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The document discusses various approaches to asset and liability management (ALM), with a focus on liquidity risk management. It proposes using multiple metrics to measure liquidity risk, including the loan-to-deposit ratio, 1-week and 1-month liquidity ratios, a cumulative liquidity model, an intercompany lending report, and a liquidity risk factor. These metrics provide different insights into a bank's self-sufficiency, exposure to roll risk, potential stress points, and daily funding needs from both structural and forward-looking perspectives. The document emphasizes examining liquidity risk at the country, legal entity, and group levels with appropriate limits and assumptions.
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Forum asset liability_management
- 2. Gautam Mitra Forum onAsset Liability Management
- 3. • Background andoverview of Asset and Liability Management • Asset and Liability Management applied to Banks • Asset and Liability Management applied to Insurance Companies • Asset and Liability Management applied to Pension Funds • Asset and Liability Management: Other application areas • Industry insights, technology, products and services • Directory of Asset Liability Management Solution and Service Providers • Bibliography Forum on Asset Liability Management
- 4. Con Keating Forum onAsset Liability Management
- 5. 5 London November 2009 ConKeating Asset and Liability Management Some Issues It is impossible to achieve demonstrably true knowledge about our universe or ourselves. Nor is logic decisive. No kind of reasoning can ever give rise to a new idea. Hume
- 6. Liability Driven Investment ThePPF • The PPF reported investment returns for 2008/9 of 13.4% including swaps versus a target of 6.2% • Ex swaps the return was -3.4% • Long dated gilts moved just 3 basis points in this year • But swaps versus gilts (25 year) compressed by 61 basis points • This is a return equivalent of 14.5% • This is the principal source of the swap performance. • Swaps were trading 45 basis points through gilts • Having been 100 basis points through earlier in the crisis • It is a staggering basis risk for the ALM position. • Why does the PPF own swaps which yield less than gilts?
- 7. Hedging • A UKcorporate borrowed £100 million as a 12 year floating rate note paying 5/8% over interbank offered two years ago. • They swapped this for fixed paying 5.5% • They entered a credit support agreement for the swap, under which cash collateral could be called. • Swap rates declined to 4.00% • They were called for collateral of £12.2 million • This was cash they did not have and were forced to borrow from their bank on adverse terms • The cost of the financing has risen dramatically • The effective term of the financing has shortened • The basis risk is enormous
- 8. The individual • Only20% of personal wealth takes the form of financial assets and property. • 80% is human capital to be consumed and converted to other wealth over the future life time. • Many other institutions share this property of future income • Pension schemes are one example • The status quo is simply an accrued endowment - the present value of future contributions can dominate this entirely.
- 9. A pension scheme •Once future contributions are considered • The optimisation problem is no longer maximisation of current asset values at either short or long horizons • The new contributions can be thought of as consuming investments • And for those we want the price of investments to remain low • The ALM problem is dramatically different • Think about a coupon bond when prices decline and yields rise • The realised total return increases due to the higher reinvestment rates • We no longer want high market (beta) returns since these hurt our new money contributions • But we do want returns which are independent of the market • And that is the case for Alpha
- 10. BrightonRock Policy • Institutionalisesthis insight contractually • It stabilises the current value of the portfolio • By removing short term concerns • Allowing long term investment • And lowering scheme financing costs
- 11. Michael Dempster Forum onAsset Liability Management
- 12. Elena Medova Forum onAsset Liability Management
- 13. Moorad Choudhry Forum onAsset Liability Management
- 14. Bank Liquidity RiskManagement: Reporting and MetricsAsset Liability Management Forum MWB, Canary Wharf 17 November 2009 Professor Moorad Choudhry Europe Arab Bank
- 15. 15 Agenda • A commonapproach • Five liquidity risk metrics • Reporting considerations Email: moorad.choudhry@eabplc.com Please read and note the DISCLAIMER stated at the end of the presentation.
