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PFaroe Suite

PFaroe Suite

PFaroe DB​

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

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PFaroe DB Features

A snapshot of the pension plan’s funding level and risk attributes – key information for CFOs, CIOs and Treasury Directors.

Dashboard

Funding Levels

  • Daily funding level history​
  • Customisable metrics, including investment trigger notifications​

Asset / liability summary

  • Breakdown of funded status and its change over last reporting period​
  • Projected liability benefit cashflows split by member type​
  • Asset values and allocation by major asset classes​

Risk summary​

  • Funded status value at risk (VaR)​
  • VaR attribution displayed by macroeconomic factor​
  • Surplus/deficit in stressed scenarios​
Assets

Monitor plan assets and assess the impact of changing market conditions.​

Automatic monthly valuations​

  • Breakdown by asset sub-class ​
  • View and analyze asset cashflow projections​

What-if stress testing​

  • Stress test asset cashflows and market values​
  • Shock economic conditions including inflation rates, interest rates, dividend assumptions, and credit spreads​
  • Test alternative asset allocations; add additional benchmarks or custom funds​

Analysis of portfolio movement​

  • Analyze change in asset value over a user-defined period​
  • Drivers include: interest rates, credit spreads, benefit payments, expenses, plan contributions and changes in market indexes ​
Risk

Analyze plan risk attributes and align the investment portfolio with risk and return objectives.​

VaR attribution and distribution

  • Generate value at risk (VaR) and attribute by macroeconomic risk factor (interest rates, inflation, equity, etc.)​
  • Drill into individual risk factors and view the full distribution and summary statistics
  • Underpin the forecast with PFaroe’s powerful economic scenario model or input your own​

Analysis of historical market events​

  • Observe the impact on plan funded status if historical financial crises were replayed (e.g. Credit Crunch, Black Monday, etc.)​

What-if stress testing

  • Calculate the surplus risk and return trade-off by testing different investment strategies with custom assets and mandates
  • Stress-test VaR for changing correlation and volatility
Forecasting

Perform powerful forecasting analysis for asset-liability studies. Analyze the impact of highly customizable investment and funding strategies over time.

Powerful forecasting​

  • Generate and analyze projections on a stochastic or user-defined basis​
  • Underpin the forecast with PFaroe’s powerful economic scenario model or input your own
  • Drill down into forecasting details on a scenario-by- scenario basis ​
  • Isolate the components of benefit cost
  • Understand the year-on-year changes in assets and liabilities
  • Audit the calculation of funding requirements​

Evaluation of the optimal investment portfolio​

  • Set the asset allocation to rebalance over time in accordance with a number of sophisticated trading strategies
  • Evaluate the implementation of a dynamically trading glide path strategy ​
  • Incorporate custom assets, solutions and levered positions​

Implementation and testing of funding strategies (US plans)​

  • Choose from a selection of regulatory and customizable funding strategies, all built into PFaroe
  • Set sponsor strategies on the usage of credit balances​
  • Understand the cashflow requirements due to PBGC premiums
Custom Asset Modeling

Model and maintain custom asset classes – from mutual funds, ETFs, custom LDI solutions, completion mandates, hedge funds, and more.

Funds of funds

  • Create unique blends of asset classes using PFaroe default benchmarks
  • Define client-ready mutual funds and ETFs

LDI and completion strategies

  • Create plan-specific LDI or completion strategies by loading in a unique fund’s sensitivity profile
  • Demonstrate a custom solution value by illustrating hedge potential against benchmarks

Hedge funds

  • Replicate complex hedge fund mandates by regressing a return series against a chosen set of asset classes
Reporting

Instantly create client-ready PowerPoint or Excel templates.

