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2017 Liability-Driven Investment Survey

Art by Victo Ngai

Industry Trends

Demographics: Size of Plan

  >$15B $5B – $15B $1B – $5B $500M – $1B <$500M
ALL 2017 RESPONDENTS 25% 27% 33% 7% 8%
CURRENT PLAN STATUS          
Open 28% 30% 28% 17% 36%
Frozen 38% 19% 52% 42% 43%
Closed 34% 51% 20% 42% 21%
ENDGAME STATUS          
Keep open/maintain 27% 25% 24% 15% 27%
Close/freeze/lump sum 62% 68% 60% 69% 13%
Buy-in/buyout 13% 40% 48% 46% 13%
Continue to manage 69% 58% 68% 62% 40%












Current Plan Status

  OPEN TO NEW



ENTRANTS AND



ACCRUALS		 FROZEN CLOSED TO



NEW ENTRANTS,



STILL ACCRUING
ALL 2017 RESPONDENTS 28% 38% 34%
>$15B 28% 38% 34%
$5B – $15B 30% 19% 51%
$1B – $5B 28% 52% 20%
$500M – $1B 17% 42% 42%
<$500M 36% 43% 21%






current-plan-status




Your plan’s endgame…

  ALL 2017 >$15B $5B – $15B $1B – $5B $500M – $1B <$500M
Keep open/maintain 25% 27% 25% 24% 15% 27%
Close for new entrants 9% 11% 8% 10% 8% 0%
Freeze 17% 20% 25% 6% 31% 7%
Offer lump sums 35% 31% 36% 44% 31% 7%
Buyout 32% 9% 38% 44% 46% 13%
Buy-in 3% 4% 2% 5% 0% 0%
Manage/de-risk* 64% 69% 58% 68% 62% 40%
Other 8% 7% 6% 10% 0% 13%






current-plan-status




… and its target funded ratio on a GAAP basis.

  >110% 105%–110% 100%–105% <100%
ALL 2017 RESPONDENTS 32% 34% 28% 6%
CURRENT PLAN STATUS        
Open 29% 22% 36% 13%
Frozen 29% 41% 26% 4%
Closed 39% 33% 26% 2%
ENDGAME STATUS        
Keep open/maintain 30% 21% 35% 14%
Close/freeze/lump sum 28% 41% 28% 3%
Buy-in/buyout 38% 46% 14% 2%
Continue to manage 34% 33% 30% 3%

















Average Current Funded Ratio

  PPA/MAP-21 BASIS PPA/24-MONTH AVG. SEGMENT RATES BASIS GAAP/PBO BASIS
ALL 2017 RESPONDENTS 106% 96% 91%
CURRENT PLAN STATUS      
Open 108% 91% 88%
Frozen 97% 90% 91%
Closed 114% 105% 94%
ENDGAME STATUS      
Keep open/maintain 106% 90% 89%
Close/freeze/lump sum 109% 104% 93%
Buy-in/buyout 107% 95% 92%
Continue to manage 108% 96% 92%






Average Current Funded Ratio




Asset Allocation

  DOMESTIC EQUITY INT’L EQUITY ALTER– NATIVES FIXED INCOME CASH
ALL 2017 RESPONDENTS 21% 16% 12% 50% 1%
CURRENT PLAN STATUS          
Open 26% 21% 12% 39% 2%
Frozen 16% 13% 11% 59% 1%
Closed 24% 15% 13% 47% 1%
ENDGAME STATUS          
Keep open/maintain 23% 21% 13% 42% 2%
Close/freeze/lump sum 23% 16% 14% 45% 2%
Buy-in/buyout 18% 14% 9% 59% 1%
Continue to manage 20% 15% 12% 52% 1%

















Average Fixed-Income/Liability Duration (in Years)

  FIXED-INCOME DURATION LIABILITY DURATION
ALL 2017 RESPONDENTS 13.4 12.7
CURRENT PLAN STATUS    
Open 12.9 12.8
Frozen 13.7 12.4
Closed 13.5 13.0
ENDGAME STATUS    
Keep open/maintain 13.4 13.5
Close/freeze/lump sum 13.2 12.9
Buy-in/buyout 14.0 12.5
Continue to manage 13.7 12.8

















