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Page � of �1 7! Confidential - All Rights Reserved - Copyright 2016 ALM-VISION

Copyright 2016-2017 ALM-VISION S.A.S.

2-DAY SOLVENCY II WORKSHOP WITH THE CENTRE FOR ISLAMIC BANKING, FINANCE AND MANAGEMENT (CIBFM)

AND ALM EXPERT SERGE MOULIN, FOUNDER & CEO, ALM-VISION S.A.S. (EUROPE)

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SOLVENCY II - SCR, ALM RISKS AND MODELING, STRESS-TESTING -

- 2-DAY WORKSHOP - !! 3-4 APRIL 2017 8:30AM-12:15PM

1:30PM-5:00PM !

CENTER FOR ISLAMIC BANKING, FINANCE AND MANAGEMENT (CIBFM) LEVEL 3 ILIA BUILDING UNIVERSITI BRUNEI DARUSSALAM CAMPUS JALAN TUNGKU LINK BE1410 NEGARA BRUNEI DARUSSALAM

STAKEHOLDER …………….………BND $3,080.00 NON-STAKEHOLDER ………………BND $3,480.00 FEE INCLUDES WORKSHOP MANUALS, PRACTICAL SESSIONS, REFRESHMENTS AND A CERTIFICATE OF ATTENDANCE (FOR FULL PARTICIPATION) FOR FULL REGISTRATION INFORMATION SEE BACK OF BROCHURE (STAKEHOLDERS ARE PARTICIPANTS FROM MOF, AMBD AND ALL DOMESTIC BANKS IN BRUNEI DARUSSALAM)

!SOLVENCY II

- SCR, ALM RISKS AND MODELING, STRESS-TESTING -

INTRODUCTION TO THE WORKSHOP Directive 2009/138/CE of November 25 2009 called Solvency II defines the general rules for minimum capital requirements for the insurance and reinsurance business. The calculation of the solvency ratio under the new rule is mandatory in Europe as of 1st of January 2016. Markets outside Europe are increasingly looking at Solvency II. It is in light of this development that we bring the possibility of this ALM-Vision workshop to your attention.

This workshop on Asset Liability Management (ALM) is of great value to risk management and financial management teams, risk supervision teams and all insurance professionals seeking a simple, innovative cutting-edge interactive workshop exposing them to best practices internationally on Asset Liability Management in the insurance sector focusing on Solvency II.

PARTICIPANTS WILL GAIN Participants will gain familiarity with the international regulatory requirements on Asset Liability Management in the insurance sector. They will also gain familiarity with operational simulation in order to base their decisions and recommendations on quantitative elements. Through the analysis and explanations of the issues faced by some cases of institutional failures observed during the crisis, they will reinforce their culture in Asset Liability Management.

OUR EXPERTISE ALM-VISION is a specialized quantitative firm, focused on ALM modeling and advisory to financial institutions: banks, insurance companies, pension funds, real estate funds, governments. In the insurance sector, ALM-Vision brings a market perspective to the global actuarial issues that companies face. It helps companies model their balance sheet, forecast their solvency ratio and answer to regulatory requirements.

ALM-Vision acts currently through Mr. Serge Moulin as monitoring trustee to the European Commission for the follow up of the participation in Ethias and as actuarial and financial advisor to the Kingdom of Belgium. The Kingdom of Belgium, through the SFPI (Federal Society of Participation and Investment, the legal entity owning and managing the state's participations in private companies, including BNPP, Belfius, Ethias) is the owner of 25% of Ethias, the third insurance company in the Kingdom with about EUR 20 bn. of mathematical reserves in both life and non-life.

ALM-VISION is acting as exclusive actuarial advisor to the SFPI. In this function, it acts as monitoring trustee for the follow-up of the decision of the European Commission on Ethias:

• monitoring of the risk function • modeling of the solvency II situation • calculation of the best estimates and the ViF

ALM-Vision intervenes in the insurance sector on the following: • Solvency II ratio calculation and simulation, control of the Best Estimates and Risk Margin • Pricing of the embedded options (we provide our customers with our market statistical

pricers) • Market valuation, EIOPA curve valuation of the liabilities • Asset allocation • Risk analysis: interest rate mistmatch, spread risk (with and without Volatility Adjustment

on liabilities), market risk, stress scenarii • Review of business plan and capital need • Review of strategy, documentation to the executive committee and board • Subordinated issuance: advisory and follow up • Valuation of the entity, analysis of its strategic needs and options • Definition of limits, organisation of the risk control and actuarial department • As monitoring trustee for the European Commission on the Ethias file, we interact at the

highest level of the company, the European Commission and the Government of Belgium.

