Rethinking portfolios and preparing for divergence in monetary policy

for Central Banks - Sovereign Investors State Pension Funds - Treasuries
12th ~ 13th March 2015, London
www.nationalalm.com/europe
Rethinking portfolios and
preparing for divergence
in monetary policy
Speakers include:
Chris Salmon
Executive Director, Markets Department,
Bank of England
Donald Malicki
Director of Foreign Exchange Department,
National Bank of Poland
Morten Kjærgaard
Head of Risk Management and Strategy,
National Bank of Denmark
Complimentary
attendance for
central banks
and official
institutions
Central Banking
Awards - same
day, same venue!
Details inside
Welcome
Dear Delegate,
Over the past months, developed economies
have seen a growing divergence in monetary
policy. The Fed has ended its quantitative
easing programme, but with economies in
the Eurozone remaining sluggish, the ECB
has commenced its “QE light” ABS purchase
programme and many think it may soon have
to join Japan in full QE.
With this emerging dichotomy, central banks
will continue to face volatility in markets as
interest rates rise in some economies and
fall in others. Sovereign investors must ask
themselves what this will mean for particular
asset markets and global liquidity. What will
the consequences be for central bank balance
sheets as yields diverge? How can central
banks limit exposure to interest rate risk?
These are critical questions facing the
industry and official sector investors
recognise the benefits of sharing experiences
to explore answers. Now in its 8th year,
Nalm provides practitioners with a forum
to discuss these issues with peers. To date,
more than 1,000 delegates from over 100
countries have participated in Central
Banking’s Nalm series.
Throughout the symposium, sessions will
address the challenges facing managers of
national balance sheets. Highlights of the
programme include:
• M
orten Kjægaard, Head of Risk
Management and Strategy at the
National Bank of Denmark, will
discuss trends and challenges in reserve
management including the risks that
reserve managers face and how investment
strategies have been impacted
•
Jan Schmidt, Executive Director
of Risk Management at the Czech
National Bank, will speak about how to
manage interest rate risk as central banks
face monetary policy divergence from the
Fed and the ECB
•
Eric Wolfe, Deputy Chief of Funds
Management and Banking at Bank
of Canada, will deliver a case study on
how the Bank of Canada has updated its
strategic asset allocation
•
Henner Asche, Deputy Director of the
Markets Department from Deutsche
Bundesbank will join us to speak about
the ECB’s purchase programme and how it
will impact markets
•
H A Karunaratne, Assistant
Governor at the Central Bank of Sri
Lanka, will share experiences on investing
in alternatives
The benefits of participation are clear. By
attending Nalm Europe, official sector
investors have the opportunity to hear
from senior policymakers and discuss
with their peers how to prepare for market
volatility, how to improve returns and how to
strengthen risk management frameworks.
I look forward to welcoming you in March.
Best regards,
Robert Pringle
Chairman and Founder
Central Banking Publications
12th - 13th March 2015, London
Speakers include:
Jennifer Johnson-Calari
Advisor and Former Director of
Sovereign Investment Partnerships,
The World Bank (chairperson)
Henner Asche
Deputy Head of Markets
Department, Deutsche Bundesbank
H A Karunaratne
Assistant Governor, Central Bank of
Sri Lanka
Morten Kjærgaard
Head of Risk Management and
Strategy, National Bank of Denmark
Jan Schmidt
Executive Director of Risk
Management, Czech National Bank
Eric Wolfe
Deputy Chief of Funds, Management
and Banking Department (FBD),
Bank of Canada
Maja Kadievska Vojnovik
Vice Governor, Financial Market
Operations and Payment Systems,
National Bank of the Republic of
Macedonia
Donald Malicki
Director of Foreign Exchange
Department, National Bank of Poland
Chris Salmon
Executive Director, Markets
Department, Bank of England
Istvan Veres
Head of Treasury Division, Central
Bank of Hungary
Previous attendees have said:
Very good choice of topical issues and
excellent mixture of presentations and
discussions
The organization of the conference was
excellent both in terms of topics covered,
and in terms of selected presenters
Head of Treasury, Strategy Division, National Bank
of Austria
Vice Governor, National Bank of the Republic of
Macedonia
It was a very dynamic and targeted
conference focusing on the latest reserve
management and monetary policy issues
A very useful opportunity to discover new
trends in reserve management and to
exchange ideas and new approaches in the
current challenging environment
Head of Division, Bank of Lithuania
Head of Investments, National Bank of Moldova
Day one: Thursday 12 March, 2015
Navigating the changing economic landscape
08.00
Registration and breakfast
09.00
Chairperson’s opening remarks
09.10
KEYNOTE ADDRESS: The changing role of the central bank
• How has the role of the central bank changed since the crisis
• How should central banks adapt their balance sheets?
• How are macroprudential policies impacting central banks?
09.50
PRESENTATION: What to expect from the ECB’s purchase programme
• Is the size of the ABS market in the Eurozone big enough to accommodate this programme?
• How will the programme impact the market?
• What role will external managers play in the management of the programme?
