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A Holistic Study into Cash flow Driven Investment

Wednesday 4 December 2019 08:30

Given that Cashflow Driven Investment strategy has attracted growing interests from pension funds and insurers at the backdrop of current market conditions and clients’ circumstances, the objective of this event is to gather thought leaders from asset managers, banks and insurers to offer attendees their perspectives and insights on main aspects of consideration when adopting this strategy. There will be Q&A opportunities to explore certain areas of interest in depth.

Confirmed speakers:

Adam Baker – Pension and Insurance Solutions, EMEA Sales & Marketing, J.P.Morgan

Adam currently leads coverage for UK Pensions and Insurance clients focusing on liability management. Adam joined J.P. Morgan in 2007 to lead inflation structuring, having previously worked in both structuring and inflation trading at ABN AMRO. Adam spent 8 years working in structuring roles looking at cross-asset solutions over a range of clients and geographies before moving into his current role. These solutions have encompassed a range of clients including pension funds, insurers, corporates, infrastructure funds, and asset managers. Adam is a graduate of Pembroke College, Oxford.

Jon Exley – Solutions Manager, Schroders Investment

Jon is a member of the Investment Solutions team at Schroders, responsible for the design and development of asset management solutions for global institutional clients. Prior to joining Schroders, he was a Partner in the Investment Advisory practice of KPMG following senior roles in Mercer’s Financial Strategy Group and in the Pension and Insurance team at Barclays Capital.  Throughout his career he has specialised in the provision of strategic investment advice and asset/liability modelling and has been a strong advocate for the application of modern financial techniques to pension scheme and other institutional investment.  Jon is a Fellow of the Institute of Actuaries with a First Class Degree in Mathematics from Imperial College, London.

Tanya Kohli – Pension and Insurance Solutions, EMEA Sales & Marketing, J.P.Morgan

Tanya currently works in the UK Pensions and Insurance marketing team at J.P. Morgan. Tanya started her career on the Fund Structuring desk at Barclays Bank where she spent 2 years before joining their UK Insurance Solutions team focusing on cross product insurance solutions. She joined J.P. Morgan in 2015 where she joined the Rates Marketing team broadening her client base to include both Pensions and Insurance clients. Tanya is a graduate of Gonville & Caius College, Cambridge.

Dr Russell Lee – Head of Insurance and Pension Solutions, L&G. Expert in writing annuity business under Solvency II and developing insurance-like solutions for UK pension schemes

Dr Russell Lee has 20 years experience in insurance, banking, pension consulting and quantitative finance.

Most recently he was Head of Client Solutions within Legal & General’s retirement division where he was the architect of their Insured Self-Sufficiency solution comprising an outsourced cash-flow matching strategy for pension schemes based on insurance principles together with limited-recourse insurance protection. Prior to L&G he spent 4 years at Mercer Investment Consulting where he built the Insurance Consulting team and pioneered early efforts to encourage pension schemes to “invest like an insurer.

Graham Moles – Co-head of Solution Strategy, Legal and General Investment Management

Graham was appointed Co-Head of Solutions Strategy in June 2018.  He has particular expertise in risk management, asset allocation, strategy, insurance investment and project management. His main focus is on the strategy and decision making framework for DB and DC pension scheme clients. Graham joined LGIM in 2007, originally working in the Derivative Trade Support team and moving to the Solutions Group in 2009.  He is a graduate of the University of Southampton where he obtained an honours degree in management and accounting.

Toby Orpin – Senior Solutions Distribution Manager, LGIM

Toby is responsible for the distribution of LGIM’s global fixed income capabilities to pension funds and institutional investors, and to their consultants. Prior to joining LGIM in April 2014, Toby was at LCP Investment Consultancy, working with clients on investment strategy and researching fund managers in the alternatives investment space. Toby has a Master’s degree in Mechanical Engineering from the University of Exeter.


8:30-9:00 Registration

Plus ca change….What is new about CDI and what really isn’t?

  • Actuarial valuations, projected cashflows and discounting
  • Meeting cashflows with bonds held to maturity  
  • What is DTS  and why is it important?
  • Integrating LDI into CDI solutions
  • Front versus back loading
  • Case studies  

John Exley, Solutions Manager, Schroders.


CDI - Learnings from UK Life Insurers

CDI is often described as “investing like an insurer”, but most CDI implementations deviate significantly from insurance principles and best practice. Russell will examine what it truly means to invest like an insurer, and the reasons why insurers do what they do. He will examine the following:

1) Matching the right cash flows - managing to best-estimate liabilities, not a prudent estimate

2) How the liabilities are valued - the need for dynamic discounting based on portfolio yields with risk haircuts

3) No-one matches like an annuity provider! - regulatory tests around cash flow matching, and avoiding reliance on capital appreciation or exposure to market value movements

4) The nature and impact of credit losses and the need for a reserve as well as a risk budget.

5) Why a holistic approach to portfolio selection and management is required

6) The need for a “solvency” definition that provides a decision-making framework

Russell Lee, Head of insurance solutions, M&G.

10:30-10:45 Coffee Break

End game considerations and how cashflow matching can help - DO sweat the small stuff


  • The implementation of the strategy is often as important as the strategy itself – market conditions and opportunities will change as you build the allocation
  • Know when to look outside of traditional cashflow matching assets to reach appropriate risk and return – avoiding overly risky/concentrated portfolios
  • Ensure your fund manager thinks about YOUR situation – there are factors other than just cashflow that need to be accounted for
  • Is cashflow matching just for large schemes – lower governance solutions for pooled schemes
Graham Moles, Co-Head Solutions Strategy, LGIM
Toby Orpin, Senior Solutions Distribution Manager, LGIM

Hedging strategy evolution: Cashflow Driven Investment considerations

  • How does CDI fit into a pension scheme journey plan?
  • What do we mean
  • What are the different variations?
  • What are the consequences of CDI? Liquidity and currency risk management
Adam Baker, Executive Director, JP Morgan
Tanya Kohli, UK Rates Sales, JP Morgan
12.15-12.20 CDI working group update
12.20-13.20 Networking with Lunch




Staple Inn, 4 High Holborn, Holborn, London WC1V 6DR, UK

Nearest Public Transport

Chancery Lane Tube