Fentics delivers a detailed key rate interest exposure (DV01) of your entire balance sheet, with the choice of key rate tenors fully customisable by the user.
On the credit side, sector-level credit spread sensitivities (CS01) gauge the impact of spread shock on each sector (sovereign by country or corporate by rating) on assets and liabilities.
Additionally, Fentics features an interactive module that calibrates interest rate hedging swap instruments to offset any key rate shortfalls.
Fentics ensures a seamless process whether the user wants to stress only rates, or a combination of market factors.
Our platform allows for stressing rates, credit spread, default, credit rating, equity, property, interest rate volatility, and inflation factors in any combination.
The stress module is accessible across all Fentics levels, from single asset pricing to whole balance sheet generation.
Stress scenarios can be interactively created or modified, and thereafater become immediately available as inputs for your analysis.
Fentics offers detailed cash flow projections for all assets under any market scenario, enabling dynamic liquidity modelling with projected cash flow matching.
Additionally, liquidity haircuts can be applied to assets under a mass lapse stress event (which can be combined with any market scenario) to calculate stressed liquidity coverage ratios.
With all regulatory modelling self-contained, Fentics serves as a powerful tool for conducting 'what-if' analysis of regulatory changes. These analyses can range from a simple change in the ultra forward rate (UFR) or last liquid point (LLP), to a large-scale regulatory changes such as Solvency II Review 2020.