- 16. 16 Introduction • Liquidity managementhas emerged as the dominant element of bank asset-liability management in the post 2007-08 crisis era • Measuring and managing liquidity risk is an art rather than a science and should be undertaken with prudence and a close eye to the particular bank’s own risk-reward profile and operating model
- 17. 17 A common approach… •Management often direct Treasury and money market desk behaviour by assigning simple targets (e.g. the Loan-to-Deposit ratio, or target deposit levels) • Market best practice is for more than the single liquidity metric (LTD), to a broader set of measurements and reports (to complement the LTD). • For instance, the LTD is the best metric to measure the contribution of customer funding. The LTD, however, is not predictive, and is blind to duration, concentration and volatility, three critical aspects of liquidity. Finally, it is not always “aggregatable”. • Liquidity forecasts should be upgraded to incorporate better estimates of deposits/withdrawals on the deposit side, drawings of unused direct commitments on the loan side, and assessment of the quality/liquidity of our near-cash assets. • Post-Lehmans, a bank ALM crisis may arise from a negative gap situation, a withdrawal of customer deposits or loss of interbank liquidity, among other scenarios
- 18. 18 What to LookFor from Liquidity Data Self-sufficiency and supportiveness of a business unit – Its ability to operate without support of other Group businesses – Evidence of focus on both sides of the balance sheet – The level to which it creates or relieves liquidity risk – Measure of value of the business unit to the Group, in non-P&L terms Overall level of exposure to roll risk – Measuring asset liability mismatch – Each liability roll is an opportunity to lose funding Early warning of funding stress points – Analysing the cash effects of liquidity gaps – Examining the near term effects of the asset liability mismatch Specific daily funding needs – For planning & managing daily operational funding requirements – For advanced planning of cash or collateral action
- 19. 19 Metrics: Five LiquidityReports • Loan-to-Deposit Ratio • 1 Week & 1 Month Liquidity Ratios • Cumulative Liquidity Model • Inter-company Lending Report • Liquidity Risk Factor These reports measure and illustrate different elements of liquidity risk: • Reports at country level, legal entity level and Group Level • Risk appetite should be determined by the ALCO or (at Group level) High ALCO • Assumptions will be reviewed by Treasury & Risk Management • Stress testing will be performed by Risk Management
- 20. 20 Loan to Deposit Ratio 1 Week& 1 Month Liquidity Ratios Cumulati ve Liquidity Model Intercom pany Lending Report Liquidity Risk Factor Self- sufficiency of a business unit Supportivene ss of a business unit Overall level of exposure to roll risk Early warning of funding stress points Specific daily Ways to Examine Liquidity Risk
- 21. 21 Characteristics • The relationshipbetween lending and customer deposits • Measure of the self-sustainability of the bank (or each branch / subsidiary) • A very common metric, usually reported monthly Points to note • Differentiate between stand-alone and aggregate-able LTD (depends on transferability and currency) • Branch / sub targets: to improve the LTD when it’s over a certain threshold (e.g. 70%), and to maintain their LTD when it’s under that threshold • Exceptions can be granted to certain countries in local currency (LCY) when they are below the threshold and when the use of their excess liquidity is constrained Loan-to-Deposit Ratio
- 22. 22 1-Week & 1-MonthLiquidity Ratios Characteristics • Shows net cash flows, including the cash effect of liquidating “liquid” securities, as a percentage of liabilities • An effective measure of structural liquidity, with early warning of likely stress points • Produced weekly, one week in arrears • Follows a Regulatory Authority limit structure for 1 Week and 1 Month ratios • It is important to review assumptions including “stickiness” assumptions regularly • Review Limits regularly Country 1-week Gap 1-week Liquidity 1-month Liquidity USD mm This week Limit Excess This week Limit Excess F -1586 -22.83% -30.00% -39.11% -50.00% D 188 15.26% 0.00% 1.62% -5.00% H 786 22.57% 0.00% 19.12% -5.00% G 550 53.27% 25.00% 69.83% 25.00% Regional Total -62 -0.48% -10.64%
