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Balance Sheet Management

MavenBlue’s Balance Sheet Management platform (BSM) is built to address a very specific challenge in the insurance industry. Specifically the analytics & analysis of the overall capital management position of the insurer. With BSM, Insurers are able to quickly project forwards their balance sheet, visualizing key metrics and alter the balance sheet to changing company and economic scenarios.

Enabling Dynamic Balance Sheet Management

MavenBlue’s BSM Platform

MavenBlue’s BSM Platform is designed by ex C-level capital management professionals to address the inefficiencies in making company decisions. The platform is able to consume cash flow data for both sides of the balance sheet. And able to project forwards thousands of economic scenarios in minutes. Giving leadership accurate and timely insights which empower their decision making.

Insight

BSM is not built to replace your reporting systems. It’s built to complement them. Giving you early insight into the effects of both company and economic scenarios.

Speed

The BSM Platform is built on the IBM Cloud utilizing a Graphical Processing Unit (GPU) calculation engine. Meaning thousands of calculation cores running simultaneously. Delivering results in minutes.

Useability

The platform is very easy to understand for capital management professionals. Try it out now by using MavenBlue for an ALM study

A holistic approach to balance sheet management

Define, measure and manage risks now and into the future

Gain insight into the development of the Solvency II and economic ratios over time and determine the probabilities of not meeting certain threshold ratios. Mitigate risks in time if the probability of breaching certain solvency thresholds is too high.

Determine the (ruin)probabilities that the policyholders’ obligations cannot be met at all times.

Define stress scenarios and determine the consequences. Use the results to support your Own Risk Self-Assessment (ORSA) and Forward Looking Assessment of Own Risk (FLAOR).

Define, test and optimize strategies

Use your current financial figures to quantify and clarify the expected future development of your balance sheet and solvency positions.
Experiment with strategies and discover what steering variables are best suited to satisfy Solvency II and economic objectives.
Determine the optimal current and future interest rate hedging policy.
Find out what risk mitigating strategies are most efficient.
Improve your reinsurance program, capitalization, longevity and mass lapse exposure.

Define, test and optimize asset allocation strategies

Experiment with asset allocation strategies and determine the optimal current and future asset allocation.

Evaluate the impact of product portfolio changes

Visualize the long term impact of certain pricing policies.
Determine the optimal diversification between products.
Calculate the long-term profitability of products in many real-world scenarios. Assess whether your product generates enough expected return on required capital for its full duration.
Determine the impact of new business.

Find a balance between pay-outs and capital requirements

Discover what dividend policy can be set and what amount of capital is eventually needed to meet certain return and risk appetite standards.

Analyse the long-term impact of M&A’s on your business

Explore the consequences of mergers and acquisitions from a balance sheet perspective for your full investment horizon.

Features

A powerful and comprehensive solution accelerating key processes

Balance sheet modelling

Modelling of cashflows and tax costs
Modelling of risk margin
Modelling of tiering
Modelling of loss absorbing capacity of deferred tax
Dynamic modelling of pricing new business
Modelling of capital and dividend policy
Unlimited amount of balance sheets
Consolidation of balance sheets at group level
Multiple balance sheets can be modelled at the same time

Extensive analytical insights

Analysis of ruin probabilities
Comparison between different projections and strategies
Visualization of the correlation between risk drivers, balance sheet items and Solvency II measures
Standard and user-defined reports

Future projection of hundreds of balance sheet items and risk drivers

Modelling of Solvency II yieldcurve, alternative curve and pricing curve
Modelling of solvency capital requirements
Modelling of Solvency II and economic ratios
Long horizon (>= 15 years)
Monthly instead of annual projections

High-speed calculations

Parallel processing using special purpose hardware (GPUs)
User-defined number of projections (500-5.000 or more)
Less than 1 minute computing time

Deterministic and stochastic risk modelling

Deterministic modelling of (stress) scenarios for market and insurance risks
Stochastic modelling of market and insurance risks
40+ risk drivers just for swapspread and Volatility Adjustment (VA) risk by rating and sector
Analysis of change (AoC) of the solvency ratio

Modern infrastructure and technology

Web-based
Multi-device
Cloud, private cloud or on-premise configuration
Interfaces for importing and exporting data

Dynamic steering of Solvency II and economic ratios

Dynamic interest rate hedging
Dynamic asset allocation

Audit trail and data security

Audit trail in key processes to support your ORSA and FLAOR
Secured database and dataflows
Compliance with IT requirements

Services

MavenBlue provides a range of services to meet individual client requirements

Tailor-made functionalities

Add tailor-made functionalities to adapt the BSM Solution to your own risk management framework. Embed specific policies, methods, metrics or financial instruments (e.g. longevity swap) in order to fully reconcile with the way you prefer to manage and measure your risks. Your custom requests are implemented with the same quality and care as the standard functionality, and are fully documented and system tested before delivery to your acceptance test environment.

Interfacing

The BSM Solution can interface with your current systems in different degrees of robustness, but preferably it has an interface with your administration system for investments. Also liability cashflows and other balance items need to be connected. You can connect to the standard interfaces provided by the BSM Solution or we can develop a specific interface for your databases or systems.

Calibration

One more step needs to be taken care of in order to make the solution ready for your analyses. For modelling optionalities as part of the insurance policies, the BSM Solution makes use of a practical hedge portfolio. This portfolio needs to be calibrated in order to value your liabilities correctly under different scenarios. A separate module makes sure that you can easily do this yourself. After some final tuning to your initial value and risk profile, the BSM Solution is ready to go.

Training

Training sessions will be organised using practical examples related to your business. MavenBlue will ensure that you will be able to use all of BSM Solution’s functionalities and its many applications most effectively. Within the BSM Solution, online explanation and instruction is at your disposal.

Performant & Powerful

The annual full-license fee gives access to all the BSM Solution features and all software updates for a one year period. Choose a cloud, a private cloud or an on-premise implementation. License fees vary based on your implementation choice.