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2-DAY SOLVENCY II WORKSHOP OUTLINE

SESSION 1 : LESSONS LEARNED • The fatal impact of the liquidity crisis: the case of three European banks - Dexia: appears to be financially sound in 2007… - Fortis: a fatal strategic error - Northern Rock: sorcerer’s apprentice building society • ALM errors in insurance companies: the case of two European insurance companies - Ethias or the collapse of an insurance company during the 2008 financial crisis

and a “run to the insurance” scenario - An example of loss following the collapse of interest rates in Europe in 2014 and

2015 on an insurance contract with a 4 year duration mismatch between assets and liabilities

• Basel III and Solvency II: what we learned, the parallels, the differences

SESSION 2 : ALM AT THE HEART OF THE INSURANCE COMPANY • The fundamental role of ALM in insurance companies • A review of the reference texts on ALM for the insurance sector • Regulators are pushing for increased expertise and structuring of ALM functions in

insurance companies • A mapping of the key risks faced by insurance companies

SESSION 3 : WHY SOLVENCY II? • What is the solvency capital for an insurance company? • The risk margin to add to the best estimate • Sufficient capital in case of a stressed scenario seen 1 time every 200 years • Taking on risks that the company can manage • Monitoring existing risks to avoid a situation where those would exceed constraints

outlined by the insurer • Having an internal control system in place • Solving the limits of Solvency I - Portfolio quality - Overall risks - No harmonisation across European jurisdictions

SESSION 4 : THE THREE PILLARS OF SOLVENCY II • Pillar I: quantifying risks • Pillar II: implement best practices under a modernised supervision • Pillar III: transparency and fair competition

SESSION 5 : MODELING THE BALANCE SHEET: FOCUS ON MARKET RISK • Modeling market risk in insurance requires mastering all asset classes: IR, spread,

FX, equity, real estate, inflation and the correlation between them • Duration: duration of assets and liabilities is much longer than in the banking

sector • Reinvestment rules: modeling requires the integration of reinvestment rules, which

in the insurance sector are path-dependent

SESSION 6 : MODELING THE LIABILITIES FROM AN ALM POINT OF VIEW

• Life mathematical reserves • Non-life liabilities • Modeling claims

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SESSION 7 : MODELING AND UNDERSTANDING THE SOLVENCY II RATIO

• Summarising solvency II standard methodology • The diversification effect • The volatility Adjustment • Calculating its sensitivity to interest rates and spreads and market effects both on

the numerator and the denominator - the cyclicality of solvency II - real correlation versus the standard model correlations

• EIOPA curve versus full market interest rate curve • Stochastic Best Estimate and lapse effect • Value in Force (ViF) and Market Consistent Embedded Value (MCEV)

SESSION 8 : LAPSES • Modeling and pricing lapses • Customer behaviour: arbitrage between insurance companies

SESSION 9 : TECHNIQUES TO IMPROVE SOLVENCY RATIO • Raising capital • Reducing SCR consumption • Pricing of financial reinsurance contracts !

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!!TRAINER PROFILE !