- 23. 23 Cumulative Liquidity Model $mmT+1 T+2 1 Week 2 Weeks 1 Month 2 Month 3 Months 6 Months 12 Months a Cumulative Net Cash Balance $2,000 $1,550 $250 -$300 -$2,500 -$3,000 -$5,000 -$6,000 -$8,000 b Other Forecast Inflows $0 $10 $25 $50 $75 $125 $350 $800 $1,000 c Other Forecast Outflows $0 -$10 -$20 -$50 -$100 -$250 -$1,000 -$1,100 -$1,250 a+b+c=d Cumulative Cash Gap $2,000 $1,550 $255 -$300 -$2,525 -$3,125 -$5,650 -$6,300 -$8,250 e Counterbalancing Capacity $500 $1,000 $1,500 $2,000 $3,000 $5,000 $6,000 $7,000 $7,500 d+e=f Liquidity Gap $2,500 $2,550 $1,750 $1,700 $500 $2,000 $1,000 $1,000 -$500 g Limit $2,000 $1,500 $1,000 $1,000 $0 $0 $0 -$1,000 -$3,000 f-g=h Variance $500 $1,050 $750 $700 $500 $2,000 $1,000 $2,000 $2,500 Dummy Data Characteristics • Forward looking model of inflows, outflows and available liquidity • Recognises and predicts liquidity stress points on a cash basis • Prepared daily, at legal entity level, and Group level • Prepared for material original currencies and at consolidated currency level Note • Revised assumptions on deposit stickiness, liquidity of “liquid” securities, and committed facilities will be included here
- 24. 24 Intercompany Lending Report Characteristics •This shows the net intercompany lending position of each branch / sub • Measure of the self- sustainability of each branch / sub • Clearly displays cash contributors and cash users • Major KPI for Treasurers • Produced monthly Group Treasury As at (date) Total Borrowing Total Lending Net Intergroup Lending London subsidiary 1,713,280 883,123 -830,157 Europe branches -- X 3,345,986 978,369 -2,367,617 -- Y 17,026 195,096 178,089 -- Z 453,490 83,420 -370,070 Asia 0 162,000 162,000 NY 690,949 1,516,251 825,302
- 25. 25 Characteristics • Shows theaggregate size of the liquidity gap in each branch / sub • Compares average remaining duration of assets to average tenor of liabilities • For example, – Average asset duration 5.00 years – Average liability tenor 3 months = 0.25 years – 5.00/0.25 = Liquidity Risk Factor of 20 • The higher the LRF, the larger the liquidity gap, and the greater the liquidity risk • Tenor of liabilities will incorporate revised stickiness assumptions • Report weekly and monthly • Observe the trend over time and change to long-run averages Liquidity Risk Factor
- 26. 26 Sharing of Information:effective MI Presentation of Information • All outputs presented with a common look • Reports designed for simplicity, with unnecessary detail removed • Trends and limits incorporated • Information will be shared at operating unit level, headquarters level, and at Group level • Reports will be published initially on a shared online directory, ensuring the latest versions are available in the same place.
- 27. 27 Risk reports 1:the weekly Qualitative • As important: the weekly qualitative report for Group Treasury (who summarises all for High ALCO) • Content: • Explain significant changes in your 1 week and 1 month liquidity ratios • Explain any changes to your cash and liquidity gap in your Cumulative Liquidity model • Explain significant changes to the Liquidity Risk Factor • Explain growth or shrinkage of asset books • Detail any changes to intergroup borrowing/lending position; detail the counterparties for any large-size deals • Any increase/decrease in corporate deposits, detail large dated transactions with an estimated confidence level of roll over • Any increase/decrease in retail deposits • Average daily opening cash position
- 28. 28 Risk reports 2:Monthly Liquidity Snapshot • Simply a MI summary for Group-wide dissemination • Content: – The Cumulative Liquidity Report summary (cash gap and liquidity gap) – 1-week and 1-month Liquidity Ratios performance against limits – Liquidity ratio current to previous month – LTD current to previous month – Net intergroup lending current to previous month
- 29. 29 Four frameworks tomonitor and control current and future liquidity risk... Maturity mismatch Asset / liability liquidity ladder FX mismatch Funding concentration Purpose: To measure the net funding requirement (or surplus) per maturity bucket. This is the main regulatory requirement for liquidity measurement. Measure: Measures the net cash flow for each maturity bucket. Analysis: In the short-term, when commitments (cash outflows) exceed liquid assets (cash inflows) the Money Markets desk need to raise additional funding. In the longer-term, structural imbalances, ALCO will determine the appropriate funding strategy. Maturity Mismatch Ladder Sight 8 Day 1 mont h 3 mo 6 mo 1 year 3 years 5 years 5 years + TOTA L Inflows 805 383 273 268 143 129 276 657 742 3,675 Outflo ws 980 813 838 1,563 277 52 11 0 0 4,533 Mismat ch (175) (430) (570) (1,295 ) (134) 77 265 657 742 (858) Purpose: To measure the gap between funding and lending in each currency. Measure: Funding minus lending, per currency. Analysis: By measuring FX mismatch, the bank gains an understanding of its exposure to the risk that FX swap markets become illiquid which could force a large open FX position or make it difficult to meet commitments in a particular currency. Purpose: To measure the asset liquidity and likely stickiness of liabilities. Measure: Each asset/liability type (per COA) is rated based on size of holding, contractual maturity, behavioural stickiness, yield, cost to liquidate. Analysis: A detailed understanding of the attributes and behaviour of the bank’s balance sheet allows ALCO to make better informed strategic choices. Purpose: To measure the relative concentration of each funding source. Measure: % concentration of each funding source per maturity bucket. Analysis: Analysing funding concentration risk allows the bank to develop effective diversification strategies. USD USDEUREUR GBP GBP FX mismatch - = Curre ncy Mism atch USD 956 EUR (150) GBP (450) Asset Liability Liquid Illiquid C ash G ilts FIFR N s C D s EC BEligibleABS O therABS C orp Loans LG s Property Bankdeposits C ustom er deposits (10% ) Institutional deposits C ustom er deposits(90% ) Short-term Long-term Custome r deposits Inter- bank deposits Group deposits Group deposits Group deposits Inter- bank deposits Inter- bank deposits Custome r deposits Custome r deposits Funding Lending Sight – 8 days 1 month 1 year ILLUSTRATIVE ILLUSTRATIVE ILLUSTRATIVE
- 30. 30 Regulatory and Managementreporting is key to successful liquidity management Liquidity Reporting Branch liquidity Regulatory Category Measure s Report Audience / Frequency • Consolidated basis - FSA Form LR is the key daily report this is based around the maturity mismatch framework. • Daily Liquidity Report Management Reporting Leading and lagging risk indicators to provide a 360° view of the bank’s liquidity. Prepared by: Finance Regulatory Reporting Team Maturity transformation • Average asset tenor < 24x average liability tenor Funding source concentration limits • No individual counterparty > 5% of funding • No source > 25% (except customer deposits) • Customer deposits > 33% of funding FX mismatch limit • No mismatch > 25% of currency volume (G7) • No mismatch > €10mn for non-G7 currencies Minimum cash buffer • Cash buffer > 2% of liabilities at all times Maturity mismatch • Sight – 8 days > 0.00% • Sight – 1 month > -5.00% Prepared by: Finance Regulatory Reporting Team Prepared by: Finance Management Information Team • DLR = Daily to management • Form LR = Monthly to FSA • Consolidated basis - FSA Form LR is the key daily report this is based around the maturity mismatch framework. • Daily Liquidity Report Five Liquidity Metrics • Monthly to management• Copy of monthly reports send to each host regulator (tbc) • Daily to Finance + Treasury • Monthly to management • Maturity mismatch framework • FX mismatch • Asset / Liability liquidity ladder • Funding concentration
- 31. 31 Bibliography • Choudhry, M.,et al, Capital Market Instruments: Analysis and Valuation, 3rd edition, Basingstoke: Palgrave MacMillan • Choudhry, M., Bank Asset and Liability Management, Singapore: John Wiley & Sons 2007 • Choudhry, M., The Money Markets Handbook, Singapore: John Wiley & Sons 2004
- 32. 32 DISCLAIMER The material inthis presentation is based on information that we consider reliable, but we do not warrant that it is accurate or complete, and it should not be relied on as such. Opinions expressed are current opinions only. We are not soliciting any action based upon this material. Neither the author, his employers, any operating arm of his employers nor any affiliated body can be held liable or responsible for any outcomes resulting from actions arising as a result of delivering this presentation. This presentation does not constitute investment advice nor should it be considered as such. The views expressed in this presentation represent those of Moorad Choudhry in his individual private capacity and should not be taken to be the views of Europe Arab Bank or Arab Bank Group, any affiliated body, including London Metropolitan University and YieldCurve.com, or of Moorad Choudhry as an employee of Europe Arab Bank or representative of affiliated body. Either he or his employers may or may not hold, or have recently held, a position in any security identified in this document. This presentation is © Moorad Choudhry 2009. No part of this presentation may be copied, reproduced, distributed or stored in any form including electronically without express written permission in advance from the author.
