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.
1. Finance IQ presents the 6th Annual
All star speaker line up worth a
combined AuM of over €400 bn
Main Conference 25-26 January 2011 | Post-Conference Workshop 26 January 2011 | Venue Hotel Okura, Amsterdam
Managing pension funds towards a liability efficient frontier
in an uncertain global economic environment
Join Europe’s leading LDI forum to get the latest strategies, investment techniques and
pioneering case studies from a leading line up of speakers including plan sponsors and LDI
experts. 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 Fund
w 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 risk
w 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 returns
w Examine the impact of OTC derivative reforms on your business and the European pensions industry and how you
can prepare to hedge for these effects
w Implement a cost efficient LDI framework that enables pension sponsors for small schemes to take advantage of
this strategy
Meet 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 Plan
Access complimentary Industry Reports, Articles and Exclusive Interviews
from the Learning Resources Library at www.ldieurope.com
Sponsored by:
Tel: +44 (0) 207 368 9300 Fax: +44 (0) 207 368 9301 Email: enquire@iqpc.co.uk Web: ldieurope.com
2. www.ldieurope.com
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 Director
Past attendees by country Breakdown of 2009 Delegates by Organisation
y The Netherlands y Pension funds
y South Africa y Asset Managers
y United Kingdom y Consultancies
y Netherlands Antilles y Investment Banks
y Switzerland y Associations
y Belgium y Other
y United States
y Canada
y France
y Italy
y Germany
Who should attend Liability Driven Investment Europe 2011?
w Plan Sponsors w LDI Solutions Specialists w Pension Actuaries
w Pension Fund Trustees w Asset Managers w Pension Consultants
w Pension Directors w Risk Managers
SPONSORSHIP OPPORTUNITIES Three easy ways to get involved
1) 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 environment
across the globe, Finance IQ events enable you to build branding and exposure. Furthermore, our dedicated to initiate new business relationships and achieve face to
your 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 stands
conference 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 coverage
For 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 sponsorship@iqpc.co.uk
Tel: +44 (0) 207 368 9300 Fax: +44 (0) 207 368 9301 Email: enquire@iqpc.co.uk Web: ldieurope.com
3. www.ldieurope.com
Day One Agenda: 25 January 2011
08:30- Registration and Coffee 13.30- Capitalizing on alternative investments
09:00 14.15 in to a LDI framework
• What are the benefits and risks involved in using alternative
09:00- 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 asset
09:50 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 passive
09.50- 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, Pension
10.30 Networking Coffee Break Protection Fund
Jeroen van Bezooijen, Senior Vice President, PIMCO
11.00- Solvency framework for pension funds Heli Huhtala, Head of Investments, Bank of Finland
11.45 – 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 calculating
12:30 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 one
12.30 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, APT
Tel: +44 (0) 207 368 9300 Fax: +44 (0) 207 368 9301 Email: enquire@iqpc.co.uk Web: ldieurope.com
4. www.ldieurope.com
Day Two Agenda: 26 January 2011
08:30- Registration and Coffee 12.30- Panel III Can smaller pension schemes use
09:00 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 bond
09:10 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 Luncheon
09.50- Developing the fiduciary management model
10.30 Andrew Connell, Head of LDI, Schroders
10.30 Networking Coffee Break
This conference showed me the lat est thi nki ng
11.00- Case Study APG’s approach to Global
on invest me nt strateg y for lia bility driven
11.45 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 Ma
11:45- A glide path approach to LDI
12:30 • 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 – 16.30
Implementing 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: enquire@iqpc.co.uk Web: ldieurope.com
5. www.ldieurope.com
Sponsors and Media Partners
Sponsors Media Partners
BNP Paribas is
one of the world’s
largest and most
stable financial services groups. With 170,000 employees in
over 85 countries worldwide, BNP Paribas is one of few global
banks to be rated AA+ by Standard & Poor’s. Drawing on the
Group’s strength and on its recognised expertise in capital
markets, BNP Paribas Corporate and Investment Banking
is one of the leading providers of LDI solutions to European
pension funds today.
Website: www.bnpparibas.co.uk
Natixis is the
corporate,
investment and
financial services arm of Groupe BPCE, the 2nd-largest banking
player in France with 22% of total bank deposits and 37 million
clients spread over two networks, Banques Populaires and
Caisses d’Epargne. With around 22,000 employees, Natixis
has a number of areas of expertise which are organized in
three main business lines: Corporate and Investment Banking,
Investment Solutions (asset management, private banking,
insurance) and Specialized Financial Services. A global
player, Natixis has its own client base of companies, financial
institutions and institutional investors as well as the client
base of individuals, professionals and small and medium-size
businesses of BPCE’s two retail banking networks. Listed on
the Paris stock exchange, it has a solid financial base with total
Tier 1 capital of €12.8 billion, a Tier 1 ratio of 9.2% and quality
long-term ratings (Standard & Poor’s and Fitch Ratings: A+;
Moody’s: Aa3). (Figures as at 06/30/2010)
Website: www.natixis.com
Schroders is
a global asset
management
company with £164.0 billion (€200.3 billion / $245.4 billion)
under management as at 30 June 2010. Our clients include
corporations, insurance companies, local and public
authorities, charities, pension funds, high net worth individuals
and retail investors. Our aim is to apply our specialist asset
management skills in serving the needs of our clients
worldwide and in delivering value to our shareholders. With
one of the largest networks of offices of any dedicated asset
management company and over 250 portfolio managers and
analysts covering the world’s investment markets, we offer our
clients a comprehensive range of products and services.
