations on top of it — choose an originating shock, choose a horizon, choose a set of management actions, the channel structure does the rest. New scenarios are produced in days, not months.
Bespoke firm-specific scenarios are now the supervisory standard, not an enhancement. SS5/25 capability evidence asks for them; the CP10/25-era ORSA expects them as standing inputs; SS1/23 model-risk treatment asks the firm to validate them; the IFRS S2 disclosure references them in the strategy section. A scenario library that satisfies one regime but not the others creates inconsistency that supervisors increasingly read.
A firm-specific scenario constructed jointly with the firm's risk team, instrumented for SCR sensitivity, management-action testing, reverse-stress framing, and disclosure narrative use.