- 33. Stuart Jarvis Forum onAsset Liability Management
- 34. Asset Liability Management Forumevent ALM for pension plans Stuart Jarvis Director of research, Client Solutions 17 November 2009 Private and confidential. Not for public distribution. Professional investors only. 34
- 35. Private and confidential.Not for public distribution. Professional investors only. Summary • Funding challenges for UK pension plans • Constructing asset liability solutions for pension plans • Asset liability management in practice 35
- 36. Private and confidential.Not for public distribution. Professional investors only. 36 Funding challenge PPF 7800 Index -300 -250 -200 -150 -100 -50 0 50 100 150 Mar-03 Jul-03 Nov-03 Mar-04 Jul-04 Nov-04 Mar-05 Jul-05 Nov-05 Mar-06 Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Surplus/Deficit(£bn) Source: Pension Protection Fund • Since a peak in mid 2007, funding positions have worsened considerably • UK plans have historically taken a lot of risk • Now widely accepted that strategies need to be more liability-led and dynamic
- 37. Private and confidential.Not for public distribution. Professional investors only. Evolution of investment strategy 37 Equity β and constrained α Typical current investment policy Bonds Diversified β and α Possible intermediate solution ‘Ideal’ future investment policy Bond α Liability hedge Diversified β Liability hedge Diversified α 820239 Simple Unrewarded risks unhedged Constraints inhibit performance Hedge unrewarded risks Diversified beta Diversified alpha Hedge unrewarded risks Diversify risk budget Constrained ability to grasp opportunities Static perspective: spend risk budget as efficiently as possible
- 38. Private and confidential.Not for public distribution. Professional investors only. Eyes on the prize 38 Dynamic perspective: risk is being taken in order to bring assets into balance with liabilities 70% 80% 90% 100% 110% Start Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Realised performance 60% 3% p.a. 2% p.a. If realised returns above target, can afford to target lower return (And if returns below target, may need to target higher return) New target path Initial target path
- 39. Private and confidential.Not for public distribution. Professional investors only. Dynamic portfolio allocation process 39 Return Risk Private Equity Equity High Yield Bonds Emerging Market Debt Property Infrastructure Commodities Emerging Market Equity Gilts & Swaps Corporate Bonds Dynamic rather than static portfolio As the return target changes, so must the portfolio allocation
- 40. Private and confidential.Not for public distribution. Professional investors only. Cumulative impact of dynamic asset allocation policy 40 Distribution of outcomes no longer so wide; significant downside benefit 60 80 100 120 140 160 60 80 100 120 140 160 Funding level with static allocation weights Fundinglevelwithdynamicweights 60% 70% 80% 90% 100% 110% 120% 130% 140% Funding level Frequency Fixed weight Dynamic weights
- 41. Private and confidential.Not for public distribution. Professional investors only. 41 Practical considerations
- 42. Private and confidential.Not for public distribution. Professional investors only. Adding a floor 42 Minimum as well as target funding level Strategy outcomes 50% 60% 70% 80% 90% 100% 110% 120% Cumulative growth asset return Fundinglevel Target Funding target Static weights Funding target + floor
- 43. Private and confidential.Not for public distribution. Professional investors only. Contributions 43 This is not just an investment problem Contributions Sponsor covenant Investment policy
- 44. Private and confidential.Not for public distribution. Professional investors only. Putting it all together • Overall framework is best set in advance • Clear goal • Create framework for appropriate real-time engagement • Delegation • Market opportunities • Beyond capital allocation • Some assets easier to move than others -> use derivatives • Monitoring and reporting framework crucial • Aggregation 44 Monitoring and action
- 45. Private and confidential.Not for public distribution. Professional investors only. Conclusions • Pension plans changing their focus from static weights to fixed target • Dynamic strategies to support this are intuitive • Complex dynamics 45
- 46. Marcus Hurd Forum onAsset Liability Management
- 47. Slide 47 Pensions –Asset Liability Modelling Traditional deterministic Simple Stochastic
- 48. Slide 48 Pensions –Asset Liability Modelling Investment optimisation Contribution optimisation
