Selected ROEOBJECTIVE
18.1%
+1.3 pp vs. current
Enterprise decision engine
Optimization
Compare management actions across return, value, capital and risk objectives.
Run 2026-08-28-07
● 2,418 feasible solutions
Capital ratioCONSTRAINT
188.5%
18.5 pp headroom
Economic valueOUTCOME
6.88$bn
+$226m vs. current
Expected returnASSETS
6.4%
+46 bps vs. current
Implementation costONE-TIME
37$m
7-month payback
Efficient frontier
Expected economic ROE versus capital utilization
Current · 16.8%Selected · 18.1%Max return · 18.5%
The selected portfolio captures 76% of the available ROE improvement with materially more capital headroom than the maximum-return solution.
Objective function
Current management preference weights
Economic ROE
35%
Capital resilience
25%
Economic value
20%
PVDE
12%
Liquidity
8%
Hard constraints14All satisfied
Soft penalties3No material binding
Management action comparison
Alternative points on the optimization surface
CURRENT PORTFOLIO
Baseline
Economic ROE16.8%
Capital ratio178.0%
Economic value$6.65B
PVDE$5.51B
Liquidity coverage156%
RECOMMENDED
Management action A
Economic ROE18.1%
Capital ratio188.5%
Economic value$6.88B
PVDE$5.66B
Liquidity coverage164%
RETURN MAXIMIZER
Management action B
Economic ROE18.5%
Capital ratio171.2%
Economic value$6.79B
PVDE$5.73B
Liquidity coverage128%
Selected strategy / trade set
Actions reflected in management action A
Management actionCurrentSelectedPortfolio duration6.10 yrs6.45 yrsPrivate credit allocation18%23%Reinsurance ceded0%10%Equity hedge ratio20%35%Liquidity buffer$1.57B$1.87BExpense efficiency—5%
Outcome attribution
Contribution to ROE improvement
Execution profile
Estimated implementation
One-time cost$37mApproved budget $45m
Annual benefit$167mPre-tax run rate
Hedge and liquid assetsImmediate execution window
Private credit deploymentStaged origination
Reinsurance closeSubject to approvals
Optimization interpretation: Management action A provides the best balanced outcome. It captures most of the available return uplift, improves capital and liquidity, and avoids the narrow headroom of the maximum-return solution.