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CHICAGO CASE STUDIES

Trinity Health
In a world of PPA there is a logical and ultimate end state but markets do not allow plan sponsors to adopt a linear approach leaving them with a number of moving parts including enterprise risk, plan integration, ROA hurdles and an ever-evolving interest rate environment. Please join Shirley Hay of Trinity Health and Paul Kenney of NEPC on their journey through a number of hurdles relying on deft navigation skills to solve for a complicated equation.
Speakers:
Andrew Catalan, CFA | Managing Director, Liability Driven Investing | Standish
Shirley Hay | Director, Alternative Investments | Trinity Health
Paul Kenny | Partner | NEPC

Exelon’s Path to LDI
In this session, we will hear what LDI means to Exelon, why they implemented an LDI approach, and the importance of governance and team structure.  Also discussed will be the role and definition of a glidepath, the role of corporate bonds in the allocation, and how swaps can be used. The session will also cover how equity beta may be impacted by an LDI approach, the role of alternatives, and if/where special opportunities may fit.
Speakers:
F. Gary Knapp, CFA, FRM | Managing Director and Product Manager-Insurance and Liability-Driven Investment Portfolio Strategies | Prudential Financial, Inc

Neil W. Roache | Managing Director - Public Markets and Investment Strategy |Exelon Corporation

Pension Case Study - Electric Utility Pension Plans
Capital Group will examine and discuss several pension plans in the utility industry where many plans remain open and active. The presentation will survey similarities and differences in historical and current approaches to asset allocation and de-risking, and the resulting effect on funded status volatility.
Speakers:
Luke Farrell | Senior Vice President and Fixed-Income Investment Specialist | The Capital Group

Wesley Phoa| Senior Vice President and Fixed-Income Portfolio Manager |The Capital Group

NEW YORK CASE STUDIES

Dynamic LDI Management and Ways to Judge Success in an LDI portfolio
This session discusses the evolution of Nestlé’s LDI portfolio, its dynamic nature and how active duration and hedging tool selection has led to 22% in funded status preserved and a 40% reduction in funded status volatility. Also discussed will be the conundrum of how to benchmark an LDI portfolio, and therefore how to judge success of the LDI program in an increasingly complex investment environment.
Speakers:
Karin Brodbeck, CFA | Director – Retirement Investments | Nestlé USA, INC.
Martin Jaugietis | Director – Head of LDI Solutions | Russell Investments

A Collaborative Approach to LDI
During this case study, Loomis Sayles’ Neil Burke and CAPTRUST Financial Advisors’ Grant Verhaeghe will
discuss the various factors to consider as investment managers, consultants, and plan sponsors work together
in developing and evolving the LDI solution. Several topics will be examined including glidepath
implementation, the role of customization and selecting the most appropriate benchmark.
Speakers:
Neil Burke | Vice President, Portfolio Manager | Loomis, Sayles & Company, L.P.
Grant Verhaeghe | Director, Investment Research | CAPTRUST Financial Advisors

LDI 2.0 Allstate’s Path to LDI Implementation and Evolution
Allstate implemented a LDI strategy for its pension plans in 2009 with the intent to review the strategy at least triennially. In the second quarter of 2012, Allstate began work. This session will cover Allstate’s initial transition to LDI, lessons learned following the initial adoption, and how those lessons are influencing the second iteration of LDI for Allstate. The session will also cover some of the internal challenges associated with transitioning from a traditional asset only framework to a LDI framework.
Speaker:
Michael Downing |Vice President and Chair, Pension Investment Committee | Allstate Financial


WORKSHOPS

Minding the Gap – Solving for Both Sides of the Equation
The current low rate environment has made corporate plan sponsors hesitant to simply add more
duration. This has led to an evolution in the LDI thought process on how best to close the funding gap. First,
we have seen plan sponsors quantify their risk budget and reallocate risk exposures using a two-dimensional
glidepath. Second, is the increased use of fixed income strategies that shed duration to improve risk
adjusted returns. Third, sponsors have expanded the use of LDI custom benchmarks and completion
manager capabilities to plan for and execute on liability hedging.
Speakers:
Raman Srivastava, CFA | Co-Deputy Chief Investment Officer and Managing Director of Global Fixed Income| Standish
Andrew Catalan, CFA | Managing Director, Liability Driven Investing | Standish

Jeffrey Passmore, CFA, EA, FSA | Senior Investment Strategist | Standish
David Leduc, CFA | Chief Investment Officer of Active Fixed Income | Standish (Chicago only)

