In February 2021 Financial Investigator hosted a LDI & Balance Sheet Management Roundtable. Jan Willem van Stuijvenberg was one of the participants and very much enjoyed the discussions on this always interesting and evolving topic.
The questions covered at the roundtable:
- Should balance sheet management and LDI be provided by one party?
- Should one hedge currency risk inside the LDI mandate or at a total fund level?
- What are the pros and cons of a ‘fund for one’ vs a ‘segregated account’?
- Does it pay out to be active in LDI using government bonds, SSA’s etc.?
- What possibilities are there to incorporate green investing / ESG in LDI?
- The scope of instruments that are used in LDI is widening. How to cope with this?
- For central clearing are pension funds willing to expand towards LCH?
- How does one cope with the increasing demand for cash collateral and the possible drag on performance?
- How will the ‘New Pension Contract’ impact LDI and is anticipation needed?
- In the ‘New Pension Contract’ one will work with age groups. Is it truly logical to increase the rates hedge with age?
- Over 2021 / 2024 the regulatory UFR discount curve will change. How to cope with these changes in relation to the upcoming ‘New Pension Contract’?
- Should (long) government bonds be a natural part of an LDI portfolio?
- What is your outlook on the shape and level of the swap curve?