{"id":6709,"date":"2022-10-14T08:29:04","date_gmt":"2022-10-14T08:29:04","guid":{"rendered":"https:\/\/davelevy.info\/wiki\/?p=6709"},"modified":"2024-08-15T09:01:29","modified_gmt":"2024-08-15T09:01:29","slug":"liability-driven-investments","status":"publish","type":"post","link":"https:\/\/davelevy.info\/wiki\/liability-driven-investments\/","title":{"rendered":"Liability Driven Investments"},"content":{"rendered":"

Why do the pension funds have to post collateral on their LDI portfolios?<\/p>\n

<\/p>\n

    \n
  1. Liability driven investments<\/a> by Investopedia<\/li>\n
  2. Leverage in LDI, a wonderful-servant, a-terrible-master<\/a> by NN Investment Partners<\/li>\n
  3. Collateral Fundamentals<\/a> by icmagroup, dated 7 11 2012, a ,pdf<\/li>\n<\/ol>\n

    From Collateral Fundamentals, “OTC derivatives trades start from a position of zero value, but over time mark-to-market value will accumulate to one of the parties. Collateral is used to mitigate that party\u2019s risk (i.e. counterparty credit exposure).” and …<\/p>\n

    \"\"<\/a><\/p>\n

    \u2022 Mark-to-markets is actioned periodically (preferably daily)
    \n\u2022 As profits and losses on the derivative contract change, the collateral must be increased\/decreased accordingly
    \n\u2022 Whilst two way credit support is preferable there are agreements where collateral is only required on a one way basis (eg if B owes A and not vice versa) Collateral: OTC derivatives<\/p>\n

    Common OTC derivatives are: Interest Rate Swaps (IRSs), Forward Rate Agreements (FRAs), equity
    \nderivatives and bond derivatives. For more see,     Derivatives<\/a> at Finance Strategists<\/a>, a non-profit educational organisation.<\/p>\n","protected":false},"excerpt":{"rendered":"

    Why do the pension funds have to post collateral on their LDI portfolios?<\/p>\n","protected":false},"author":1,"featured_media":6711,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jetpack_memberships_contains_paid_content":false,"footnotes":"","_share_on_mastodon":"0"},"categories":[137],"tags":[1830,1829,138],"class_list":["post-6709","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-economics","tag-collateral","tag-derivatives","tag-economics-2"],"share_on_mastodon":{"url":"","error":""},"jetpack_featured_media_url":"https:\/\/davelevy.info\/wiki\/wp-content\/uploads\/2022\/10\/canarywharf-reuterssq-unsplash-cropped-w1024.png","jetpack_sharing_enabled":true,"_links":{"self":[{"href":"https:\/\/davelevy.info\/wiki\/wp-json\/wp\/v2\/posts\/6709","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/davelevy.info\/wiki\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/davelevy.info\/wiki\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/davelevy.info\/wiki\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/davelevy.info\/wiki\/wp-json\/wp\/v2\/comments?post=6709"}],"version-history":[{"count":3,"href":"https:\/\/davelevy.info\/wiki\/wp-json\/wp\/v2\/posts\/6709\/revisions"}],"predecessor-version":[{"id":11284,"href":"https:\/\/davelevy.info\/wiki\/wp-json\/wp\/v2\/posts\/6709\/revisions\/11284"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/davelevy.info\/wiki\/wp-json\/wp\/v2\/media\/6711"}],"wp:attachment":[{"href":"https:\/\/davelevy.info\/wiki\/wp-json\/wp\/v2\/media?parent=6709"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/davelevy.info\/wiki\/wp-json\/wp\/v2\/categories?post=6709"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/davelevy.info\/wiki\/wp-json\/wp\/v2\/tags?post=6709"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}