Life and pensions ALM system of the year: Fentics Technology

Fentics’ asset-liability management (ALM) and capital platform helps insurers and pension providers manage increasingly complex balance sheets by bringing assets, liabilities and capital together within a single modelling framework

Risk modelling for life insurers and pension funds – in particular, balance sheet management – has become significantly more complex in recent years. Volatile markets, growing pension risk transfer activity, expanding private market allocations and evolving solvency frameworks all mean firms need better real-time insight into their balance sheets.

Additionally, investment decisions, ALM and capital planning are becoming more tightly connected, with boards and regulators expecting firms to demonstrate a clear understanding of how strategic decisions affect solvency, earnings, liquidity and risk.

However, key balance sheet decisions often span multiple teams, systems and reporting frameworks, and bringing those perspectives together can be time-consuming, particularly when different models, assumptions and data sources are involved.

Fentics’ ALM and capital platform addresses this by bringing together assets, liabilities and capital within a single modelling framework, enabling investment, actuarial, finance and risk teams to work from the same underlying data and methodologies.

Neil Burt, group chief actuary of Monument Re Group, which was recently onboarded to the platform, explains the attraction: “Fentics has become an important part of our ALM and management reporting framework. The platform provides bottom-up, granular asset and actuarial modelling across Solvency II, Bermuda Monetary Authority and accounting regimes, supporting multiple use cases, including ALM analytics, stress-testing and business planning. Its ability to deliver consistent balance sheet insights across regulatory views has enhanced transparency across teams, and the implementation process was efficient and collaborative.”

A core element of the platform is its bottom-up modelling architecture. Asset pricing, liability valuation, solvency calculations, stress-testing and optimisation are all driven through the same modelling engine. Market and regulatory curves are constructed consistently within each scenario, helping firms maintain transparency between assumptions, calculations and outcomes.

Fentics has become an important part of our ALM and management reporting framework

Neil Burt, Monument Re Group

In today’s volatile markets, small changes in assumptions, spreads or asset allocations can have a material effect on profitability and solvency. The platform is designed to analyse these trade-offs within a single framework, allowing users to evaluate investment strategy, liability management and capital impacts simultaneously.

It also supports the multiple perspectives from which insurers increasingly need to view their business. Liabilities may need to be assessed under statutory, accounting, solvency and internal management frameworks, each with different objectives and constraints. To address this, users can model parallel company structures within the platform, representing different regulatory and management views without duplicating models or data. This allows firms to compare outcomes across regimes while maintaining consistent assumptions and governance.

Moreover, it does so at speed. When it comes to securing new business, restructuring portfolios or improving capital efficiency, opportunities can be missed if models take days to run or teams need to reconcile different outputs. Fentics’ automated market data feeds allow assets, liabilities, capital and solvency metrics to be recalculated whenever conditions change.

Users can run stress tests, scenario analyses, optimisation exercises and strategic asset allocation reviews through a web-based interface, while larger stochastic simulations and optimisation runs can be executed in the background without disrupting day-to-day workflows.

Monument Re’s onboarding required support for multiple regulatory frameworks, including Bermuda’s Economic Balance Sheet and Solvency II capital regime, alongside reinsurance collateral requirements and management reporting.

Users can now assess asset allocation decisions directly alongside reserving and capital calculations

Huarong Tang

The deployment also showcased the platform’s ability to operate at scale across large asset portfolios, complex liabilities and demanding reporting requirements.

Recent enhancements improving scalability, optimisation and governance include support for large-scale batch processing, upgrades to scenario management and audit functionality, and expanded capabilities for capital management planning. Portfolio optimisation functionality was also extended to a multi-period whole balance sheet context.

“Users can now assess asset allocation decisions directly alongside reserving and capital calculations,” says Huarong Tang, co-founder of Fentics. “This allows investment strategies to be evaluated in the context of capital charges, liquidity constraints and reserving optimisation – such as the UK matching adjustment or Bermuda scenario-based approach over a multiyear business-planning path.”

In addition to traditional market risk scenarios, the platform supports demographic, expense and combined stress scenarios, with impacts flowing consistently across assets, liabilities and capital. Analysis-of-change functionality helps users understand the drivers of movements in reserves, solvency capital requirements, earnings and equity.

Coverage has expanded too. Additional currencies have been introduced alongside support for a broader range of instruments, including convertibles, bond forwards, credit default swaps and more complex derivatives structures, reflecting the growing sophistication of insurer investment portfolios.

The cloud-based software-as-a-service platform is configured primarily through data and parameters rather than bespoke coding, explains Fei Yan, co-founder of Fentics.

“This allows firms to implement and adapt the system without extensive development projects, while maintaining flexibility as business and regulatory requirements evolve,” he says.

This flexibility will be key as insurers look to extract more value from their balance sheets while maintaining discipline around capital, liquidity and risk. Achieving that balance requires a detailed understanding of how assets, liabilities and capital interact under different market and regulatory conditions.

By bringing assets, liabilities and capital into a single, consistent view, it turns the balance sheet from a constraint to be managed into an advantage to be pressed.