Creating a True Measure of LDI Success
How do you calculate and report on the success of an LDI program? As an industry, we’ve traditionally used active manager performance to judge success, measuring excess return versus the best available market-based benchmark. Such benchmarks are valuable as portfolio management tools, but the true test of the success of a n LDI program is how well a portfolio has matched or exceeded the plan’s actual liabilities. There are a number of hurdles to negotiate in creating such a measurement. This workshop will focus on the steps that we see as key to creating a better yardstick for your LDI program.
Speaker:
Martin Jaugietis | Director – Head of LDI Solutions | Russell Investments

New Frontiers in Liability Driven Investing
This workshop will explore lessons learned from insurance company asset liability management and
cover these topics:

Speakers:
F. Gary Knapp, CFA, FRM | Managing Director and Product Manager-Insurance and Liability-Driven Investment Portfolio Strategies | Prudential Financial, Inc.
Glen K. O'Brien | Managing Director and Head of Global Distribution, Pension Risk Transfer| Prudential Financial, Inc.

Hedging Liability Risks Through Curve Reconstruction
This workshop will examine an innovative way of translating a liability stream and discount curve into a set of familiar risk exposures against which portfolios can be managed.  By reconstructing the discount curve and assessing the sensitivity of the liability’s present value to changes in underlying bond clusters, Loomis Sayles & Company can compute metrics, including key rate durations, credit exposure, credit term structure and exposures to industries, tickers and individual issuers. This session aims to help plan sponsors gain valuable insights on this effective strategy for managing assets directly against a liability stream and discount curve.
Speaker:
Nicholas Savoulides, CFA, Ph.D. | Vice President, Portfolio Manager and Senior LDI Strategist | Loomis, Sayles & Company, L.P

How Active Management Can Add Value In a Tracking Error Constrained LDI Mandate
An increasing number of pension plans sensitive to funded status volatility are moving to LDI mandates with explicit tracking error targets. Adding value in such a mandate can be challenging for active managers since a tight tracking error constraint can be incompatible with many active management decisions, such as large duration and yield curve exposure, significant sector rotation, and considerable use derivatives. Instead, managers will need to avoid systematic, higher tracking error exposures across portfolios in favor of benchmark-like investments with uncorrelated sources of alpha. Several of the various levers available to managers will be discussed, including how firm-specific credit research can be a key driver of value.
Speakers:
Wesley Phoa | Senior Vice President and Fixed-Income Portfolio Manager | The Capital Group
Luke Farrell | Senior Vice President and Fixed-Income Investment Specialist | The Capital Group

David Lee | Senior Vice President and Fixed-Income Portfolio Manager | The Capital Group (Chicago only)
Andy Barth | Director and Portfolio Manager | The Capital Group (New York only)


PANEL DISCUSSION

Best Practices for Implementing LDI
Leading asset firms and consults discuss with a plan sponsor who’s been through the trenches of implementation what worked best and what didn’t.

Moderator:
Ari Jacobs| Senior Partner, Global Retirement Solutions Leader| Aon Hewitt

Panelists:
Jeff lewis, CFA | Staff Director -Retirement Investments| FedEx Corporation (Chicago only)
Martin Jaugietis, CFA | Director-Head of LDI Solutions | Russell Investments (Chicago only)
Nicholas Savoulides, CFA, Ph.D. | Vice President, Portfolio Manager and Senior LDI Strategist| Loomis, Sayles & Company, L.P.(Chicago only)
F. Gary Knapp, CFA, FRM | Managing Director and Product Manager-Insurance and Liability-Driven Investment Portfolio Strategies | Prudential Financial, Inc. (New York only)
Jeffrey Passmore, CFA, EA, FSA | Senior Investment Strategist | Standish (New York only)
Luke Farrell | Senior Vice President and Fixed-Income Investment Specialist | The Capital Group (New York only)


CLOSING KEYNOTE

Leading Change - Building Advocacy for LDI and Other “Big Decisions”
As a plan sponsor, one of the toughest obstacles you face is leading change and influencing the
large number of constituents that will make your vision a reality and a success. This is especially
true with LDI where buy-in from your CEO, CFO, Investment Committee, Treasurer and Advisory Board
are needed at each and every stage of implementation. In this session led by Bernard Del Rey, CEO
of Capital Position, we will help you build a roadmap for change and give you the tools to influence
key relationships, navigate politically charged situations and leap stumbling blocks.

Speaker:
Bernard Del Ray |Chief Executive Officer | Capital Position Ventures LLC


Sponsors