Opinion: COVID-19 and your LDI liquidity
Managing your Liability Driven Investments (‘LDI’) in periods of extreme market volatility, such as those witnessed in March, can be very challenging. Liquidity requirements tend to increase at exactly the time when transaction costs are high and market values are (potentially) low. In this paper, we look at the LDI problems that the start of the COVID-19 crisis caused for pension schemes and, given the cloudy outlook for market volatility over the next 12-18 months, considerations to minimise the impact of similar liquidity issues in the future.
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