TITLE: NZ Superannuation Fund Treasury a case study

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1 TITLE: NZ Superannuation Fund Treasury a case study AUTHOR: Mark Fennell GM Portfolio Completion EVENT PRESENTATION: INFINZ Conference, 5 September 2012

2 PG 2 Today s presentation About us Establishment of our treasury Move into more value-add activities

3 PG 3 Key points Establishment from scratch Developed a roadmap for treasury Significant cost savings and efficiencies achieved Improved focus on risk management through internalisation Portfolio Completion now seen as an access enabler for other non-treasury investment opportunities

4 PG 4 All about us Investing to help pay for the increased cost of superannuation payments in the future Smooth tax burden Add to crown wealth Best practice portfolio management Maximise return without undue risk Avoid prejudice to New Zealand s reputation Long-term horizon NZSF - Quick Facts Started investing: Sept 2003 Funds under $19b management: Annualised return 7.05% since inception: Excess return: 1.82% Withdrawals to begin: As at 30 June /30

5 PG 5 Objectives of Portfolio Completion Strategy Portfolio Completion Strategy is a set of value-add activities focused on cost-efficient access to market. Primary investment belief: Managing fees and costs and ensuring efficient implementation can prevent unnecessary cost. Initially about smart execution planning and execution

6 PG 6 Structure of Portfolio Completion Rare opportunity to structure and design a treasury from scratch We had to start from scratch Hire staff Develop systems and policies Engage external suppliers and business partners

7 PG 7 Evolution of Portfolio Completion Portfolio Completion has evolved over the past 3 ½ years Efficient Execution Value Add Active management Cash management Passive NZ equities Completion: Derivatives FX Overlay management Liquidity management Direct Arbitrage Strategies

8 PG 8 Completion activity Policy objective: Obtain market exposure as efficiently as possible Exposures: include equities, credit, REITS Management : Ensure we have the correct level of market exposure and rebalance Enablers Reporting and risk management: Daily reporting of Fund portfolio risk and rebalancing within agreed tolerances

9 C2 - INTERNAL USE ONLY \ SUPERDOCS REF \ PG 9 Completion activity Illustration Required MSCI Large Cap Equity Exposure Equity futures MSCI equity swap Long Only External Passive Manager Portfolio completion activity Required Exposure Actual Exposure

10 PG 10 Evolution of Portfolio Completion Portfolio Completion has evolved over the past 3 ½ years Efficient Execution Value Add Active management Cash management Passive NZ equities Completion: Derivatives FX Overlay management Liquidity management Direct Arbitrage Strategies

11 PG 11 Currency Management Objective is to efficiently hedge the foreign exposures of the Fund Policy benchmark: Foreign currency 100% hedged back to NZD Positions: Exposure to over 30 currencies, current hedge book circa $11bn Management : Took portfolio in-house May 2010 and improved the way it had been operated Active views on currency are modeled and recommended by our tilting team Enablers: Currency rebalancing tool daily monitoring Reporting and risk management: Improving tools to improve measurement and attribution of our active decisions

12 PG 12 Currency Management Illustration 100% 80% FX Hedge Maturity Monitor (no breaches) 60% 40% Range 20% 0% <1m <3m <=15m 15m to 5y >5y

13 PG 13 Liquidity Management Objective to meet the Fund s day to day payment obligations and minimise the direct & indirect costs of meeting those obligations. Policy benchmark: Blended bank bill / cash Positions: Liquidity Pool currently $7bn comprising a range of liquid exposures Management : Liquidity Management Framework Enablers: Reporting and risk management: Daily reporting of Fund liquidity, minimum liquidity levels set each week

14 PG 14 Liquidity Management Illustration By Currency NZD 30% GBP 14% EUR 21% A 26% BBB=< 7% AAA 38% AUD 5% USD 29% JPY 1% By Credit Rating AA 29%

15 PG 15 Liquidity Management Illustration 7000 Liquidity profile $m Minimum Liquidity Requirement =$1.6 b T T+1 T+2 T+3 T+4 T+5 T+6 T+7 T+8 T+9 >T+10 Includes forecast cashflows

16 PG 16 Liquidity Management Stress tests have become an integral tool for our risk management practices Systematic framework to shock the liquidity portfolio each quarter Our objectives are validation test decision making test infrastructure & network of relationships

17 PG 17 Counterparty Risk Management Policy objective: Manage and minimise counterparty risk Exposures: Exposure to circa 20 counterparties Management : Developed a Counterparty Creditworthiness Monitor Framework All ISDA s have credit support annexures Collateral management Enablers: Policy rules classify counterparties as either green, amber or red. Daily collateral management Reporting and risk management: Daily reporting of exposure, monitoring counterparty creditworthiness

18 Counterparty Risk Management PG 18

19 PG 19 Evolution of Portfolio Completion Portfolio Completion has evolved over the past 3 ½ years Efficient Execution Value Add Active management Cash management Passive NZ equities Completion: Derivatives FX Overlay management Liquidity management Direct Arbitrage strategies Volatility strategies

20 PG 20 What do we do today? Wide range of activities and exposure managed in-house Cash and liquidity management Passive NZ equities Portfolio Completion via derivatives FX Overlay management Direct Arbitrage Strategy Volatility Strategy

21 PG 21 Lessons Staged execution Have a clear purpose and roadmap for your treasury Take deliberate financial exposures appropriate to that purpose Communicate the challenges to the stakeholders who matter to you Change management

22 PG 22 Looking forward Best practice portfolio management requires us to keep abreast of changes in our operating environment Central clearing of OTC s Better performance attribution Increasing automation / straight through processing Collateral management - outsource

23 PG 23 Key Points Establishment from scratch Developed a roadmap for treasury Significant cost savings and efficiencies achieved Improved focus on risk management through internalisation Portfolio Completion now seen as an access enabler for other non-treasury investment opportunities

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