CIA Annual Meeting Assemblée annuelle de l’ICA

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Presentation transcript:

CIA Annual Meeting Assemblée annuelle de l’ICA June 29 & 30, 2006 Ÿ Les 29 et 30 juin 2006 Ottawa, Ontario Session IND-6: Segregated Funds Update | Jeff Brook – Sun Life Financial

SLF/CI Investments Relationship Risk Management Hedging Agenda SLF/CI Investments Relationship Risk Management Hedging Session IND-6: Segregated Funds Update

CI Investments – Leveraging Strengths Scale Marketing/sales support Sun Life Financial Insurance powers Distribution Whole greater than sum of parts Session IND-6: Segregated Funds Update

CIA Annual Meeting Ÿ Assemblée annuelle de l’ICA Session IND-6: Segregated Funds Update

Main risk - market downturn Risk Management Main risk - market downturn Significant marketplace activity on risk management/reduction Session IND-6: Segregated Funds Update

Risk Reduction Techniques Remove/Reduce Resets Eliminate design choices (e.g. 100/100) Limit Fund Choices Increase Diversification Fund choices Time Soft Caps/Hard Caps Hedging Session IND-6: Segregated Funds Update

Hedging What An asset portfolio that has cash flows/value which responds to changes in the underlying funds in the same direction and magnitude as the cash flows/value of the liabilities Why Types Considerations Requirements Session IND-6: Segregated Funds Update

Risk committee/senior management tells you to Why Hedge? Offload risk Risk committee/senior management tells you to Session IND-6: Segregated Funds Update

Static Long dated Put Options “Cash flow” hedge Dynamic Types of Hedging Static Long dated Put Options “Cash flow” hedge Dynamic Trading Strategy “Value” hedge Typically Delta hedge Session IND-6: Segregated Funds Update

Reduce income volatility Residual exposure Considerations Cost of hedging Reduce income volatility Residual exposure Session IND-6: Segregated Funds Update

Hardware requirements Significant IT Capability Software Hardware requirements Significant Systems interlinks - usually Valuation and Hedging systems Technical Capability Hedge Accounting Session IND-6: Segregated Funds Update

Questions and Answers Session IND-6: Segregated Funds Update