Practical Issues Relating to Setting Up a Hedging Program
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1 Joint Regional Seminar 2007 Practical Issues Relating to Setting Up a Hedging Program Leong Chew, FSA, MAAA leong.chew@milliman.com
2 Overview Hedging implementation: obstacles & challenges In-housing versus outsourcing Framing the hedging objectives Implementation checklist 2
3 Hedging Implementation: Obstacles & Challenges Process Overview Management Buy-in Capitalization Transparency Other mitigations Business Analysis Modeling theory Program objectives Effectiveness IT System Fragmented data Computing resource Real-time Reporting & Audit Attributions SOX compliance Varying audience Maintenance Ongoing support Trading support Calibrations 3
4 Centralization of Sources and Users Fund NAV File 4 Annuity Admin. Data Murex Bloomberg Investment Data Plan Code & Descr. File Monthly Feeds Daily & On Demand Proposed Monthly Feed Historical (Start-up Only) Every 15 Seconds Once (Existing Codes) Ongoing (New Codes) Context Diagram Variable Annuity Hedging SOP Runs FAS Runs Proposed Reports Proposed Reports Trading Grid & Reports Trading Grid Actuarial Valuation Treasury Corp. Risk Mgmt. Asset/ Liability Mgmt. Investments
5 Network Complexity 5
6 Process Challenges Technological needs Ability to perform a large number of seriatim liability valuations with a short turn-around time Grid computing necessary Model consistency Consistent valuation methodology between pricing models, risk reporting and performance attribution Market consistency Attribution model needs to replicate market prices of assets for which a market exists 6
7 Internal versus Outsource Reasons for Internal Development Control of process and transparency to the users Low monthly maintenance cost Integration with data warehouse and management reporting system Proprietary model maintained 7
8 Internal versus Outsource Reasons for Outsourcing Huge upfront setup cost Resource commitment from actuarial, IT, investment, legal and management System constraints of processors and scheduling Capital market information may be incomplete Requirements of trading tools and experience trading personnel Lack of experience in common implementation issues 8
9 Internal versus Outsource Candidates for outsourcing Companies lacking state-of-the-art expertise Derivative trading Capital market modeling IT capacity & savvy distributed computing system Insufficient human resources capacity Large preexisting block or acquisition 9
10 Framing Hedging Objectives Performance measurement Risk monitoring Defining Hedge strategy Hedging Activities 10
11 Framing Hedging Objectives Clearly Defined & Documented Approved by the Board Precise and transparent Analyst, auditors, regulators Accounting and regulators Influenced by accounting treatments and product filings with local regulators 11
12 Framing Hedging Objectives Hedge exposures Equity indices and volatilities (delta & vega) Interest rate exposure (rho) Currency risk Percentage hedged Trading instruments and frequency Futures and forwards Options Swaptions 12
13 Framing Hedging Objectives Capital market assumption Market consistent or real-world Static or dynamic hedging Balancing of competing company interests: Capital, shareholder expectation and profitability Performance measurement 13
14 Implementation Checklist Hedging objectives Hedging strategy Sufficient capital New business and unexpected events Dedicated resource Actuarial, IT, investment, legal and accounting Computing grid Secured and meet and meet audit requirements Trading facility Risk control measures Disaster recovery; emergency trading Reporting and effectiveness measure 14
15 Performance Measurement Calculation of the amount of over- / under-performance relative to the liabilities Attribution of over- / under-performance to the various drivers of performance Reconciliation between performance drivers and risk position reporting Reconciliation between performance drivers and pricing assumptions 15
16 Uses of Performance Measurement Pricing Comparison of pricing option costs with costs paid into the hedge program Comparison of realized savings with pricing assumptions for dynamic programs Basis for hedge strategy revisions Historic program behavior used as a basis for future strategy revisions Risk management Reconciliation between sources of hedge gains/losses with exposures in risk exposure reports Product competitive positioning to benefit from offsetting exposures Liabilities Monthly Sum Cap Other Total Capital Markets Impact Index (100,521) (132,048) (232,569) Volatility (46,380) 103,291 56,911 Interest rates 2,717 3,805 6,522 Time 27,912 28,761 56,673 Dividend yield (5,867) (5,963) (11,830) Total capital markets impact (122,139) (2,153) (124,292) 16
17 Joint Regional Seminar 2007 Practical Issues Relating to Setting Up a Hedging Program Leong Chew, FSA, MAAA leong.chew@milliman.com
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