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Reserves Advisory and Management Program (RAMP)

Reserves Advisory and Management Program (RAMP). SEACEN-World Bank Treasury December 5-7, 2008 Siem Reap, Cambodia. George Bentley Principal Financial Officer The World Bank Treasury. RAMP Mission Statement.

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Reserves Advisory and Management Program (RAMP)

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  1. Reserves Advisory and Management Program (RAMP) SEACEN-World Bank Treasury December 5-7, 2008 Siem Reap, Cambodia George Bentley Principal Financial Officer The World Bank Treasury

  2. RAMP Mission Statement Partner with public sector asset managers as they build their capacity to achieve, over the long run, the best possible risk-adjusted returns on the public money entrusted to them.

  3. World Bank Treasury Investment Management Operations

  4. Clear accountability for decisions and delegation of authority Board and Senior Management Management reporting of performance Policy and strategic asset allocation Information Technology Operations and Accounting Portfolio management Risk management

  5. Advisory spans policy decision to operations… Portfolio and risk managers Advisory Senior policy-makers Accounting, operations and support

  6. Structuring a RAMP engagement Client objectives Annual Project Plan Finance training Workshop and seminar program (Practitioner to Practitioner Approach) On-site visits for consulting and internships at Treasury

  7. 2008 RAMP Seminars and Workshops • Investment Accounting, Antigua, Guatemala • Risk & Performance 2 (Advanced), Cape Town, South Africa • Strategic Asset Allocation 3 (Advanced), Seoul, Korea • Executive Forum, Washington, DC • Operational Risk, Washington, DC • Strategic Asset Allocation 1 (Basic), Washington, DC • Portfolio Management 1 (Basic), Washington, DC • Workshop on Reserve Management • Legal and Governance Issues, Vienna, Austria • Fundamentals of Finance, Washington, DC • External Managers, to be determined • Risk and Performance 1 (Basic), to be determined • Investment Accounting, Washington, DC • Strategic Asset Allocation (Mid level) 2, Washington, DC • Portfolio Management 2, Paris, France

  8. Finance Training • CFA Certification • Magellan On-line training • Specialized Finance Courses offered by other institutes

  9. Proprietary Analytical Tools • Asset Allocation Workbench • Portfolio Analytics Tool • Commodity Fund Model

  10. Portfolio Analytics Tool (PAT) for analytics and reporting Trade Entry Functionality Flexible reporting • Management Information • Reference data • Data Feeds • Holdings • Security prices • Trade simulation • Cash flow Projections • Exchange Rates • Trade entry/verification • Credit Risk • Index Composition • Valuation/position keeping • Market Risk • Index Returns • Credit risk monitoring • Performance • Market risk monitoring • Trade Details • Performance measurement • Market Data

  11. Asset Allocation Workbench • Developed by TRE asset allocation team • based on proprietary models and procedures developed in-house for both internal and external clients • Enables users to determine appropriate strategic asset allocation and test impact of alternative capital market assumptions • Core modules in the workbench: • Data Manager • Asset Return Generator (Monte Carlo simulation) • Portfolio Optimizer • Backtester • Future versions will include • Commodity savings funds: test alternative spending and savings rules and fund dynamics • Manager selection and optimization • Alternative investments • For more information contact: • Arjan Berkelaar • Principal Investment Officer • Multi Asset Class Investment Strategies • World Bank Treasury • Phone: 202-473 7941 • Email: aberkelaar@worldbank.org 11

  12. World Bank Treasury Asset Management WB Group $55 billion Global Fixed Income External Clients $10 billion Global Fixed Income WB Pension Plan $17 billion Global Balanced Government bonds Agencies Repo Asset swaps ABS MBS Derivatives Equities Fixed Income High yield Emerging market Private equity Real estate Hedge funds Government bonds Agencies Repo Futures ABS MBS

  13. Investment Management ProductsGlobal Fixed Income • Government 1-3 year (USD and EUR) • USD Mortgage-backed securities (MBS) • Global Government 1-5 year hedged (USD and EUR) • Fee covers advisory/consulting • and portfolio management • Provides a platform for learning • by observing • On-going communication between client • and Treasury portfolio managers

  14. Reporting Daily portfolio analytics and monthly results • Monthly • Investment Management Report • Monthly Holdings Report • Daily • Holdings, Transactions, • Performance, Risk Reports

  15. Setting up an engagement On-site review of objectives and capacity Aide Memoire Client request Project plan and Investment Management Agreement

  16. Who are RAMP partners? • By type of institution • Central Banks • Sovereign Wealth Funds • National Pension Funds • Multilateral organization • Regions • Middle East • Africa • Eastern Europe • Asia • Central America

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