Automated client reports

  • Load a client-ready PowerPoint template into PFaroe​
  • Extract valuable information on a timely basis to be prepared for clients

Detailed internal benchmarking

  • Extract key cross-client information into Excel for quick analysis
  • Easily benchmark your book of business’ summary funded status, liability discount rates, hedge ratios, and many other metrics

Bulk processing for business efficiencies

  • For clients with similar reporting needs across all their plans, PFaroe can easily automate the production of bulk reports
Combined Assets & Liabilities

Move beyond an isolated view of the liabilities and assets and analyze the combined impacts on hedging, liquidity, and funded status volatility. ​

Curve exposure and duration analysis

  • Key rate duration (KRD) and DV01 analysis for assets, liabilities and net position, attributed across customizable maturity buckets ​

Cashflow and liquidity analysis

  • Evaluate asset and liability cashflows in combination ​
  • Identify mismatches and potential liquidity issues ​

Reconciliation analysis

  • Analyze funded status movement over a user-defined period ​
  • Drivers include: interest rates, credit spreads, benefit payments, expenses, plan contributions, and changes in market indexes​
  • Drivers include: interest rates, credit spreads, benefit payments, expenses, plan contributions, and changes in market indexes​

What-if stress testing​

  • Stress net funded levels through changing economic parameters and liability assumptions
  • Understand the impact on plan payment liquidity from a change in asset allocation
Optimizer

Construct an optimally hedged or cashflow-matched investment portfolio.

Hedging and cashflow matching

  • Analyze the existing portfolio’s contribution to the interest rate, inflation and credit spread hedges across the curve
  • Optimize weightings within the existing portfolio allocation to achieve desired objectives
  • Ystematically add new asset classes into the target
  • Maintain investment constraints such as minimum long-term portfolio returns and maximum allowable surplus risk figures

Evaluation of the risk and return trade-off

  • Compare multiple allocations on a surplus risk vs. portfolio return basis
  • Illustrate the addition of custom portfolios or benchmarks using user- constructed asset classes
  • Showcase the long-term implementation of the optimal solution by porting asset classes between PFaroe modules
Liabilities

Conduct and monitor liability valuations and assess sensitivity to changing market conditions.

Valuations

  • Automatically produce liability valuations and service costs
  • Interrogate breakdown by member type and business unit
  • Full disclosure: membership data summary, liability statistics and assumptions reports monthly
  • Projected benefit cashflows split by member type and indexation

Analysis of changes over time

  • Understand changes driven by interest rates, credit spreads, accruals, benefit payments, and changes in demographic assumptions and membership data

What-if stress testing and deficit contributions

  • Stress test liability cashflows, values and other metrics
  • Shock economic and demographic assumptions including inflation rates, interest rates, and mortality assumptions ​
  • Model deficit recovery contributions
  • Change deficit recovery period, asset out- performance, contribution increase rate, and fixed lump sum contributions
Daily Monitoring

Stay informed on real-time market conditions and a plan’s funded status position, as well as other customizable metrics.

Trigger strategy alerts

  • Configure PFaroe to automatically notify you if key performance metrics are met
  • React quicker to market changes – lock in funded status gains at the right time

Market awareness

  • Track any number of customized metrics on a daily basis – from credit spreads, interest rates, plan effective rates, etc.
Climate Risk Reporting

Supporting TCFD climate scenarios reporting requirements

Scenario Analysis

  • Analyze the impact of climate scenarios on plans’ assets and liabilities
  • View a range of orderly and disorderly transition scenarios targeting specific future temperature increases

Metrics and Targets

  • Report a range of emissions and climate-based metrics
  • Review the scope 1, scope 2 and scope 3 greenhouse gas emissions of the scheme’s assets

Funding strategy

  • Understand the impact of climate risks on the scheme’s funding strategy​

Relevant Solutions for

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Awards

At the point when clients come first, awards follow

Additional Honors

Risk Market Technology Awards - 2022

Buy-side ALM Product of the year Moody’s Analytics

Winner

Risk Market Technology Awards - 2021

Buy-side ALM Product of the year Moody’s Analytics​

Winner

InsuranceERM Annual Awards 2021​

Economic Scenario Generator Software of the year​

Winner

Risk Market Technology Awards - 2020​

Buy-side ALM Product
of the year

Winner

InsuranceERM Annual Awards 2020 - Americas

Economic Scenario Generator Software of the year​

Winner