Fentics provides a detailed breakdown of market Analysis of Change (AoC), encapsulating granular aspects such as carry (passage of time), interest rates, spread, default and migration, rates volatility, inflation, equity & property, and FX.
This detailed AoC is consistently applied on both sides of the balance sheet, facilitating insightful analyses such as hedging effectiveness.
We conduct carry modelling under a market-consistent approach (curves forward realised) and produce detailed carry Profit and Loss (PnL) reports (rates, spread, default etc.). This enables a thorough analysis of organic capital generation.
Regulatory parameter changes, including the Ultra Forward Rate (UFR) and Volatility Adjustment (VA) or illiquid premium in the BMA Standard Curve, are incorporated into Fentics' Analysis of Change (AoC), enabling measurements such as UFR drag and asset spread vs. liability VA (illiquid premium) analysis.
Additionally, we model changes in regulatory modelling parameters, like liquidity points of curves, to fully account for EIOPA curve movements.
Fentics provides the capability to incorporate line-by-line asset transaction history into the asset database and AoC analysis.
This feature not only offers an accurate view of the asset portfolio for any given pricing date, but it also allows transaction impact such as asset SCR change and transaction costs to be tracked and incorporated into the Analysis of Change (AoC).
When liability cash flows are available at both existing and new business cohort levels, Fentics is capable of distinguishing Analysis of Change (AoC) due to experience and new businesses. This functionality empowers you to track underwriting profitability effectively.
