Liability Driven Investment Europe 2011


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Managing pension funds towards a liability efficient frontier in an uncertain global economic environment.

After a one year gap, Finance IQ’s Liability Driven Investment Europe 2011 brings together the entire institutional investment chain including plan sponsors, pension trustees, regulators and carefully selected asset management organisations to discuss cutting edge strategies to mitigate pension fund risk through LDI.

The conference will cover the latest insights into asset – liability matching, strategic asset allocation and upcoming European regulations to educate plan sponsors on building an optimal LDI pension strategy.

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Liability Driven Investment Europe 2011

  1. 1. Finance IQ presents the 6th Annual All star speaker line up worth a combined AuM of over €400 bnMain Conference 25-26 January 2011 | Post-Conference Workshop 26 January 2011 | Venue Hotel Okura, AmsterdamManaging pension funds towards a liability efficient frontierin an uncertain global economic environmentJoin Europe’s leading LDI forum to get the latest strategies, investment techniques andpioneering case studies from a leading line up of speakers including plan sponsors and LDIexperts. Attending the event will enable you to:w Minimise your asset–liability mismatch by learning how to implement the next generation of optimal LDI strategies from practitioners like the Bank of Finland and the Pension Protection Fundw Hear how ATP achieved its stellar fund performance in recent years despite the market volatility from their Chief Risk Officer so you can benefit from their strategies to manage systematic riskw Gain insights from the Pension Protection Fund on how you can diversify your pension fund assets in a LDI framework by capitalising on alternative investments to boost returnsw Examine the impact of OTC derivative reforms on your business and the European pensions industry and how you can prepare to hedge for these effectsw Implement a cost efficient LDI framework that enables pension sponsors for small schemes to take advantage of this strategyMeet your expert LDI Europe 2011 speaker faculty: Robert Gardner, Co-Chief Justus van Halewijn, Head of Alfred Slager, Chief Executive, Redington Investment Strategy Research, Investment Officer, (Chairman) Blue Sky Group Stork Charles Dumas, Chief Economist, Roger Crijns, Head of Fixed Eric Huizing, Director of Lombard Street Research Income, Grafische Bedrijven Investments, Ahold Guus Warringa, Chief Heli Huhtala, Head of Staffan Sevón, Chief Investment Counsel, APG Investments, Bank of Finland Officer, Veritas Pension Mads Gosvig, Chief Risk Ian McKinlay, Chief Investment Sako Zeverijn, Managing Officer, ATP Officer, Pension Protection Fund Director, Siemens Denis Richardson, Director Johan van der Veen, Director, Theo Hillen, Pension Fund Fixed Income, Ontario OPG Director, TDV Pension Teachers’ Pension PlanAccess complimentary Industry Reports, Articles and Exclusive Interviews from the Learning Resources Library at www.ldieurope.comSponsored by:Tel: +44 (0) 207 368 9300 Fax: +44 (0) 207 368 9301 Email: Web:
  2. 2. Dear Colleague, The environment for all plan sponsors has changed dramatically over the past few years. During research for putting together this programme I found that pension sponsors are currently spending 50% of their time on pension fund de- risking as a result of the global economic uncertainty and financial market volatility. This conference will enable you to learn from your peers, the various options to mitigate risk through LDI – a strategy that has been gaining momentum. According to SEI research, the percentage of pensions employing a liability driven investment strategy has nearly tripled over the past three years. I think the highlight of this year’s agenda is the presentation on alternative investments. Conventionally pursuing a LDI strategy meant your pension fund assets were heavily invested in fixed income instruments. However, the Pension Protection Fund will explain how you can take advantage of alternative investments within a LDI structure. This event has been designed as an interactive experience to encourage peer-to-peer knowledge transfers and insights so you have access the new approaches. Within the programme are panel discussions, up to date case studies from ATP and APG and presentations from pension sponsors like Stork and Blue Sky Group sharing the results of their LDI strategy. I look forward to meeting you in Amsterdam this January! Anita Jain Conference DirectorPast attendees by country Breakdown of 2009 Delegates by Organisationy The Netherlands y Pension fundsy South Africa y Asset Managersy United Kingdom y Consultanciesy Netherlands Antilles y Investment Banksy Switzerland y Associationsy Belgium y Othery United Statesy Canaday Francey Italyy GermanyWho should attend Liability Driven Investment Europe 2011?w Plan Sponsors w LDI Solutions Specialists w Pension Actuariesw Pension Fund Trustees