Insurance Asset Risk 2017

Chair's opening remarks

Opening keynote address: Is uncertainty the only certainty?

Following a period of extreme uncertainty and market unpredictability, what can we expect next?

A leading economist assesses the key macroeconomic scenarios and geopolitical risks to face investors.

• What will the remainder of 2017 bring?
• European political uncertainty
• What impact can we expect a Trump administration to have on the financial markets in UK and Europe
• Divergent bank rate policies in major economies
• China
• Where do the opportunities for growth lie?

Stephanie Flanders, Managing Director, Chief Market Strategist (UK & Europe), J.P. Morgan Asset Management

Determining an investment strategy when the odds are stacked against you

Political shocks and risks; unpredictable market reactions; a challenging global economic environment and a complex restrictive regulatory framework - investment experts share the investment path they are taking to beat the odds.

• What poses the biggest threat/opportunity to your balance sheet?
• As the sustained low return conditions rumble on, how do we deal with the portfolio implications of low returns as a long-term future?
• Brexit: From an ALM context, strategically, what are the factors to consider when planning for a hard Brexit?
• Trumponomics: How should we change our asset management approach in response to a Trump administration?
• Monetary policies vs fiscal policies  - what role will they play for interest rates going forward?
  • Bond sell –off as QE is replaced by fiscal policy? The end of the credit cycle?
• Low growth and continued volatility? Re-emergence of inflation?
• China – should insurers in the West be concerned by Chinese rivals’ expanding investment activities?
• Lessons from Brexit and Trump about how the markets may react to future events?
• What asset allocation innovations are emerging now that we are more comfortable with the parameters of SII?

Panellists:
Jelle van der Giessen, Chief Investment Officer, NN GROUP
Erik Ranberg, CIO, GJENSIDIGE
Erick Müller, Head of Product and Investment Strategy, MUZINICH & CO

Moderator: Asa Gibson, Editor, Insurance Asset Risk

Panel discussion: use of analytics and technology to optimise investment and liability management strategies within the complexities of the sii framework

• What analytical requirements do insurers have to enable them to manage the balance sheet more effectively?
• To what extent are 3^rd party managers and custodians delivering those requirements?
• Challenges in calibrating ALM models
• How can we better interpret the results of the internal capital model and reap the benefits of diversification
• How are shifts towards alternative asset classes managed from an internal model perspective?
• Managing interest rate risk and the risk margin
• Coping with dynamic transitional measures
• Liability streams and durations
• Tools to bring together risk management, investment management and capital management.

Panellists:
Alexandre Mincier, Global Chief Investment Officer, HSBC INSURANCE
Donald MacLeod, Chief Actuary and Head of Investments, SCOTTISH FRIENDLY ASSURANCE Ltd.
Lauri Saraste, Chief Actuary, LOCALTAPIOLA LIFE INSURANCE

Moderator: Lucas Vermeulen, Managing Director, ORTEC FINANCE

Accessing alternative income

The importance of origination, relative value and good governance in illiquid markets

Stretched valuations in the bond market have led investors in recent years to veer towards less liquid assets with commensurate risk. Whilst this has led to opportunity, it has also created a crowded marketplace with many sizeable buyers chasing a limited investable universe. To maximise the much sought after illiquidity premium, insurers need to know that they are accessing the right assets with the right characteristics at the right time.

To help investors execute effectively, this session will focus on three key areas:

• Origination - why scale and experience matter
• Relative value – why the ability to move across multiple sectors as market conditions change is optimal
• Governance - why developing an effective governance structure will give you a competitive advantage when trying to access the best asset

Speaker: John Dewey, Head of Investment Strategy, Global Investment Solutions, AVIVA INVESTORS

Panel discussion: In practice - how does restructuring a portfolio to capture the illiquidity premium work?

• What steps have been taken to achieve a more dynamic portfolio?
• What additional external expertise have you needed?
•  How much liquidity were you searching for?
• What barriers to real economy investments did you overcome?
• Which asset classes did/are you considering?
• What political changes and other factors will drive supply of these alternative assets?

