The trend to customization in Liability Driven Investing
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- Bertha Eaton
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1 The trend to customization in Liability Driven Investing Rachna de Koning, FCIA, FSA, Vice-President and Director, TD Asset Management Michael Augustine, CFA, FCIA, FSA, Vice-President and Director, TD Asset Management 1
2 Canadian LDI landscape is changing 2
3 The coming-of-age of Canadian LDI 3
4 What's causing the trend to customization in LDI? 4
5 Return Driver 1 Challenging investment environment Projection Canadian Bonds Liability Hedging Global Equities Return Seeking Volatility For illustrative purposes only. Small changes can make a relatively meaningful impact 5
6 Driver 2 Increased use of alternatives Canadian institutional investors asset allocation Source: Greenwich Associates, Canadian Institutional Investors 2014 Alternatives have liability hedging properties 6
7 Driver 3 More focus on credit FTSE TMX Canada Universe Bond Index Corp A 4% Corp AA 5% Municipal 1% Corp BBB 1% Corp A 10% Corp BBB 10% Provincial 31% Federal 57% Corp AA 8% Corp AAA 1% Municipal 2% Provincial 32% Federal 37% 1993 Total Corporate: 9.6% 2014 Total Corporate: 29.1% Growth in corporate bond issuance has altered the risk profile of fixed income investment universe Source: TDAM and FTSE TMX Global Debt Capital Markets Inc. "DEX" bond indices have been re-branded to "FTSE TMX Canada". As of March 31, Active LDI decisions around credit allocation and security selection 7
8 Moving from broadly managing interest rate risk Asset Duration Interest Hedge Ratio 40% Universe Bond 2.8 years 20% 40% Long Bond 5.6 years 40% 60% Long Bond 8.5 years 60% 60% 20+ Strip Bond 15.6 years 100% Source: TDAM and FTSE TMX Global Debt Capital Markets Inc. "DEX" bond indices have been re-branded to "FTSE TMX Canada". As of March 31, Traditionally, plans reduce mismatch by extending duration and increasing fixed income exposure 8
9 Cash flows to more tailored liability hedging strategies Source: TDAM and FTSE TMX Global Debt Capital Markets Inc. "DEX" bond indices have been re-branded to "FTSE TMX Canada". As of March 31, Customize degree of coverage based on composition of the bond portfolio 9
10 Customization evolves the conversation How much credit should I have in my portfolio? How do I design a custom liability benchmark? How tightly have I managed my interest rate risk? How do I measure LDI success? Will my assets keep pace with my liabilities? Should my glidepath allow re-risking? 10
11 To some plan sponsors customization means greater recognition of credit Discussion #1 Current situation Plan's interest rate sensitivity is minimized relative to liabilities Concern with asset growth shortfall and volatility relative to liabilities Approach to customization Evaluate liability risk factors Tailor portfolio to better hedge rate and credit risk exposure Measure against custom liability benchmark 11
12 Liability discount rates Credit is now 30% of accounting discount rate Source: Canadian Institute of Actuaries, TDAM Portfolio Analytics. As of February 1 st,
13 Optimizing the portfolio Corporate 26% Provincial 44% Federal 30% Duration Spread Duration x Spread (DTS) Initial Portfolio - Duration Matched Yield (%) % 0.90% 1.70% 1.70% 1.70% Assets Economic Accounting 12 yrs 90 bps yrs - - Liability 2.90% 1.20% 12 yrs 120 bps 1440 Corporate 41% 41% Optimized Portfolio Duration and Credit Matched Federal Federal 16% 16% Provincial 43% Yield (%) Duration Spread Duration x Spread (DTS) 2.90% 2.90% 1.20% 1.20% 1.70% 1.70% 1.70% Assets Economic Accounting 12 yrs 120 bps yrs - - Liability 12 yrs 120 bps 1440 Contribution to DTS by sector 52% 100% 45% 3% Federal Corporate Provincial Total Contribution to DTS by sector 38% 100% 61% 1% Federal Corporate Provincial Total Source: TDAM and FTSE TMX Global Debt Capital Markets Inc. "DEX" bond indices have been re-branded to "FTSE TMX Canada". As of February 27,
14 # monthly observations Historical performance 100 Performance vs. Accounting Liability Benchmark ( ) < 0.5% 0.5-1% 1-2% 2-3% > 3% Monthly tracking of asset portfolio and (accounting) liability returns Return Gap 1 Tracking Error 1 Maximum Funded Ratio Drawdown FTSE TMX Bond Universe Initial portfolio Optimized Portfolio -221 bps 4.4% -16.7% -65 bps 3.8% -15.6% +4 bps 2.4% -6.2% 1 Per annum. Source: TDAM and FTSE TMX Global Debt Capital Markets Inc. "DEX" bond indices have been re-branded to "FTSE TMX Canada". As of February 27,
15 A customized approach moving beyond the basics Less focused on peer group performance Market-based benchmarks don't capture sponsor specific risk appetite More focused on distinct objectives Asset growth Funded status volatility 15
16 To some plan sponsors customization means repositioning using bond overlay Discussion #2 Current situation Fully hedged plan Actively positioning for rising rates Approach to customization Establish duration targets Maintain yield Limit disruption 16
17 $ Key Rate Duration (in billions) One plan Current Portfolio 5 4 Duration: 14 yrs Yield: 2.90% Year Source: TDAM and FTSE TMX Global Debt Capital Markets Inc. "DEX" bond indices have been re-branded to "FTSE TMX Canada". As of March 31,