Website: www.schroders.com
Tel: +44 (0) 207 368 9300 Fax: +44 (0) 207 368 9301 Email: enquire@iqpc.co.uk Web: ldieurope.com
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 database@iqpc.co.uk quoting the registration 129 Wilton Road, Victoria,
code above to inform us of any changes or to remove your details. London SW1V 1JZ
Online: www.ldieurope.com
Email: enquire@iqpc.co.uk
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 www.4cityhotels.com/amsterdam1.html
**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 www.ldieurope.com
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.
Tel No. 6 I cannot attend the event, please send me the CD Rom priced at
Email £599 plus VAT
6 Yes I would like to receive information about products and services via email Recent digital conferences available - £599 plus VAT each
6 European De-risking Longevity Forum 2010
Organisation
6 European Investing in Distressed Debt Forum 2010
Nature of business 6 ESG Strategies for the Sustainable Investor
Address 6 7th Annual Nordic Investors Forum 2010
Postcode Country 6 Please send me conference materials indicated above.
Telephone Fax 6 I have filled out credit card details below
Approving Manager
For further information
Name of person completing form if different from delegate: Please call: 0207 368 9300
or email: knowledgebank@iqpc.co.uk
Signature
I agree to IQPC’s cancellation, substitution and payment terms
Special dietary requirements: 6 Vegetarian 6 Non-dairy 6 Other (please specify)
Terms and Conditions
Please indicate if you have already registered by Phone 6 Fax 6 Email 6 Web 6 PAYMENT TERMS Upon completion and return of the registration form, full payment is
required no later than 5 business days from the date of invoice. Payment of invoices by
Please note: if you have not received an acknowledgement before the conference, please call us to confirm your booking. means other than by credit card, or purchase order (UK Plc and UK government bodies
only) will be subject to a processing fee of €65 (plus VAT) per delegate. Payment must
Payment Method be received prior to the conference date. We reserve the right to refuse admission to the
conference if payment has not been received.
Total price for your Organisation: (Add total of all individuals attending): CANCELLATION AND SUBSTITUTION POLICY Provided the fee has been paid in full,
substitutions at no extra charge can be made up to 7 business days before the start of
Card Number: 6 6 6 the conference. Cancellations must be received in writing or by fax to +44 (0)20 7368
6666666666666666 9301, more than 7 days before the conference is to be held in order to obtain a full credit
for any future conference. Cancellations received 7 days or less (including the seventh
Exp. Date: 6 6 6 6 Sec: 6 6 6 6
day) prior to the conference will not be credited. In the event that IQPC cancels an event
Conference code 12219.003
payments received at the cancellation date will be credited towards attendance at a
future conference, or in the event of postponement by IQPC, a rescheduled date. Credit
Name On Card: Signature: notes remain valid for twelve months. IQPC reserves the right to postpone or cancel an
event, to change the location of an event or to alter the advertised speakers for an event.
IQPC is not responsible for any loss or damage as a result of substitution, alteration,
Billing Address (if different from below): postponement, or cancellation of an event due to causes beyond its control including
without limitation, acts of God, natural disasters, sabotage, accident, trade or industrial
City/County/Postcode Cheque enclosed for: € (Made payable to IQPC Ltd.) disputes, terrorism, or hostilities. SPEAKER CHANGES Occasionally it is necessary
for reasons beyond our control to alter the content and timing of the programme or the
identity of the speakers
By Direct Transfer: (Please quote 12219.003 with remittance advice) IQPC Bank details: HSBC Bank, 67 George
DATA PROTECTION Personal data is gathered in accordance with the Data Protection Act
Street, Richmond, Surrey, TW9 1HG Account No: 59090618 Sort Code: 40 05 15 Account No: 59090618 1998. Your details may be passed to other companies who wish to communicate with you
IBAN Code: GB98 MIDL 4005 1559 0906 18 Swift Code: MIDLGB22 offers related to your business activities. If you do not wish to receive these offers, please
tick the box below.
PAYMENT MUST BE RECEIVED PRIOR TO THE CONFERENCE 6 Please do not pass my information to any third party