Panellists:
Mark Gull, Head of Fixed Income, PENSION INSURANCE CORPORATION
Ian Coulman, Chief Investment Office, POOL REINSURANCE
Ed Collinge, Head of UK Insurance, INVESCO

Moderator: David Walker, Senior Staff Writer, InsuranceERM

Presentation: private debt: investing in and managing private debt asset classes on your balance sheet

• What specific and additional challenges does this asset class pose?
  • From an ALM perspective?
  • From an investment strategy perspective?
• Route to investment?
• Ensuring you have the adequate risk management and controls in place to take advantage of this asset class
• Ensuring you have the right assets that match the liability with the right duration
• Managing the downside risk effectively.

Panellists:
Lars Haram, Chief Investment Officer, STOREBRAND LIFE INSURANCE
Brian Olvany, ZURICH
Daniel Blamont, PHOENIX GROUP
Moderator: 
Gabriella Kindert, Head Alternative Credit Team, NN Investment Partners

Panel discussion: optimizing the matching adjustment portfolio

• MA eligibility issues: what success have firms had to date in meeting PRA tests for regulatory approval and in introducing other alternative asset classes?
• How are 3^rd party managers coping with MA friendly mandates?
• Hedging the MA book
• Structuring the liquidity behind the MA portfolio
• How does the UK experience compare with that of their European counterparts?
• View from the regulator: any trends in the way firms are approaching their MA portfolios and interpreting the regulations?

Panellists:
Patrick van Beek, Head of ALM, AVIVA
John Hampton, Fund Manager, Fixed Income, COLUMBIA THREADNEEDLE INVESTMENTS
Daniel Blamont, Head of Investment Strategy, PHOENIX GROUP

Moderator: Callum Tanner, InsuranceERM

Opportunities in alternative fixed income

• Landscape in alternatives
• Risk diversification
• What are European insurance companies investing in?

Speaker: Frank Meijer, Head of ABS, CBs, Mortgages & Infrastructure, AEGON ASSET MANAGEMENT

Panel discussion: evolving regulation and its potential impact on the search for yield

• What does the future of prudential regulation outside of the EU look like?
• Has Brexit been a welcome game changer for SII?
  • How can investors and insurers benefit from the UK leaving the EU?
• The Standard Formula Review – what changes are firms crossing their fingers for and what can we realistically hope for?
  • What implications will such changes have on investment strategies?
• A risk margin reform?
• IFRS17 – have the preparations begun?
  • What impacts can we expect on ALM/Investment strategy?
• MiFID II: implications on investment strategy as we move towards MiFID II
• What are the implications of sharing so much data with other regulators across Europe?

Panellists:
Emily Penn, Head of Capital Efficiency, LV=
Lauri Saraste, Chief Actuary, LOCALTAPIOLA LIFE INSURANCE
Jan Parner, Deputy Director General, FINANSTILSYNET, DANISH FINANCIAL SUPERVISORY AUTHORITY
Hugh Savill, Director of Regulation, ASSOCIATION OF BRITISH INSURERS (ABI)

Moderator: Chris Cundy, Managing Editor, InsuranceERM

Panel discussion: Understanding, managing and utilising liquidity to help ride the wave of uncertainty

• How well prepared are we for a potential liquidity shock in the market?
• Potential impact of the EMIR requirement on liquidity
• Ensuring optimal liquidity levels - how complex does your analysis need to be?
• How much is enough liquidity for your portfolio?
• Advantages and opportunities to be had from holding excess liquidity
• How do you ensure you have enough of the right type of assets to meet a large loss
• Fund liquidity: How well tested are our funds for default?
  • Annuity funds: at what level of default would we start to become concerned about liquidity
• What are the implications for holding illiquid assets – should there be a limit?

Panellists:
Gareth Collard, Chief Investment Officer, JUST
Miriam Arntz, Head of Financial and Insurance Risk Oversight, PRUDENTIAL UK
Michalis Ioannis, Head of Credit and Market Risk, CANADA LIFE
Moderator: Asa Gibson, Editor, Insurance Asset Risk