• At what point would the ECB consider entering QE?
10.20
Networking break
10.50
PRESENTATION: Trends and challenges in reserve management
• What are the major lessons learned from the past year?
• What risks do reserves managers face in the post-crisis environment?
• How has the end of the Fed’s tapering programme impacted investment strategies?
• What is the outlook for global reserves holdings?
• What asset classes are reserves managers considering diversifying in to?
11.20
PANEL: A view of the markets: the perspectives of official sector investors
• How have market trajectories changed over the past 12 months?
• What is the risk outlook for major reserve currencies?
• How are these risks shaping investment strategies?
• Where do opportunities lie in ‘traditional’ and alternative markets?
Reviewing portfolios as economies recover
14.30
PRESENTATION: Assessing and updating strategic asset allocation: a case study
• How does SAA help to determine the risk and return characteristics of a foreign exchange reserve
portfolio?
• What has the Bank of Canada done to update their SAA for their foreign exchange reserves?
• What benchmarks were introduced for robust performance attribution and risk measurement?
• How was the governance structure changed?
15.00
PRESENTATION: New developments in the internationalisation of the renminbi
• What are the major policy developments in capital account liberalisation?
• What is the timeline for the renminbi to become a reserve currency?
• What is the outlook for the renminbi internationalisation?
• What affect will the internationalisation of the renmibi have on the international monetary and
financial system?
15.30
Networking break
16.00
PRESENTATION: Brics and Mints: what to consider when investing in emerging markets
• After a year of volatility, what is the outlook for emerging markets?
• What are the benefits and risks of investing in emerging markets?
• Which emerging market bonds are central banks considering adding to their portfolios?
• What are the appropriate benchmarks to use when investing in emerging markets?
Afternoon continued
16.30
PRESENTATION: The case for investing in alternatives
• Risks and benefits of investing in alternatives
• Which alternatives should be considered – equities, MBS, ETFs?
• What alternatives are on the horizon?
• What percentage of a portfolio should be allocated to alternatives?
17.00
PANEL DISCUSSION: How should central banks and sovereign investors be rebalancing
their portfolios?
• What should asset allocation look like in the post crisis environment?
• Should central banks continue to diversify their portfolios?
• How can central banks ensure that rebalancing will boost returns in the long-term?
• What risk factors should be taken into account when rebalancing?
17.40
Chairperson’s closing remarks
19.00
Annual Central Banking Awards Dinner with special guest of honour to be announced
Day two: Friday 13 March, 2015
New avenues for risk management
08.00
Registration and breakfast
09.00
Chairperson’s opening remarks
09.10
KEYNOTE ADDRESS: Divergence in monetary policy and its effects on central banks
• How will the divergence in monetary policy affect asset markets and global liquidity?
• How will this impact central banks ability to affect their inflation targets?
• What will the Fed do with the excess liquidity on its balance sheet?
• How should central banks position their balance sheets to prepare for further divergence?
09.50
PRESENTATION: All balance sheet management: positioning for the recovery
• What are the challenges and benefits of implementing an ALM framework?
• How to determine what liabilities should be included
• What should the governance structure look like?
10.20
PRESENTATION: Managing interest rate risk in times of divergent policies
• Is there a new equilibrium level for interest rates?
• Should central banks rethink how they implement monetary policy to limit exposure?
• How can central banks reduce their overall interest rate risk exposure?
• Under what conditions should central banks take more interest rate risk?
10.50
Networking break
11.20
PANEL: What risks should sovereign investors be preparing for?
• What new risks will reserves managers face over the coming year?
• How is the divergence in monetary policy affecting risk management frameworks?
• How are geopolitical risks affecting investment decisions?
• How to balance risk and return
12.00
Chairperson’s closing remarks
12.10
Lunch and close
For sponsorship
enquiries please
contact
John Cook
t: +44 207 316 9739
Recognising excellence in the
central banking community
e: john.cook@
incisivemedia.com
Join us on the evening of 12 March 2015 at the
2nd Central Banking Awards presentation.
For full details visit: www.centralbankingawards.com
Previous attendees include:
Bank Indonesia
Central Bank of the Republic of Kosovo
Bank of Albania
Czech National Bank
Bank of Algeria
Deutsche Bundesbank
Bank of Canada
Monetary Authority of Singapore
Bank of England
National Bank of Belgium
Bank of Finland
National Bank of Denmark
Bank of Italy
National Bank of Poland
Bank of Korea
National Bank of the Republic of
Macedonia
Bank of Uganda
Central Bank of Brazil
Central Bank of the Republic of China
Taiwan
National Bank of Ukraine
Norges Bank
Saudi Arabian Monetary Agency
Central Bank of Colombia
Sveriges Riksbank
Central Bank of Hungary
Swiss National Bank
Central Bank of Ireland
The State Pension Fund (Finland)
Central Bank of Mexico
The Treasury Department
Central Bank of Nigeria
The World Bank
Central Bank of Sudan
United Kingdom Debt Management Office
12th - 13th March 2015, London
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