Industry Trends
Percentage of Portfolio in LDI
| AVERAGE IN LDI |
MEDIAN IN LDI |
AVERAGE HEDGE RATIO |
MEDIAN HEDGE RATIO |
|
| ALL 2015 RESPONDENTS | 41% | 40% | 46% | 40% |
| CURRENT PLAN STATUS | ||||
| Open | 40% | 37% | 40% | 44% |
| Frozen | 48% | 45% | 54% | 40% |
| Closed | 38% | 37% | 46% | 40% |
| ENDGAME STATUS | ||||
| Keep open/maintain | 38% | 37% | 37% | 28% |
| Close/freeze/lump sum | 44% | 39% | 44% | 40% |
| Buy-in/buyout | 45% | 49% | 57% | 55% |
| Continue to manage | 44% | 40% | 48% | 40% |
Allocation within LDI
| DERIVATIVES | TOTAL RETURN FUNDS (I.E. LONG DURATION) |
CUSTOMIZED CASH BONDS (ALL TYPES) |
CUSTOMIZED CASH BONDS—NO BENCHMARK |
CUSTOMIZED CASH BONDS— LIABILITY BENCHMARK |
|
| ALL 2015 RESPONDENTS | 13% | 40% | 40% | 4% | 36% |
| CURRENT PLAN STATUS | |||||
| Open | 8% | 29% | 44% | 8% | 37% |
| Frozen | 21% | 52% | 29% | 3% | 26% |
| Closed | 12% | 40% | 44% | 3% | 41% |
| ENDGAME STATUS | |||||
| Keep open/maintain | 5% | 31% | 45% | 2% | 43% |
| Close/freeze/lump sum | 14% | 41% | 37% | 3% | 34% |
| Buy-in/buyout | 13% | 40% | 39% | 0% | 39% |
| Continue to manage | 16% | 49% | 33% | 2% | 31% |
Number of LDI Providers Used
| AVERAGE | MEDIAN | |
| ALL 2015 RESPONDENTS | 2.3 | 1.0 |
| CURRENT PLAN STATUS | ||
| Open | 1.8 | 1.0 |
| Frozen | 2.1 | 2.0 |
| Closed | 2.8 | 2.0 |
| ENDGAME STATUS | ||
| Keep open/maintain | 2.0 | 1.0 |
| Close/freeze/lump sum | 2.3 | 2.0 |
| Buy-in/buyout | 1.9 | 1.0 |
| Continue to manage | 2.3 | 2.0 |
Glide Path in Place?
| YES, WRITTEN INTO IPS AS A ‘CONTRACT’ |
YES, WRITTEN INTO IPS AS AN ‘INTENT’ |
YES, BUT NOT WRITTEN INTO IPS |
NO (TOTAL) |
NO, BUT PLAN TO |
NO, AND NO PLANS TO |
|
| ALL 2015 RESPONDENTS | 8% | 30% | 28% | 34% | 8% | 26% |
| CURRENT PLAN STATUS | ||||||
| Open | 8% | 30% | 28% | 34% | 8% | 26% |
| Frozen | 31% | 23% | 23% | 23% | 0% | 23% |
| Closed | 4% | 40% | 32% | 24% | 8% | 16% |
| ENDGAME STATUS | ||||||
| Keep open/maintain | 0% | 17% | 26% | 57% | 13% | 43% |
| Close/freeze/lump sum | 10% | 40% | 35% | 15% | 10% | 5% |
| Buy-in/buyout | 17% | 33% | 33% | 17% | 8% | 8% |
| Continue to manage | 14% | 29% | 36% | 21% | 4% | 18% |
Glide Path Triggers
| WITHIN A RANGE | AUTOMATIC | |
| ALL 2015 RESPONDENTS | 82% | 18% |
| CURRENT PLAN STATUS | ||
| Open | 75% | 25% |
| Frozen | 82% | 18% |
| Closed | 90% | 10% |
| ENDGAME STATUS | ||
| Keep open/maintain | 83% | 17% |
| Close/freeze/lump sum | 83% | 17% |
| Buy-in/buyout | 90% | 10% |
| Continue to manage | 91% | 9% |
Glide Path Triggers Based On…
| FUNDED RATIO |
INTEREST RATES |
MARKET OUTLOOK |
OTHER | |
| ALL 2015 RESPONDENTS | 82% | 45% | 18% | 6% |
| CURRENT PLAN STATUS | ||||
| Open | 71% | 48% | 19% | 5% |
| Frozen | 75% | 50% | 17% | 17% |
| Closed | 100% | 39% | 17% | 0% |
| ENDGAME STATUS | ||||
| Keep open/maintain | 78% | 56% | 22% | 6% |
| Close/freeze/lump sum | 88% | 59% | 18% | 0% |
| Buy-in/buyout | 100% | 56% | 11% | 0% |
| Continue to manage | 95% | 45% | 14% | 9% |
Willingness to Re-Risk
| YES | NO, BUT HAVE BOARD APPROVAL TO ACT TACTICALLY |
NO | |
| ALL 2015 RESPONDENTS | 56% | 10% | 34% |
| CURRENT PLAN STATUS | |||
| Open | 50% | 14% | 36% |
| Frozen | 50% | 0% | 50% |
| Closed | 65% | 13% | 22% |
| ENDGAME STATUS | |||
| Keep open/maintain | 57% | 14% | 29% |
| Close/freeze/lump sum | 60% | 10% | 30% |
| Buy-in/buyout | 67% | 8% | 25% |
| Continue to manage | 46% | 14% | 39% |
Reasons to Re-Risk
| MARKET OUTLOOK |
REGULATORY CHANGE |
FUNDED STATUS CHANGES |
INTEREST RATE CHANGES |
OTHER | |
| ALL 2015 RESPONDENTS | 68% | 29% | 66% | 61% | 5% |
| CURRENT PLAN STATUS | |||||
| Open | 60% | 33% | 53% | 47% | 13% |
| Frozen | 44% | 33% | 89% | 67% | 0% |
| Closed | 93% | 21% | 64% | 71% | 0% |
| ENDGAME STATUS | |||||
| Keep open/maintain | 67% | 33% | 60% | 53% | 13% |
| Close/freeze/lump sum | 71% | 14% | 64% | 79% | 0% |
| Buy-in/buyout | 78% | 0% | 67% | 67% | 0% |
| Continue to manage | 76% | 29% | 82% | 71% | 0% |
NON-IMPLEMENTORS:
What are the inhibitors to LDI? (% “very important”)
| ALL | >$15B | $5B – $15B | $1B – $5B | $500M – $1B | |
| Funded status | 58% | 64% | 54% | 67% | 33% |
| Interest rate environment | 50% | 45% | 64% | 25% | 67% |
| Board/staff education | 22% | 23% | 23% | 13% | 33% |
| Long-term expected return | 17% | 9% | 29% | 13% | 0% |
| No regulations forcing us | 9% | 0% | 15% | 13% | 0% |
| Short-term market outlook | 6% | 10% | 8% | 0% | 0% |
