LDI nine years on - Roll Down & Carry Exercise

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Roll Down & Carry Exercise presented at Institute and Faculty of Actuaries on 7 June 2013.

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LDI nine years on - Roll Down & Carry Exercise

  1. 1. LDI nine years onRobert Gardner, RedingtonSimon Wilkinson, Legal & General Investment Management7 June 2013
  2. 2. Roll-Down and Carry Exercise11 June 2013
  3. 3. Yields End 2002 to End 2005Source: Barclays Live30/12/2002 30/06/2003 30/12/2003 30/06/2004 30/12/2004 30/06/2005 30/12/2005Bondyield(%)
  4. 4. 30/12/200230/06/200330/12/200330/06/200430/12/200430/06/200530/12/200530/06/200630/12/200630/06/200730/12/200730/06/200830/12/2008Bondyield(%)Yields End 2002 to End 2008Source: Barclays Live
  5. 5. 30/12/200230/09/200330/06/200430/03/200530/12/200530/09/200630/06/200730/03/200830/12/200830/09/200930/06/201030/03/201130/12/2011Bondyield(%)Yields End 2002 to End 2011Source: Barclays Live
  6. 6. 30/12/200230/10/200330/08/200430/06/200530/04/200628/02/200730/12/200730/10/200830/08/200930/06/201030/04/201129/02/201230/12/2012Bondyield(%)Yields End 2002 to presentSource: Barclays Live
  7. 7. 10 Year JGB Yield0.400.600.801.001.201.401.601.802.0030/12/200230/06/200330/12/200330/06/200430/12/200430/06/200530/12/200530/06/200630/12/200630/06/200730/12/200730/06/200830/12/2008Bondyield(%)10Y JGBSource: Barclays Live, BloombergYield to Maturity 1.47%Total Return on 10 Year Bond 8.13%Total Return Per Annum 2.64%Over Yen 6m Libor per annum + 203 bpsRolldown Over 3 years 1.84%Rolldown Per Annum 0.61%Carry Over 3 years 1.76%Carry Per Annum 0.58%10y JGB purchased on 30/12/05 and held for 3yrs
  8. 8. 10 Year JGB Yield0.400.600.801.001.201.401.601.802.0030/12/200230/09/200330/06/200430/03/200530/12/200530/09/200630/06/200730/03/200830/12/200830/09/200930/06/201030/03/201130/12/2011Bondyield(%)10Y JGBSource: Barclays Live, BloombergYield to Maturity 1.18%Total Return on 10 Year Bond 7.33%Total Return Per Annum 2.39%Over Yen 6m Libor per annum + 180 bpsRolldown Over 3 years 3.12%Rolldown Per Annum 1.03%Carry Over 3 years 1.73%Carry Per Annum 0.57%10y JGB purchased on 30/12/08 and held for 3yrs
  9. 9. 10 Year JGB Yield0.400.600.801.001.201.401.601.802.0030/12/200230/10/200330/08/200430/06/200530/04/200628/02/200730/12/200730/10/200830/08/200930/06/201030/04/201129/02/201230/12/2012Bondyield(%)10Y JGBSource: Barclays Live, BloombergYield to Maturity 0.98%Total Return on 10 Year Bond 3.37%Total Return Per Annum 2.52%Over Yen 6m Libor per annum + 217 bpsRolldown since 30/12/2011 1.13%Rolldown Per Annum 0.85%Carry since 30/12/2011 0.38%Carry Per Annum 0.29%10y JGB purchased on 30/12/11 and held to present
  10. 10. 10Y JGBYield vs Total return on a 10 year generic bond since 20020.000.501.001.502.002.5030/12/200230/06/200330/12/200330/06/200430/12/200430/06/200530/12/200530/06/200630/12/200630/06/200730/12/200730/06/200830/12/200830/06/200930/12/200930/06/201030/12/201030/06/201130/12/201130/06/201230/12/2012Bondyield(%)8008509009501,0001,0501,1001,1501,200TotalreturnindexSource: Barclays Live, BloombergTotal Return on 10 Year Bond 19.97%Total Return Per Annum 2.51%Over Yen 6m Libor per annum + 190 bpsRolldown since 30/12/2005 6.21%Rolldown Per Annum 0.82%Carry since 30/12/2005 3.91%Carry Per Annum 2.92%Total Compounded Return since December 2005

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