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% |
![Percent-of-portfolio](https://si-interactive.s3.amazonaws.com/dev/ai-cio-com/wp-content/uploads/2017/04/11142341/CIOLDI15-Web_LDI_Survey_Precent-of-Portfolio.jpg)
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% |
![Allocation-within-LDI](https://si-interactive.s3.amazonaws.com/dev/ai-cio-com/wp-content/uploads/2017/04/11142338/CIOLDI15-Web_LDI_Survey_Allocation-within-LDI.jpg)
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 |
![Allocation-within-LDI](https://si-interactive.s3.amazonaws.com/dev/ai-cio-com/wp-content/uploads/2017/04/11142336/CIOLDI15-Web_LDI_Survey_Number-of-LDI-Providers-Used.jpg)
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% |
![Allocation-within-LDI](https://si-interactive.s3.amazonaws.com/dev/ai-cio-com/wp-content/uploads/2017/04/11142335/CIOLDI15-Web_LDI_Survey_Glide-Path-in-Place.jpg)
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% |
![Allocation-within-LDI](https://si-interactive.s3.amazonaws.com/dev/ai-cio-com/wp-content/uploads/2017/04/11142332/CIOLDI15-Web_LDI_Survey_Glide-Path-Triggers.jpg)
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% |
![Allocation-within-LDI](https://si-interactive.s3.amazonaws.com/dev/ai-cio-com/wp-content/uploads/2017/04/11142331/CIOLDI15-Web_LDI_Survey_Glide-Path-Triggers-Based-On.jpg)
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% |
![Allocation-within-LDI](https://si-interactive.s3.amazonaws.com/dev/ai-cio-com/wp-content/uploads/2017/04/11142330/CIOLDI15-Web_LDI_Survey_Willingness-to-Re-Risk.jpg)
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% |
![Allocation-within-LDI](https://si-interactive.s3.amazonaws.com/dev/ai-cio-com/wp-content/uploads/2017/04/11142328/CIOLDI15-Web_LDI_Survey_Reasons-to-Re-Risk.jpg)
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% |
![Allocation-within-LDI](https://si-interactive.s3.amazonaws.com/dev/ai-cio-com/wp-content/uploads/2017/04/11142326/CIOLDI15-Web_LDI_Survey_Non-Implementors.jpg)