w Asset Managers w Pension Consultantsw Pension Directors w Risk ManagersSPONSORSHIP OPPORTUNITIES Three easy ways to get involved1) Thought Leadership: With an expected audience of 2) Branding: We bring together buyers and suppliers in 3) Featured Networking Events: Focused and high level,senior finance customers and decision makers from a tailored location with unbeatable facilities for on-site our events will provide you with the perfect environmentacross the globe, Finance IQ events enable you to build branding and exposure. Furthermore, our dedicated to initiate new business relationships and achieve face toyour reputation as a market –leader in your chosen marketing team can help you achieve your promotional face contact that overcrowded tradeshows cannot deliver.domain through speaking sessions and subject specific aims in the months leading up to the conference with Sponsorship opportunities range from exhibition standsconference streams, workshops and focus days dedicated mailings to cover 50,000 contacts through to sponsored lunches, cocktail receptions, gala dinners brochure drops, extensive e-mail campaigns and tailored and a host of informal social networking events. web coverageFor further details, or to discuss which option is best for your organisation, please call James Welch on +44 (0)207 368 9300 or e-mail +44 (0) 207 368 9300 Fax: +44 (0) 207 368 9301 Email: Web:
  3. 3. www.ldieurope.comDay One Agenda: 25 January 201108:30- Registration and Coffee 13.30- Capitalizing on alternative investments09:00 14.15 in to a LDI framework • What are the benefits and risks involved in using alternative09:00- Chairman’s Opening Remarks investment strategies?09:10 Robert Gardner, Co-Chief Executive, Redington • What type of alternative investment is the most effective to minimise portfolio risk in this environment?09.10- Opening Address: The global economic • Assessing the correct weighting of alternative asset09:50 outlook – L shaped recovery or double dip? classes in the pension fund • Which way is the global economy going over the next 12 Ian McKinlay, Chief Investment Officer, Pension Protection Fund months and how is it likely to impact institutional investors? • Will Asia lead global economic growth out of recession in 14.15- Deciding whether to manage your fund 2011? 15.00 actively or passively • Assessing the threats to the global economy • Why have more funds shifted into more passive • What are the implications of the financial market outlook? management in recent years? Is active management dead? Volatility – is it here to stay? • Under what economic and financial market conditions Charles Dumas, Chief Economist, Lombard Street Research would active management be better than passive? • Is there an optimal combination of active versus passive09.50- Panel I Protecting pension funds in an management within your pension portfolio?10.30 uncertain economic climate Alfred Slager, Chief Investment Officer, Stork • Impact of the financial crisis on pension schemes using LDI? • How do pension plans prioritise hedging against the 15.00- Panel II Addressing the challenges of risks of inflation, interest rate changes, financial market 15.45 building an optimal LDI strategy volatility and longevity? • Examining the different approaches to asset-liability matching • Are LDI strategies responding to market conditions the way and evaluating factors in determining your approach they are designed to or is it a fad? • What are the next generation of LDI strategies emerging? Moderator: Robert Gardner, Co-Chief Executive, Redington • How to extend LDI strategies to cover full asset-liability Speakers: Roger Crijns, Head of Fixed Income, Grafische risk spectrum Bedrijven • How to make the most out of LDI strategies and pitfalls to Eric Huizing, Director of Investments, Ahold Pensioenfonds avoid Denis Richardson, Director Fixed Income, Ontario Teachers’ • Assessing the difficulties of designing and managing a LDI Pension Plan pension fund Anton Wouters, Head of LDI & Fiduciary Investments, BNP • Conducting an asset / liability study – what are the hurdles Loic Cadiou, Partner and Investment manager, Natixis Asset to overcome? Management Moderator: Robert Gardner, Co-Chief Executive, Redington Speakers: Ian McKinlay, Chief Investment Officer, Pension10.30 Networking Coffee Break Protection Fund Jeroen van Bezooijen, Senior Vice President, PIMCO11.00- Solvency framework for pension funds Heli Huhtala, Head of Investments, Bank of Finland11.45 – where are we and what is in store? Theo Hillen, Pension Fund Director, TDV Pension • About EIOPA • Risk based supervision – can pensions learn from Solvency II? 15.45 Networking Coffee Break • Solvency rules for pension funds – where are we? • What next after the European Commission’s Green Paper 16.15- How did the sovereign debt crisis affect on pensions 16.45 the matching portfolio? Teresa Turner, Administrator of the EIOPA Secretariat, EIOPA • What effects of the Debt Crisis where there for a Dutch pension fund?11:45- What is the impact of OTC derivatives • Is the euro swap