Serge Moulin is the Founder of ALM-VISION, a firm that provides technical support and advisory services to financial institutions, including the powerful ALM-Solutions® software. He was deal of the year 2009 for the rescue operation of FORTIS and his team was intensely involved in most of the rescue operations that took place during the 2008 crisis, advising governments, financial institutions and the European Commission (EC). !He is an actuary and investment banker specialized in financial institutions and was Managing Partner at Riverrock Group. Previously, he co-headed the Strategic Institutions team of Société Générale Corporate & Investment Banking. He worked in a similar role at JP Morgan Chase Bear Stearns Europe. In both positions, he modeled and analyzed banks and insurance companies’ assets and liabilities and advised clients on their ALM, investments, liquidity and capital. He was formerly a financial executive and assumed various positions: head of ALM, CIO, CFO, COO and deputy CEO of several financial institutions. He started his career in research, structuring and quantitative management. !He is considered one of the specialists most involved in the various rescue operations in Europe during the crisis. His mandates included Fortis, Dexia, Banques Populaires, Nama – Ireland, Iceland, KBC and as advisor to the EC on Spanish and German files. He is actuary advisor to the Kingdom of Belgium, including for the insurance company Ethias. He wrote numerous research

papers on finance and lectures at the French National School for Statistics and Economic Administration - Paris (ENSAE) and the French Certificate in Asset Liability Management. Mr. Moulin graduated from ENSAE and is a member of the Institute of Actuaries of France (Institut des Actuaires) and of the International Actuarial Association (IAA). !ALM-Vision now acts via Mr. Serge Moulin as monitoring trustee to the EC and on the participation follow-up of Ethias and as actuarial and financial advisor to the Kingdom of Belgium. The Kingdom of Belgium, through the SFPI (Federal Society of Participation and Investment, the legal entity owning and managing the state's participations in private companies, including BNPP, Belfius, Ethias) owns of 25% of Ethias. !!ASSISTANT !Dr. Anne-Sophie Gintzburger joined ALM-Vision following a Ph.D in Islamic finance. Anne-Sophie has a doctorate from the École normale supérieure (ENS-Lyon, 2013) and is a graduate of the Australian National University (ANU, 2010). She joined our team following freelance projects in strategic consulting and Islamic finance. She works closely with our international clients. She is tasked with developing our activities internationally.

!CONTACT US !anne-sophie.gintzburger@alm-vision.com +63 995 327 8534 +61 413 164 589 !! !

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!!© 2016 ALM-VISION. www.alm-vision.com. Contact info@alm-vision.com. All rights reserved. No information in this document may be reproduced or distributed in whole or in part without the express written prior consent of ALM-VISION, except for personal use.

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!!!!!! !!CENTRE FOR ISLAMIC BANKING, FINANCE AND MANAGEMENT (CIBFM) !!!The Centre For Islamic Banking, Finance and Management (CIBFM) is the learning arm under Autoriti Monetari Brunei Darussalam (AMBD). Established in 2010 as the Centre For Excellence for Brunei’s finance industry, CIBFM has been accredited by Brunei Darussalam National Accreditation Council (BDAC) as a Training Institution in the field of Banking, Finance and Management; and henceforth, all training programmes organised by CIBFM are recognised as Value Added Qualifications. In addition to providing executive education, CIBFM also organises high profile local and international events in partnership with renowned institutions. !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!! !!!!!!!

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�7Copyright 2016-2017 ALM-VISION S.A.S.

!SOLVENCY II

- SCR, ALM RISKS AND MODELING, STRESS-TESTING -

- 2-DAY WORKSHOP - !! 3-4 APRIL 2017 8:30AM-12:15PM 1:30PM-5:00PM !!! !!!!!! !

REGISTRATION ENQUIRIES

FAX: 2461 224 TEL: 2461 221/223 EMAIL: registration@cibfmbrunei.com WEB: cibfmbrunei.com ! LOCATION Centre For Islamic Banking, Finance And Management (CIBFM) Level 3 ILIA Building Universiti Brunei Darussalam Campus Jalan Tungku Link BE1410 Negara Brunei Darussalam

CIBFM STAKEHOLDER BND $3,080.00 NON-STAKEHOLDER BND$3,480.00 Fee includes workshop manuals, practical sessions, refreshments and a certificate of attendance (for full participation). CIBFM operates a strict NO CANCELLATION POLICY after receipt of nominations from organisations, but substitute/s are welcomed. CIBFM reserves the right to cancel or postpone the programme should a number of 12 participants not be met. (Stakeholders are participants from MOF, AMBD and all domestic banks in Brunei Darussalam)

Submit your completed form by 5 March 2017 Kindly include a copy of your IC along with this form

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