Valuation & Pricing for Buy-Side Firms - 3rd Annual Practitioner's Forum

Transcription

1 Valuation & Pricing for Buy-Side Firms - 3rd Annual Practitioner's Forum Meeting Regulatory and Client Expectations Facing Buy-Side Firms Valuation & Pricing for Buy-Side Firms - 3rd Annual Forum - Tuesday 28 June :30-9:05 Registration 9:05-9:15 Chairperson s Welcome and Opening Remarks 9:15-9:50 REGULATORY PERSPECTIVE: Insights into the Regulatory View and Differing Requirements Impacting Buy-Side Valuation 9:50-10:25 Assessing the Practical Impact of EMIR and OTC Reform on Fund Valuations The implementation of mandatory clearing of OTC Derivatives using central counterparties (CCPs) means that counterparty valuations will be replaced by CCP prices. This session explores what is known about the basis of derivative valuations supplied by CCPs and the pro's and con's of using them within Fund Valuations: Chris Johnson, Senior Product Manager, Market Data Services, HSBC Securities Services How does the availability of valuation data differ between centrally cleared and bi-lateral OTC derivatives What do we know about the valuation models used by each of the major CCPs, and whether they differ between each CCP To what extent are CCP pricing models designed to drive the margining calculations for collateral purposes, as opposed to valuation What are the valuation challenges if a fund holds both cleared and non-cleared OTC derivatives What's the pipeline for central clearing; in what sequence are the different OTC derivative asset classes being prioritised for mandatory clearing Are CCP prices suitable for fund valuations, in terms of quality and timing of valuation? If not, what are the alternative 10:25-11:00 Developing Valuation Governance Practices and Meeting Investor Expectations The level of scrutiny on asset valuation has become unprecedented, with the regulator and more recently the media becoming more focussed on assets and their valuation. There is a significant need to have in place sufficient and robust processes in relation to asset valuation and it s governance, with a greater onus on asset owners to ensure that they have considered the different facets of guidance and best practice. The asset ownership model is complex and broad, with considerations such as the: Shailen Patel, Director, Wealth & Asset Management, EY Relative roles of the different stakeholders in the valuation process Breadth of guidance on valuation, with accounting standard setters, regulators and industry bodies all contributing to the

2 requirements an asset owner should follow; Fiduciary responsibilities of the Board and what information they receive Reporting consequences of choices made in valuation downstream Identifying valuation uncertainty and where valuations may be required to be more prudent Governance and independence in the process 11:00-11:20 Networking & Refreshment Break 11:20-11:55 ASSET MANAGER & OWNER PANEL SESSION: Perspectives on Enhancing On-Going Due Diligence and Oversight of Outsourced Valuation Operations Milen Johar, Head of Investment Reporting & Control, BT PENSION SCHEME MANAGEMENT Ralph Ousen, Valuation Officer, PGGM INVESTMENTS David Bonsall, Head of GLG Middle Office Accounting, MAN GROUP 11:55-12:30 Managing the Impact of Lack of Liquidity and Marketability on Valuation Operations Regulators and investors have increased the pressure on asset managers to produce transparent, objective and defensible valuations. At the same time, market volatility and challenges on asset illiquidity and marketability have made the art of valuation and managing the governance frameworks around valuation more challenging. This session considers the risk impact of liquidity and marketability on valuations across asset classes and the management of such risks: Matthew Warren, Director, Deal Advisory Valuation Services, KPMG What illiquidity and lack of marketability means for valuation Factoring illiquidity and marketability into valuation The trade-off between asset liquidity and valuation governance Managing the challenges that asset illiquidity brings to valuation processes and governance 12:30-1:05 Managing Complexity in the Valuation Workflow This presentation will discuss the workflow of a typical Asset Manager or Custodian and highlight some approaches which can streamline this workflow and improve the efficiency of valuation analysts. Key areas of focus will include: Keldon Drudge, Founding Partner & CEO, PRISM VALUATION Use of attribution analysis and drilling down to market data to speed price challenge resolution Additional sources of complexity in valuations such as CCP basis

