Inform decision-making and improve results

  • Interact more efficiently with advisers and managers
  • Make better decisions
  • Test suggestions, advice and scenarios
  • Gain a comprehensive understanding of risk

PFaroe, as a central, consistent and shared information platform, drives more meaningful and interactive relationships between pension plan trustees, sponsors, actuaries, consultants and investment managers.

PFaroe allows users to change key assumptions, in real time, to test a range of outcomes. With an extensive range of risk metrics, it enables stakeholders to deepen their understanding of the plan’s risk exposure, ultimately resulting in better decisions.

Surprises are avoided through PFaroe’s transparent approach to risk management. A clear and easy-to-use interface helps users understand complex issues, while still delivering the detail required by sophisticated users.

PFaroe allows plan sponsors to become increasingly self-sufficient, maximizing the use of internal resource when available. Plans can access information and test scenarios without having to rely on actuaries or consultants – they can even license the underlying valuation system to conduct full member-level valuations themselves.

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Capitalise on opportunities

  • Execute at the right time with confidence
  • Capture de-risking opportunities

PFaroe provides stakeholders with up-to-date funding, risk, and market information at their fingertips. Automatic notifications can alert as to when triggers are hit, allowing plans to react more quickly and more confidently than ever before – seizing opportunities at the point market conditions change and de-risking options become compelling.

The ready availability of detailed and up-to-date data ensures PFaroe improves the structure and implementation of de-risking and other projects including trigger-based investment strategies, liability-driven investment, liability reduction exercises, and buy-ins/buyouts.

Capitalise on opportunities

  • Execute at the right time with confidence
  • Capture de-risking opportunities

PFaroe provides stakeholders with up-to-date funding, risk, and market information at their fingertips. Automatic notifications can alert as to when triggers are hit, allowing plans to react more quickly and more confidently than ever before – seizing opportunities at the point market conditions change and de-risking options become compelling.

The ready availability of detailed and up-to-date data ensures PFaroe improves the structure and implementation of de-risking and other projects including trigger-based investment strategies, liability-driven investment, liability reduction exercises, and buy-ins/buyouts.

Increase efficiency

  • Focus on actions, not number generation
  • Work from a common and agreed understanding
  • Automate reporting

Traditionally, pension plans have obtained asset, liability and risk information from multiple sources. PFaroe provides consolidated and consistent plan-specific information in one place for all stakeholders, driving consensus and improving the nature and relevance of discussions. Decision-making is informed and the effects of suggested actions can be tested in real time.

PFaroe is often used as the focal point for meetings, moving the debate to one centred on results and actions rather than the accuracy of the numbers.

PFaroe liability valuation outputs are used to streamline accounting and other regulatory requirements. Clients in the financial sector can also save time and effort by using PFaroe to confidently satisfy their regulatory risk and capital reporting needs.

PFaroe has the flexibility to meet a broad range of reporting requirements. PFaroe’s Dashboard is designed to focus on key metrics for management discussions, while PowerPoint and Excel reporting enable standard or bespoke reports to be produced automatically.

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Superior governance framework

  • Monitor and review plan progress regularly
  • Define actions for plan security

Proper governance is essential to a well-managed pension plan and is the responsibility of all stakeholders. PFaroe ensures historic valuation and risk data is maintained and can be viewed and reported, on demand. This central repository helps plan sponsors to build the necessary controls to ensure they meet their governance obligations.

PFaroe’s regular, easy-to-access analytics allow users to frequently monitor and review a plan’s position efficiently and effectively.

PFaroe allows the interrogation of different funding strategies, and allows plan stakeholders to work together from the same platform to determine which one is most suitable.

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Features

Dashboard

Dashboard

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

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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

Assets

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

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Automatic monthly valuations

  •  Breakdown by asset sub-class
  • View and analyse 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

  • Analyse 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

Risk

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

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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 RiskFirst’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

Forecasting

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

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Powerful forecasting

  • Generate and analyse projections on a stochastic or user-defined basis
  • Underpin the forecast with RiskFirst’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 customisable 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 modelling

Custom asset modelling

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

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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

Reporting

Instantly create client-ready PowerPoint or Excel templates.

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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’s 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

Combined assets & liabilities

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

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Curve exposure and duration analysis

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

Cashflow and liquidity analysis

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

Reconciliation analysis

  • Analyse funded status movement over a user-defined period
  • 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

Optimizer

Construct an optimally hedged or cashflow-matched investment portfolio.

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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
  • Systematically 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

Liabilities

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

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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
Buyout

Buyout

Perform in-depth buy-in and buyout pricing and analysis.

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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 insurer’s indicative pricing basis, updated monthly
  • Monitor indicative costs for total plan, pensioners, or non-pensioners

Premium range tracking

  • Compare indicative costs against other PFaroe liability and asset valuations
  • Track ‘Premium Ranges’ – the cost of insuring liabilities over and above other PFaroe liability valuations and asset values – and their averages across time
Daily monitoring

Daily monitoring

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

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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.

Product Matrix

Pension Plans Endowment & Foundations Consultants Investment Managers
PFaroeDB
PFaroeE&F
PFaroeAttribution
iSTOXX RiskFirst LDI Indices