Discover and read the best of Twitter Threads about #LDI
Most recents (3)
Did the #BoE step in to prevent pension funds from going insolvent? A thread (1/8)
It is very rare that pension schemes themselves go bust. It could be that their deficit is so high that it bancrupts the sponsor, liabilities then would be transferred to the Pension Protection Fund. (2/8)
The irony, and perhaps a real risk is that the PPF has a very significant #LDI strategy, so they will be under a lot of stress too. (3/8)
The pound has rebounded since @bankofengland's market intervention (earlier today it pledged to buy £65bn of long-dated gilts and curtail quantitative tightening ). 
After the Bank of England intervened to calm markets, saying it would buy long-dated bonds at “whatever scale is necessary”, sterling rebounded, and 30-year gilt yields fell to 3.91%. fuelled by the BoE's commitment to postponing quantitative tightening marketwatch.com/story/gilt-yie…
Liability-driven investment blow-up: @bankofengland made its emergency intervention today because pension funds pursuing LDI strategies were left vulnerable to a liquidity squeeze as long-dated gilt yields jerked higher. @toby_n ft.com/content/038b30…
#Actuarial Risk Management of Pension Funds is a highly specialized field.
This work needs both knowledge and understanding of #Actuarial #Mathematical Methods and #Financial Risk Models.
#LDI (Liability driven investing) & CDI(Cashflow Driven Investing) have unique feature risks
This work needs both knowledge and understanding of #Actuarial #Mathematical Methods and #Financial Risk Models.
#LDI (Liability driven investing) & CDI(Cashflow Driven Investing) have unique feature risks
Also, #ILS Insurance-Linked Securities and ART Alternative Risk Transfer Products are other asset classes which need a new set of risk management skillsets, which includes both actuarial maths and an enhanced understanding of NAT CAT Events with combined effects.
Actuaries and Risk Managers must master the craft and science of side-pocket investing in the Insurance Securities Market based on Risk Transfer Methods applied.
