Insurance Asset Risk 2016

Registration

Chair's opening remarks

Felix Schachter, UK Insurance, BNP Paribas Securities Services

Opening Keynote Address: An Economist's insight into the current market environment: which pressing macro issues should insurers be most concerned about in 2016 and beyond?

• Outlook for different markets and geographical regions
• Downturn in china
• Commodities boom/bubble crash
• Continued low interest rates: Are we facing the realization that low interest rates are here to stay? – what does that do to our long-term investment strategy?
  • What is the new norm? – how low can rates go?
• Deflation
• Volatile equity markets
• Monetary and fiscal policies – impact and expectation in GBP, EUR and USD
• Geopolitical outlook – Brexit, US election, Saudi-Iran

Speaker:
Astrid Frey, Deputy Head Economic Research & Consulting Macro, SWISS RE

KEYNOTE PANEL DISCUSSION: Picking an investment strategy in today's highly regulated, competitive, low return and volatile market.

Three senior investment experts share their thoughts on how they are adjusting their investment strategies to meet the challenges of the unique macro environment

• What factor is likely to have the biggest influence on our asset allocation?
• BREXIT, equity markets, sovereign risk, expectations of stakeholders…
• The low interest rate policy looks set to stay – now what?
• What would be the impact on asset markets and insurance markets of negative rates– how do we react?
• Will we be seeing forced riskier investments?
• Impact of divergent monetary policies on investment strategy
• How would BREXIT influence interest rates and subsequent investment policies
• Investment strategy in a volatile market - with most of the low hanging fruit gone, where next in the hunt for yield?
• Are we accepting lower returns for the same level of risk? Or increasing risk in the portfolio?
• What are our options to respond given the constraints of SII?
• Opportunistic investment strategies  - how do you position yourself to be better placed to capitalize on fleeting investment opportunities?
• Governance challenges
• What impact will consolidation in the insurance sector have on investment trends/strategies?

Panellists:
Alex Veys, Chief Investment Officer, PARTNERSHIP ASSURANCE
Erick Muller, Head of Product and Investment Strategy, MUZINICH & CO
Lars Haram, Head of Investments, STOREBRAND LIFE INSURANCE
Richard Ford, Head of European Fixed Income, MORGAN STANLEY INVESTMENT MANAGEMENT
Moderator: Asa Gibson, Editor, INSURANCE ASSET RISK

PANEL DISCUSSION: Optimizing the SII balance sheet: optimizing asset portfolios for risk and capital benefit.

• Now that solvency II numbers and sensitivities are published and discussed with the local regulator, how, if at all, are insurers changing their asset allocation across shareholder and policy holder assets, and if so, why?
• How has Solvency II impacted our appetite towards non-traditional assets?
  • What type of liabilities or shareholder funds are appropriate to be matched by non-traditional investments?
• Capturing diversification benefits
• Improving risk assessment of assets
• Managing the risk margin
• Hedging strategies for various books of business
• Balancing sheet stabilizing approaches in SII– entity vs. group dynamics etc.

Panellists:
Louisa Renoux, Head of Solvency II Project, MUTUALITÉ FRANÇAISE
Samu Anttila, CIO, LOCAL TAPIOLA
Viktor Mirkin, Head of Analytics and Optimisation, PENSION INSURANCE CORPORATION
Moderator: Mehdi Guissi, Head of Insurance and Pension Solutions, LOMBARD ODIER INVESTMENT MANAGERS

PANEL DISCUSSION: Optimizing the asset mix in a matching adjustment portfolio: structuring alternative assets and conventional assets to make them eligible for the matching adjustment

• The experience to date of the approval process
  • What have our counterparts managed to get approved so far?
  • What does the PRA focus on?
• How do we deal with more complex products under the MA?
• Securitization and structuring of alternative assets to comply with SII regulation and MA eligibility.
• Treatment of:
  • Equity release mortgages
  • Non-sterling bonds
  • Other assets with prepayment risk
• Hedging strategies: What approaches to hedging have been successfully approved, or not?

Panellists:
Emily Penn, Head of ALM, LV=
Prasun Mathur, Deputy Head of Investment Risk and ALM Strategy, PHOENIX GROUP
Sumit Mehta, Portfolio Manager, LEGAL AND GENERAL
Moderator: Gareth Mee, Executive Director - EMEIA Insurance - Risk and Actuarial Services, EY

PANEL DISCUSSION: Analytics and technology to measure, manage and monitor risks: tools to quantify investment risk and ALM risk

• A benchmark and comparison of the different softwares or bespoke models insurers are using to quantify investment and ALM risk
• How much do you rely on your asset manager to measure, manage and monitor and how much do you do on your own?
• Do you have consistency in numbers between actuarial teams and investment teams
• How frequently are you able to do your numbers for hedging
• Overview of the main challenges faced right now – operational, data related, strategic etc.

