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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​

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 ​

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

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

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

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

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

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

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

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.

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​

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