curve still the right rate for calculating12:30 reforms on European pension funds? the value of the pension obligations and how were these • The role of central counterparties (CCP) and their rate affected by the crisis? challenges in OTC derivative clearing and settlement • What about the return outlook for the Fixed Income • What products can be cleared now and what will be portfolio and how should pension funds respond? cleared in the future? • Can High Yield bonds benefit your portfolio? • Risk attributes present that can’t be mitigated by CCP Justus van Halewijn, Head of Investment Strategy Research, • Assessing the cost of clearing and settling bilateral and Blue Sky Group centralised OTC derivatives • Will the market for tailor-made solutions be affected? 16.45- Chairman’s Closing Remarks Guus Warringa, Chief Counsel, APG 17.00 End of day one12.30 Luncheon All the speak ers we re of a very hig h qua lity. This wa s a very good eve nt- hig hly val ua blee. fro m a lea rnin g an d net wo rki ng perspe ctiv Asad Moini, APTTel: +44 (0) 207 368 9300 Fax: +44 (0) 207 368 9301 Email: Web:
  4. 4. www.ldieurope.comDay Two Agenda: 26 January 201108:30- Registration and Coffee 12.30- Panel III Can smaller pension schemes use09:00 13.15 LDI? • Are deals still largely bespoke – how does it affect pricing?09:00- Chairman’s Opening Remarks • What do equity heavy schemes do to reposition their bond09:10 versus equity weighting?09.10- Keynote Address: Managing systematic • Are pooled funds really viable?09:50 risk and market volatility in today’s Moderator: Dimitry Mindlin, Managing Director, CDI environment Advisors • How can pension funds effectively manage their systematic Sako Zeverijn, Managing Director, Siemens risk exposure? Staffan Sevón, Chief Investment Officer, Veritas Pension • Is the rise in multi-asset class investing in LDI due to the Johan van der Veen, Director, OPG increase in market uncertainty? Neil Walton, Head of Strategic Solutions, Schroders • How can LDI managers adapt their approaches to counter 13.15- Chairman’s Closing Remarks the increased market volatility? 13.30 Mads Gosvig, Chief Risk Officer, ATP 13.30 Luncheon09.50- Developing the fiduciary management model10.30 Andrew Connell, Head of LDI, Schroders10.30 Networking Coffee Break This conference showed me the lat est thi nki ng11.00- Case Study APG’s approach to Global on invest me nt strateg y for lia bility driven11.45 Tactical Asset Allocation (GTAA) invest me nt sol utio ns. This ha s reinforced • What is the decision making process behind APG’s setting my thi nki ng on our exi stin g produ cts an d e its GTAA •How is GTAA structured? pro vid ed ideas on produ ct inn ovation to tak •How does GTAA react effectively to changing market ba ck to South Af rica . This conference wa s conditions? we ll ba lan ced wit h a diverg ent select ion of vie wpoints an d recom me nd ed invest me nt •The role of GTAA in a pension portfolio for absolute return, diversification and volatility reduction •Assessing the risk management insights of GTAA strateg ies. ent Roy Hoevenaars, Senior Portfolio Manager, APG nagem Gareth Connellan, Stanlib Asset Ma11:45- A glide path approach to LDI12:30 • Reduce pension fund risk by using a glide path approach to About Finance IQ LDI Finance IQ provides news and strategic events across Europe, • Examining the different methods of glide path approaches Asia, the US and the Middle East every year, educating almost 5,000 high-level executives annually. Our comprehensive face- – straight line, stepped or roll down to-face and online events provide an unbiased, specialist forum where you can discuss TBC, Goldman Sachs the issues most important to you.Post-conference Masterclass: 26 January 2011 14.30 – 16.30Implementing the next generation of efficient LDI framework – a practical perspective• The Case for LDI products: why and when LDI products are • Analytic Toolbox: understanding stochastic present values and their beneficial to your pension plan applications in a LDI framework• From Accounting to Economics: defining and setting the goals of • Risk Measurements: how to set up and monitor your pension fund retirement investing risk performance using risk-adjusted cost, shortfall probability,• Long-Term or Short-Term: quantifying a bespoke time horizon shortfall size and shortfall volatility for your LDI strategy • Small and Mid-Size Plans: is there a cost-efficient LDI framework?• Cost-Risk Efficient Frontier: how to minimise the cost of funding Dimitry Mindlin, President, CDI Advisors the pension commitment and maximise the safety benefits• Multi-period Cost-Risk Optimization: developing Nash equilibrium investment strategies for efficient cost management Dimitry, ASA, MAAA, Ph.D., is responsible for the development of customised optimisation and simulation models to design strategic policy portfolios for DB and DC plans, government agencies, foundations, and endowments. His research ranges from portfolio optimisation models to the foundations of actuarial science. Since 1998, Dimitry has completed numerous asset allocation projects utilizing the concept of Commitment Driven Investing. Dimitry is a Member of the American Academy of Actuaries.Tel: +44 (0) 207 368 9300 Fax: +44 (0) 207 368 9301 Email: Web:
  5. 5. www.ldieurope.comSponsors and Media PartnersSponsors Media Partners BNP Paribas is one of the world’s largest and moststable financial services groups. With 170,000 employees inover 85 countries worldwide, BNP Paribas is one of few globalbanks to be rated AA+ by Standard & Poor’s. Drawing on theGroup’s strength and on its recognised expertise in capitalmarkets, BNP Paribas Corporate and Investment Bankingis one of the leading providers of LDI solutions to Europeanpension funds today.Website: Natixis is the corporate, investment andfinancial services arm of Groupe BPCE, the 2nd-largest bankingplayer in France with 22% of total bank deposits and 37 millionclients spread over two networks, Banques Populaires andCaisses d’Epargne. With around 22,000 employees, Natixishas a number of areas of expertise which are organized inthree main business lines: Corporate and Investment Banking,Investment Solutions (asset management, private banking,insurance) and Specialized Financial Services. A globalplayer, Natixis has its own client base of companies, financialinstitutions and institutional investors as well as the clientbase of individuals, professionals and small and medium-sizebusinesses of BPCE’s two retail banking networks. Listed onthe Paris stock exchange, it has a solid financial base with totalTier 1 capital of €12.8 billion, a Tier 1 ratio of 9.2% and qualitylong-term ratings (Standard & Poor’s and Fitch Ratings: A+;Moody’s: Aa3). (Figures as at 06/30/2010)Website: Schroders is a global asset managementcompany with £164.0 billion (€200.3 billion / $245.4 billion)under management as at 30 June 2010. Our clients includecorporations, insurance companies, local and publicauthorities, charities, pension funds, high net worth individualsand retail investors. Our aim is to apply our specialist assetmanagement skills in serving the needs of our clientsworldwide and in delivering value to our shareholders. Withone of the largest networks of offices of any dedicated assetmanagement company and over 250 portfolio managers andanalysts covering the world’s investment markets, we offer ourclients a comprehensive range of products and services.Website: www.schroders.comTel: +44 (0) 207 368 9300 Fax: +44 (0) 207 368 9301 Email: Web:
  6. 6. Liability Driven 5 WAYS TO REGISTER Investment Europe Freephone: 0800 652 2363 or VENUE: Hotel Okura, Amsterdam +44 (0)20 7368 9300 MAIN CONFERENCE: 25-26 January 2011 Fax: +44 (0)20 7368 9301 POST CONFERENCE WORKSHOP: 26 January 2011 To speed registration, please provide the priority code located on the mailing label or in the box below. Post: your booking form to My registration code is PDFW IQPC Ltd. Please contact our database manager on +44(0) 207 368 9300 or at quoting the registration 129 Wilton Road, Victoria, code above to inform us of any changes or to remove your details. London SW1V 1JZ Online: Email: Team Discounts* IQPC recognises the value of learning in teams. Groups of 3 or more booking at the same time from the same company receive a 10% discount. 5 or more receive a 15% discount. 7 receive a 20% discount. Register & Pay before Register & Pay before Register & Pay before Only one discount available per person. PACKAGES Standard Price 8th October 2010* 5th November 2010* 10th December 2010* 6 Industry - Conference + Masterclass SAVE €600 €2898 + VAT SAVE €500 €2998 + VAT SAVE €400 €3098 + VAT SAVE €200 €3298 + VAT Venue & Accommodation VENUE: 6 Industry - Conference Only SAVE €300 SAVE €200 SAVE €100 €2899 + VAT €2599 + VAT €2699 + VAT €2799 + VAT Hotel Okura Amsterdam, Ferdinand Bolstraat 333, 1072 LH Amsterdam, The Netherlands 6 Masterclass Only €599 Tel: +31 (0)20 678 7111 6 Pension fund custodians Free for first 20; €599 thereafter ACCOMMODATION: and managers** Hotel accommodation is not included in the registration fee. For accommodation at the Hotel Okura, Amsterdam and other hotels nearby, * To qualify for discounts, payment must be received with booking by the registration deadline. Early booking discounts are not valid in conjunction with any other offer. Dutch VAT charged at 19%. Vat registration # NL 8078 84 728 B 01 please search **Pension fund custodians and managers are considered primary capital holders, that is, non-fee generating organisations like pension funds, insurance companies, endowments and family wealth offices. Finance Directors and Senior Treasury officials with oversight of company pension contributions would also qualify under this category. Free Online Resources To claim a variety of articles, podcasts and other free resources please Delegate Details visit Please photocopy for each additional delegate 6 Mr 6 Mrs 6 Miss 6 Ms 6 Dr 6 Other Digital Conference On CD-ROM First Name Family Name A digital version of the conference proceedings, including all Job Title presentations, is available to buy. 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