Panellists:
Cédrik de Ternay, Head of ALM & SAA France, Benelux and Americas, GENERALI GROUP
Lars Haram, Head of Investments, STOREBRAND LIFE INSURANCE
Prasun Mathur, Deputy Head of Investment Risk and ALM Strategy, PHOENIX GROUP
Moderator: Matthew Lightwood, Director: Quantitative Finance, CONNING

PANEL DISCUSSION: How liquid really are our assets? - Optimal liquidity management strategies

• How well prepared is the insurance industry for central clearing?
• Just how much liquidity is enough? How well prepared are we for cat and extreme loss events?
• How do we know the true liquidity of our assets?
• Use of stress and scenario testing – optimal asset encumbrance
• Traditional fixed income assets are becoming increasingly illiquid– how do you manage that and invest in these assets through time.
• Liquidity modeling for long-term planning. How do we track and prepare for long –term funding of a claim over a period of several years?
• Use of structured liquidity products

Panellists:
Anna Vita, Liquidity Risk and Contingency Planning Director, AVIVA
John Taylor, Portfolio Manager - Fixed Income, AB
Meirion Board, Group Head of Credit and Market Risk, ASPEN
Samu Anttila, CIO, LOCAL TAPIOLA
Moderator: Christopher Cundy, Managing Editor, INSURANCEERM

PANEL DISCUSSION: The challenges of Illiquid assets – skills and approach required to successfully manage an illiquid assets portfolio

• What is the industry's appetite for illiquid assets?
• The reasons for illiquidity each bring their own challenge – do the pros outweigh the cons?
• How do you make a business case for allocating to illiquid assets?
• SII requirements for illiquid assets:  – how do you go about satisfying the regulator?
• How best to gear yourself up to take advantage of illiquid assets – building up your in-house capability vs. sourcing external managers.
• Do insurers need to be more like banks, in terms of assessing and managing credit risk? 

Panellists:
Eleanor Nasar, CIO, LEGAL AND GENERAL
Mark Gull, Head of Fixed Income, PENSION INSURANCE CORPORATION
Miriam Arntz, Head of Financial and Insurance Risk Oversight, PRUDENTIAL UK
Shalin Shah, Fund Manager, RLAM
Moderator: Asa Gibson, Editor, INSURANCE ASSET RISK

PANEL DISCUSSION: The capital challenge of absolute return funds - how appealing really is the risk/return profile?

• Getting to the bottom of absolute return funds: What are they really made up of?
• Calculating the capital for an absolute return strategy - how do you come up with a capital basis that is reasonable and will mean it is a worthwhile investment?
• SII and accounting challenges: How can you achieve "look through"?
• How do you track the underlying capital of such a diverse and unpredictable asset mix?
• How do you prove to the regulator that the risk management calculation is appropriate?
• How do absolute return funds fit/comply with strategic asset allocations?
• Are they for everyone?
• How are absolute return funds actually performing?

Panellists:
Adrian Hull, Senior Investment Specialist, KAMES CAPITAL
Edoardo Rulli, Partner, Falcon Money Management
Pete Drewienkiewicz, Head of Manager Research, REDINGTON
Moderator: Hugo Coelho, INSURANCEERM

PANEL DISCUSSION: Asset Management: outsourcing vs insourcing decision making for insurers in the current economic climate

• How much control/involvement do you need to maintain yourself?
• Criteria for deciding upon a manager
• The impact of new asset classes in sourcing decisions
• Investment strategies are changing due to political and macro influences. If you want to refresh your investment strategy what does that imply for control and tactics?
• What impact if any has SII had on our decision to outsource or not?
  • What expectations should an insurer have on their manager in the SII world?
  • To what extent are asset managers able to meet insurer's regulatory requirements for asset data reporting and monitoring of assets?

Panellists:
Gareth Quantrill, Group Investment Manager, RSA
Samit Shah, CRO, ATRIUM
Moderated by: Dietmar Roessler, Global Head of the Asset Owner Client Segment, BNP PARIBAS SECURITIES SERVICES