401k US DC retirement
Pension TypeMulti
US 401(k) DC retirement plan
Source: encyclopedia
403b non-profit US
Pension TypeMulti
403(b) non-profit/education DC plan
Source: encyclopedia
ASC 715 discount rate liabilities
LDIMatch
Use AA corporate zero curve for liability discounting
Source: Ryan ALM
Active-life vs retired-life sleeves
Risk MgmtMulti
Bifurcate strategy by active vs retired members
Source: encyclopedia
Aggregate bond index tracker
LDIMatch
Track Bloomberg Aggregate as cheap proxy LDI
Source: encyclopedia
Asset-only vs surplus optim
FundingMulti
Surplus opt = asset-liab spread maximization
Source: encyclopedia
Banking book ALM
Bank ALMMatch
Match deposit (short) to loan (long) duration
Source: encyclopedia
Buffered annuity RILA
AnnuitiesLong capped
RILA: buffer absorbs first X% of loss
Source: encyclopedia
Buy-in pension insurer
InsuranceMulti
Insurer takes pension book onto its balance sheet
Source: encyclopedia
Buy-out pension insurer
InsuranceMulti
Full pension transfer to insurer (PRT)
Source: encyclopedia
Cap/floor strategy NII protection
Bank ALMMatch
Buy caps or floors to bound NII volatility
Source: encyclopedia
Cash balance hybrid
Pension TypeMulti
Cash-balance hybrid DB plan
Source: encyclopedia
Cash flow matching dedicated portfolio
LDIMatch
Construct bond portfolio whose CFs match liability CFs precisely
Source: DayTrading
Catastrophe bond cat-bond
InsuranceMulti
Tradable cat-risk transfer instrument
Source: encyclopedia
Climate scenario ALM
Risk MgmtMulti
Climate scenario stress for long-horizon liabilities
Source: encyclopedia
Completion portfolio overlay
LDIMatch
Fill duration gap left by core mandates
Source: encyclopedia
Convexity exposure target
Risk MgmtMulti
Manage convexity gap separately
Source: encyclopedia
Corporate bond defeasement
LDIMatch
Use IG corp bonds for ~25% cost savings vs Treasury STRIPS
Source: Ryan ALM
Curve risk PV01 by bucket
Risk MgmtMulti
Decompose risk by KRD buckets
Source: encyclopedia
Custom Liability Index CLI
LDIMatch
Ryan ALM CLI - custom liability benchmark for tracking
Source: Ryan ALM
DB defined benefit pension
Pension TypeMulti
Pension promises specified benefit at retirement
Source: encyclopedia
DC defined contribution
Pension TypeMulti
Pension contributes specified amount no benefit guarantee
Source: encyclopedia
DEBUNKED LDI without leverage limits
DiscontinuedMulti
UK LDI 2022 crisis from leveraged gilt-buying
Source: encyclopedia
DEBUNKED unrebalanced 60/40
DiscontinuedMulti
2022 60/40 stock+bond crash showed correlation breaks
Source: encyclopedia
Deferred Income Annuity DIA
AnnuitiesIncome
DIA defers income start to later age
Source: encyclopedia
Deposit beta modeling
Bank ALMMatch
Model deposit-rate sensitivity to Fed funds
Source: encyclopedia
Discount rate sensitivity hedging
LDIMatch
Hedge accounting discount-rate sensitivity
Source: encyclopedia
Discount rate volatility hedge
Risk MgmtMatch
Hedge accounting-disc-rate volatility
Source: encyclopedia
Dollar duration matching DDM
LDIMatch
Match $-value changes vs % - more precise for pension expense
Source: Ryan ALM
Duration matching immunization
LDIMatch
Match asset duration to liability duration
Source: CFA Institute
Duration-convexity matching
LDIMatch
Match both duration AND convexity for second-order shifts
Source: Fabozzi
Dutch DC vs DB pension reform
LDIMulti
Dutch shift from DB to DC - LDI implications
