Dashboard

View valuations and risk analysis on the same screen, including funding level, assets, liabilities and value-at-risk.

Dashboard

Liabilities

Analyse liability valuations, Stress test market conditions on valuations.

Liabilities

Assets

Analyse scheme assets and stress test market conditions.

Assets

Risk

VaR interrogation, Investment strategy, What if? analysis, Stress testing against historic market events

Risk

Buyout

Buy-in and buyout pricing and analysis

Buyout

Hedging

Curve exposure and DV01 analysis

Hedging

ALM

Funding and financial projections, Analyse the impact of changing investment strategy and contributions

ALM

Funding level

  • Funding levels and valuations of assets and liabilities
  • Funding level triggers with automatic notifications

Valuation summary

  • Funding position breakdown and change over last reporting period
  • Projected liability benefit cashflows split by member section
  • Asset values and allocation by major asset classes

Value-at-Risk (VaR)

  • 1-year VaR analysis on a 95% confidence level
  • VaR attribution displayed by risk type

Risk analysis

  • VaR breakdown and change over last reporting period
  • Sensitivity of surplus/(deficit) to deterministic scenarios

Market Curves

  • Daily history of market interest rate and inflation curves
  • User-defined curves

Breakdown

  • Liability values broken down by member section

Cashflows

  • Scheme and member-level projected benefit cashflows and present values split member type and indexation

Service Cost

  • Cost of future accrual and projected service cost cashflows

Statistics

  • Summary of key membership data and liability statistics

Assumptions

  • Assumption reports for each valuation

Movement

  • Analysis of liability movement over user-defined period

What if?

  • Stress test liability cashflows, liability values and other valuation metrics
  • Stress economic and demographic assumptions including inflation rates, interest rates, and mortality assumptions
  • Combine with Assets What if? functionality

Contributions

  • Model deficit recovery contributions
  • Stress test impact of changing deficit recovery period, asset out-performance, contribution increase rate, and fixed lump sum contributions

Valuation history

  • Asset valuations split by class, geography, industry, manager, or rating

Holdings

  • View sub classes within each asset class, and analyse individual securities details
  • Sort, filter and search portfolio data

Cashflows

  • Individual security modelling and/or modelling against asset proxies
  • Projected asset cashflows split by classification, cashflows type, and accumulation
  • Drill into cashflows to analyse by payment type, sub class, and individual securities

What if?

  • Stress test asset cashflows and values
  • Stress economic assumptions (inflation rates, interest rates), market values, dividend assumptions, and credit spreads
  • Download security level cashflows and present value impact of scenarios
  • Test alternative allocation strategies within your current portfolio or by adding additional benchmarks
  • Combine with Liabilities What if? functionality

Risk History

  • 1-year Monte-Carlo VaR valuations on multiple confidence intervals

Attribution

  • Analysis of VaR attribution split by risk factor (interest rates, inflation, equity, etc.)
  • Drill into each risk factor to view a breakdown of the risk attributed to liabilities and asset class

Distribution

  • View distributions and summary statistics for VaR and individual risk factors
  • View VaR at each 0.5% confidence point along the distribution

Market events

  • View impact on scheme funding position of historical financial crises (e.g. Credit crunch, Black Monday etc.)

What if?

  • Stress test VaR and expected returns using alternative allocation strategies within current portfolio or by adding additional alternative benchmark assets
  • Set expected returns by asset class

VaR Correlation

  • Stress-test user-defined correlation and volatilities matrix of key risk factors on VaR
  • Download extended results and underlying stochastic calculation data

Indicative pricing

  • Indicative buy-in and buyout pricing from a panel of named insurers (L&G, MetLife, Pension Corporation)
  • Indicative costs calculated through member-by-member valuations using each insurers’ indicative pricing basis
  • Insurers’ indicative pricing bases updated monthly
  • Monitor indicative costs for total scheme, pensioners, or non-pensioners

Premium range tracking

  • Compare indicative costs against other PFaroe liability and asset valuations
  • Track ‘Premium Ranges’ (i.e. the cost of insuring liabilities over and above other PFaroe liability valuations and asset values) and their averages across time

DV01

  • Sensitivity of present values to a basis point movement in interest rate curve, inflation curve, and credit spreads
  • Present value movements split by liabilities, assets and the net position
  • Attributed across maturity buckets
  • Additional credit spread options to set:
    • Liability percentage credit exposure
    • Asset holdings included by credit rating

KRD

  • KRD (Key Rate Duration) analysis provided for assets, liabilities and net position, attributed across maturity buckets

Scenarios

  • Present value impact on assets, liabilities, and net position of defined interest rate scenarios

Projections

Generate and analyse projections on a stochastic or deterministic (user-defined) bases.

Stochastic

  • Stochastic projections based on Monte-Carlo modelling
  • A range of percentiles are shown for each projection

Deterministic

  • Deterministic projections based on user-specified asset returns and economic variables across each future year

Projections include:

  • Funding level
  • Surplus/(deficit)
  • Assets
  • Liabilities
  • P&L
  • Returns

 

Scenario analysis

  • Assess the impact of alternative asset allocations set for each future year
  • Assess the impact of alternative contribution strategies set for each future year
  • Compare the outcomes of different scenarios in any projection year

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