3 1:05-1:50 Networking & Lunch 1:50-2:25 CROSS INDUSTRY PANEL SESSION: Addressing the Challenges Around Reliability and Relevance of Market Data in Volatile Situations Greg Cripps, Founding Partner & President, PRISM VALUATION David O'Callaghan, Global Fund Accounting Senior Product Manager, BNY MELLON ASSET SERVICING Ana Armstrong, CEO, ARMSTRONG INVESTMENT MANAGERS 2:25-3:00 ASSET OWNER CASE STUDY: Identifying Operational and Regulatory Challenges Affecting Valuation and Pricing Governance In today s complex post GFC world, the role of Product Control in buy side organisations such as pension funds is increasingly more influential in providing robust control and oversight. Constant regulatory pressures require higher levels of governance and focus on oversight activity. Product Controllers have had to become more nimble, flexible, and possess a wider knowledge base in order to provide the right level of oversight when dealing with Portfolio Managers, Regulators, Service Providers etc. This session will provide an outline of operational and regulatory challenges affecting valuation and pricing governance and will examine: Milen Johar, Head of Investment Reporting & Control, BT PENSION SCHEME MANAGEMENT The role, responsibilities and scope of Product Control in the wider business How pension funds think about P&L, risk and valuation Working with Service Providers: the relationship and information required for effective control Valuation and pricing governance lessons from a buy-side perspective 3:00-3:35 Risk Manager s Perspective: Enhancing the Interaction Between Pricing and Risk Control Processes Increased global regulations, higher competition and a growing importance for front-, mid- and back-office departments to cooperate better all increase the need to improve and integrate risk and valuation processes going forward. Henning Varner, Head of Risk, SKAGEN FUNDS The CEO is the CRO and complexity is out External or internal pricing Swing pricing or not From Brinson to risk factors performance attribution aligning with risk methodology IFRS and what to do when fair value is not fair The link that is often not there Short on CSA s, derivatives, EMIR and capital requirements 3:35-3:55

4 Networking & Refreshment Break 3:55-4:25 Recent Developments in Evidencing Transparent and Defensible Valuations on Hard to Price Securities 4:25-4:55 An Overview of XVA, Direction of Valuation Modelling and Implications for Buy-Side Firms' Pricing The economics of derivatives and the valuation standards are changing. Derivatives pricing is becoming more complex than ever from an analytical and data perspective due to the changing regulation and market pricing standards. This session will introduce in details all XVA s and the challenges they present for the financial industry. Topics covered will include: Abdelaziz Lamaaizi, Head of Quantitative Analysis, (Structured Solutions and Guarantees), AMUNDI ASSET MANAGEMENT The impact of regulation on derivatives modeling: initial margins, collateralization, counterparty credit risk XVA components of the fair-price of uncollateralized derivatives Initial Margin and its Impact Computation Issues of XVA s 4:55-5:25 BUY SIDE PANEL SESSION: Addressing Key Challenges Being Faced and Outlook for the Future for Buy-Side Valuation Chris Johnson, Senior Product Manager, Market Data Services, HSBC Securities Services Daniel Johnson, Senior Vice President, Head of Fund Services Europe,, WELLS FARGO GLOBAL FUND SERVICES Cathy Hampson, Director - Governance, Data, Analytics & Reporting, AIG EUROPE Marine Mouraret, Head of Risk Standards, Models & Methodology, Global Risk Management, AXA INVESTMENT MANAGERS 5:25-5:25 Chairperson's Summation and Close of Day One IN-HOUSE TRAINING: A variation on this programme or selected elements of it, can be delivered at a time, location and pace to fit your business schedule. In-house training can be tailored to focus on the specific needs and challenges facing your staff. We will develop and provide all course materials and trainers to make your investment a success. Your staff will also save time and traveling expenses. For details on in-house training for this particular course, please telephone Richard Horsler on +44(0) or richard.h@infoline-uk.com Sponsorship Opportunities Sponsoring a conference, or even taking an exhibition stand, is a fantastic way of raising your company s profile and generating greater awareness of your brand.

5 We can tailor specific sponsorship and exhibition packages to help you meet and influence the people who are going to ensure the growth of your business now and in the future. With a clear understanding of your overall marketing strategy, we will work in partnership with you to develop a bespoke marketing solution to meet your objectives. We will ensure that you enjoy all the benefits of association with the right event, targeted at the right delegates, with a promotional package that underpins your marketing objectives. Want to know more? Please contact Sophie Serhan on +44 (0) or by sophie.serhan@informa.com

6 Valuation & Pricing for Buy-Side Firms - 3rd Annual Practitioner's Forum Meeting Regulatory and Client Expectations Facing Buy-Side Firms Lead Sponsor Prism Valuation Prism Valuation was founded in 2006 by a group of ex-structured product traders and quants to provide independent valuation and risk management services for OTC derivative and structured product deals covering all major asset classes: Interest Rates, Inflation, FX, Equities, Commodities, Credit, Funds and Custom Indices. Our emphasis is on providing defensible valuations on all deal types from the vanilla to the exotic. Media Partner DerivSource DerivSource is an independent information source and online community for derivatives professionals. We provide trend analysis, peer commentary and various educational resources via our articles, podcasts and interactive webinars. Register for FREE today to join the conversation.