Fixed-Income Portfolio Composition

  SHORT DURATION CORE CORE PLUS HIGH YIELD GLOBAL LONG DURATION ABSOLUTE RETURN OTHER
ALL 2017 RESPONDENTS 1% 9% 4% 3% 2% 71% 1% 7%
CURRENT PLAN STATUS                
Open 2% 12% 5% 3% 1% 72% 2% 3%
Frozen 1% 9% 3% 4% 1% 70% 1% 10%
Closed 1% 7% 4% 3% 2% 73% 1% 7%
ENDGAME STATUS                
Keep open/maintain 1% 9% 5% 2% 1% 76% 2% 4%
Close/freeze/lump sum 1% 7% 4% 4% 3% 70% 3% 8%
Buy-in/buyout 1% 9% 3% 2% 3% 73% 1% 8%
Continue to manage 1% 8% 3% 4% 1% 73% 2% 8%

















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 2017 RESPONDENTS 21% 35% 19% 25% 8% 17%
CURRENT PLAN STATUS            
Open 10% 37% 17% 37% 10% 27%
Frozen 27% 33% 16% 24% 9% 15%
Closed 18% 38% 25% 20% 5% 15%
ENDGAME STATUS            
Keep open/maintain 7% 43% 14% 36% 11% 25%
Close/freeze/lump sum 21% 45% 24% 10% 3% 7%
Buy-in/buyout 32% 38% 14% 16% 8% 8%
Continue to manage 24% 34% 18% 24% 10% 14%

















Percentage of Portfolio in LDI

  AVERAGE



IN LDI		 MEDIAN



IN LDI		 AVERAGE



HEDGE RATIO		 MEDIAN



HEDGE RATIO
ALL 2017 RESPONDENTS 52% 46% 56% 55%
CURRENT PLAN STATUS        
Open 41% 39% 48% 50%
Frozen 56% 50% 62% 60%
Closed 52% 44% 55% 50%
ENDGAME STATUS        
Keep open/maintain 44% 40% 50% 50%
Close/freeze/lump sum 46% 42% 53% 50%
Buy-in/buyout 57% 53% 63% 62%
Continue to manage 53% 49% 59% 58%

















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 2017 RESPONDENTS 18% 55% 31% 3% 29%
CURRENT PLAN STATUS          
Open 12% 54% 36% 0% 36%
Frozen 23% 56% 27% 1% 26%
Closed 16% 55% 35% 7% 28%
ENDGAME STATUS          
Keep open/maintain 16% 53% 34% 0% 34%
Close/freeze/lump sum 21% 58% 29% 8% 21%
Buy-in/buyout 27% 56% 26% 7% 20%
Continue to manage 21% 51% 35% 3% 31%

















Plan Payment Profile (as a Percentage of Liabilities)

  0-5 YEARS 5-20 YEARS 20+ YEARS
ALL 2017 RESPONDENTS 24% 48% 29%
CURRENT PLAN STATUS      
Open 23% 43% 33%
Frozen 27% 49% 24%
Closed 20% 50% 30%
ENDGAME STATUS      
Keep open/maintain 22% 44% 34%
Close/freeze/lump sum 20% 52% 28%
Buy-in/buyout 25% 50% 25%
Continue to manage 22% 50% 28%

















Willingness to Re-Risk

  YES NO, BUT HAVE

BOARD APPROVAL

TO ACT TACTICALLY		 NO
ALL 2017 RESPONDENTS 47% 9% 44%
CURRENT PLAN STATUS      
Open 52% 7% 41%
Frozen 39% 16% 45%
Closed 53% 3% 45%
ENDGAME STATUS      
Keep open/maintain 44% 7% 48%
Close/freeze/lump sum 48% 10% 41%
Buy-in/buyout 43% 6% 51%
Continue to manage 46% 8% 46%

















Reasons to Re-Risk

  MARKET

OUTLOOK		 REGULATORY

CHANGE		 FUNDED

STATUS

CHANGES		 INTEREST

RATE

CHANGES		 OTHER
ALL 2017 RESPONDENTS 37% 29% 82% 43% 9%
CURRENT PLAN STATUS          
Open 35% 25% 70% 45% 5%
Frozen 39% 39% 76% 52% 12%
Closed 30% 17% 96% 30% 9%
ENDGAME STATUS          
Keep open/maintain 41% 18% 76% 53% 6%
Close/freeze/lump sum 45% 25% 80% 40% 10%
Buy-in/buyout 29% 29% 90% 39% 13%
Continue to manage 31% 24% 82% 41% 14%









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