18 Reposition Portfolio $ Key Rate Duration (In billions) Trades $ Key Rate Duration (In billions) two approaches Physical Approach Buy pooled fund bonds Sell pooled fund bonds 0.8 Repo provincial bonds Reverse repo federal bonds Bond Overlay Approach Duration: 12 yrs Yield: 2.70% Year Duration: 12 yrs Yield: 3.00% Year Source: TDAM and FTSE TMX Global Debt Capital Markets Inc. "DEX" bond indices have been re-branded to "FTSE TMX Canada". As of March 31,
19 A customized approach to being active Less disruptive of existing portfolio More focused on market realities Scarcity of corporate bonds Transaction costs 19
20 To some plan sponsors customization means incorporating alternative duration assets Discussion #3 Current situation Fully hedged plan, seeking to increase income and diversify risk by widening opportunity set Approach to customization Understand liability matching characteristics of alternative duration assets Complete portfolio holistically to preserve plan hedge 20
21 $ Key Rate Duration (in billions) Current liability hedging portfolio 5 4 Duration: 14 yrs Year Source: TDAM and FTSE TMX Global Debt Capital Markets Inc. "DEX" bond indices have been re-branded to "FTSE TMX Canada". As of March 31,
22 $ Key Rate Duration (in billions) $ Key Rate Duration (in billions) Portfolio with alternative assets 5 Portfolio with New Assets 5 Portfolio with Completion Management Duration: 11 yrs Public private partnerships (P3s) & High Yield Duration: 14 yrs Year Year Source: TDAM and FTSE TMX Global Debt Capital Markets Inc. "DEX" bond indices have been re-branded to "FTSE TMX Canada". As of March 31,
23 A customized approach widening the opportunity set Less focused on dollars allocated to 'liability hedging assets' More focused on liability hedging properties High Yield: Credit compensation and term structure P3s: Illiquidity premiums and asset structure 23
24 Customization evolves the conversation How much credit should I have in my portfolio? How do I design a custom liability benchmark? How tightly have I managed my interest rate risk? Will my assets keep pace with my liabilities? Should my glidepath allow re-risking? 24
25 LDI is evolving more rapidly than before LDI customization gives you confidence that funding goals can be achieved with better control of your plan 25
26 Disclaimer The statements contained herein are based on material believed to be reliable. Where such statements are based in whole or in part on information provided by third parties, they are not guaranteed to be accurate or complete. The information does not provide individual financial, legal, tax or investment advice and is for information purposes only. Graphs and charts are used for illustrative purposes only and do not reflect future values or changes. Past performance is not indicative of future returns. TD Asset Management Inc., The Toronto-Dominion Bank and its affiliates and related entities are not liable for any errors or omissions in the information or for any loss or damage suffered. The hypothetical performance information is shown for illustration purposes only and is not based on actual results, which may vary. Hypothetical performance information is subject to inherent risks and limitations.. No representations are being made that any proposal will achieve returns similar to the hypothetical information shown. Investors should not take this example or the data included as an indication, assurance, estimate or forecast of future or actual results. The actual performance returns may differ materially from the information shown for reasons including, but not limited to investment restrictions and guidelines, fees, timing of trade execution, investment/reinvestment of cash flows, treatment of dividends, interest fees charged including performance fees, portfolio rebalancing, borrowing fees on shorts, swap fees, the extent of leverage used, any use of derivatives, and fluctuations in the market. TD Asset Management Inc., The Toronto-Dominion Bank and its affiliates and related entities are not liable for any errors or omissions in the information or for any loss or damage suffered. FTSE TMX Global Debt Capital Markets Inc. ( FTDCM ), FTSE International Limited ( FTSE ), the London Stock Exchange Group companies (the "Exchange") or TSX INC. ( TSX and together with FTDCM, FTSE and the Exchange, the Licensor Parties ). The Licensor Parties make no warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the index/indices ( the Index/Indices ) and/or the figure at which the said Index/Indices stand at any particular time on any particular day or otherwise. The Index/Indices are compiled and calculated by FTDCM and all copyright in the Index/Indices values and constituent lists vests in FTDCM. The Licensor Parties shall not be liable (whether in negligence or otherwise) to any person for any error in the Index/Indices and the Licensor Parties shall not be under any obligation to advise any person of any error therein. TMX is a trade mark of TSX Inc. and is used under licence. FTSE is a trade mark of the London Stock Exchange Group companies and is used by FTDCM under licence. TD Asset Management Inc. is a wholly-owned subsidiary of The Toronto-Dominion Bank. All trademarks are the property of their respective owners. The TD logo and other trade-marks are the property of The Toronto-Dominion Bank. 26
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