- 50. Asset and LiabilityManagement: HandbookAsset and Liability Management: Handbook Contributors:Contributors: • Dr. Moorad Choudhry, Europe Arab Bank • Prof. Michael Dempster, Judge Business School, Cambridge University • Dan diBartolomeo, Northfield Information Services • Con Keating, Head of Research, BrightonRock Group • Prof. Lionel Martellini et al., EDHEC Business School • Dr. Elena Medova, Judge Business School, Cambridge University • Prof. Gautam Mitra, CARISMA, Brunel University and OptiRisk Systems • Dr. H Sadhak, CEO Life Insurance Corporation, India • Dr. Katharina Schwaiger, CARISMA, Brunel University and OptiRisk Systems • Prof. Frank Sortino, Emeritus Professor in Finance, San Francisco State University and Director of the Pension Research Institute
- 51. • Sponsorship Opportunity • Contactus: info@optirisk-systems.com Asset and Liability Management: HandbookAsset and Liability Management: Handbook
Editor's Notes
- #37 Since a peak in mid 2007, funding positions have worsened considerably More closures to new members and new accrual in 2009 UK plans have historically: Run enormous amount of risk (esprelatively unrewarded risks) Suffered significant A/L volatility Smoothed these effects Now widely accepted that: Investment strategy should bealigned with liabilities Risk exposures should be managed (often) Contributions need to rise i.e. significant ALM demand Barclays, IBM, Trinity Mirror, Tate & Lyle; RBS limits rises in pensionable pay
- #38 Simple Bonds not good liability hedge Unrewarded risks unhedged Long only constraint lowers performance Beta risks are undiversified Only small change in approach Unrewarded risks hedged Diversified beta Combined alpha and beta can limit application of skill and sources of beta Long-only constraint still present in many mandates Unrewarded risks hedged Diversified beta Removal of long-only constraint Large change from current approach
- #39 Change in focus from risk or return target to funding goal Typical output from ALM process is a strategic asset allocation Risk budget or return target, plus allocation supporting these Focus between ALM studies is then on retaining this allocation Target portfolio (or return, or risk budget) is relatively unchanged over time Relatively easy to monitor capital allocation percentages relative to this policy Journey management: focus instead on the funding target Return target is designed to bring assets into balance with liabilities Assets and liabilities are volatile - return target should evolve accordingly Eg take risk off the table if there is a significant improvement in the funding level Simplest version: frequent monitoring of funding level + rebalancing to new goal
- #41 Lower likelihood of falling short of target Forego possibility of large surplus In practice weights unlikely to remain static if significant surplus emerges With static weights, outcome in line with cumulative return from growth portfolio Dynamic weights lead to an option-like outcome: sell unwanted upside
- #43 As well as a funding target, may have a minimum funding level floor The theoretical ‘delta hedging’ strategy that supports this can be readily derived Supposes continuous trading – though daily or monthly capture majority of benefit ‘Gap risk’ (risk of large move) remains Alternatively buy options The option counterparty does the dynamic hedging instead of the plan doing it Removes gap risk Premium v cost/risk of dynamic rebalancing
- #44 Sponsor covenant important determinant of risk appetite and contributions and these are interlinked More investment risk means risk of higher contributions Higher contributions enables less investment risk to be taken Plausible to have joint objective of minimising contribution volatility and plan deficit Dynamic strategies focused on deficit clearance are also effective at reducing expected contributions and contribution volatility Asymmetric strategies more acceptable? Reduce risk if funding level improves Retain risk if funding level worsens – and increase contributions at next review These also work well in simulated environment
- #45 Strategic direction can be set in advance Set out the goal rather than the current allocation Takes some of the emotion out of de-risking strategy Can delegate rebalancing to a subcommittee or third party; speedier execution Moves will be more significant but less frequent Tactical moves require real-time engagement Opportunities more difficult to predict – require care and attention Potentially much more frequent Aim to add value at the margin – get it right 51% of the time Process to change the return target (or risk budget) if the funding level improves May be difficult or undesirable to move manager mandates Some funds (eg index funds) may be easy to rebalance Use derivatives (eg total return swaps) to change risk exposures Then rebalance physical / synthetic split at more leisure Reporting and monitoring crucial Need to be able to monitor funding level Need to be aggregate instruments held to produce overall exposures
- #48 This is based on the current investment strategy and the current contribution strategy (i.e. 19.5%)
- #49 This is based on the current investment strategy and the current contribution strategy (i.e. 19.5%)