Source: encyclopedia
Economic value of equity EVE
Bank ALMMatch
Hedge EVE risk from rate shifts
Source: encyclopedia
Embedded value EV hedging
InsuranceMatch
Hedge EV from rate/equity moves
Source: encyclopedia
FTP Funds Transfer Pricing
Bank ALMMatch
Internal pricing aligns business unit incentives
Source: encyclopedia
Fixed-indexed annuity FIA
AnnuitiesLong capped
FIA: floor + capped index-linked return
Source: encyclopedia
Fixed-indexed annuity FIA hedging
InsuranceMulti
FIA writer buys index call spreads
Source: encyclopedia
Funded status assets/liabilities
FundingMulti
Track funded ratio = assets / liabilities
Source: encyclopedia
Funding ratio scenario stress
Risk MgmtMulti
Stress test funded ratio under rate/equity scenarios
Source: encyclopedia
Glide path de-risking
LDIMulti
Shift to LDI as funded ratio improves
Source: encyclopedia
HTM vs AFS classification
Bank ALMMulti
Classification choice critical for ALM (SVB lesson)
Source: encyclopedia
IFRS 17 insurance accounting
InsuranceMulti
IFRS 17 affects ALM strategy
Source: encyclopedia
IRA traditional + Roth
Pension TypeMulti
US IRA accounts traditional + Roth tax-advantaged
Source: encyclopedia
IRRBB EBA framework
Bank ALMMulti
Interest Rate Risk in Banking Book regulation
Source: encyclopedia
Indian EPF Employee Provident
Pension TypeMulti
Indian EPF mandatory retirement savings
Source: encyclopedia
Indian NPS National Pension Scheme
Pension TypeMulti
Indian NPS portable DC retirement
Source: encyclopedia
Industry-loss warranty ILW
InsuranceMulti
Cat bond on industry losses not own losses
Source: encyclopedia
Inflation pass-through hedging
Risk MgmtMatch
Hedge inflation-pass-through liabilities
Source: encyclopedia
Inflation-linked bond LDI ILB
LDIMatch
ILBs hedge inflation-linked liabilities better than nominal
Source: MDPI
Insurance ALM matched book
InsuranceMatch
Match assets to insurance liabilities
Source: encyclopedia
Insurance dollar-cost hedge
InsuranceMatch
Hedge embedded options in liabilities
Source: encyclopedia
Interest rate swap hedge
Bank ALMMatch
IRS to convert fixed-rate loans to floating
Source: encyclopedia
Japan corporate pension
Pension TypeMulti
Japanese corporate retirement pensions
Source: encyclopedia
Key-rate duration matching
LDIMatch
Match KRDs at multiple maturities for non-parallel shifts
Source: Springer 2024
LCR HQLA pool optimization
Bank ALMMatch
Optimize HQLA pool for Basel LCR
Source: encyclopedia
LDI hedge ratio targeting
LDIMatch
Hedge X% of liability duration (e.g. 80%)
Source: encyclopedia
LDI-vs-return-seeking sleeves
FundingMulti
Split portfolio: LDI (matching) + return-seeking (alpha)
Source: encyclopedia
LDTI long-duration targeted improvements
InsuranceMulti
GAAP LDTI accounting changes for insurers
Source: encyclopedia
Liability hedge ratio targeting
FundingMulti
Target % of liability duration to hedge
Source: encyclopedia
Liability stress-test framework
Risk MgmtMulti
EBA / OSFI / FRB pension stress test frameworks
Source: encyclopedia
Life insurance lapse risk
InsuranceMulti
Hedge policyholder lapse behavior
Source: encyclopedia
Long-duration bond mandates
LDILong
Pension mandates concentrating in 30y bonds
Source: encyclopedia
Lump-sum window
FundingMulti
Offer lump sums to participants
Source: encyclopedia
Model risk in actuarial models
Risk MgmtMulti
Actuarial model assumptions can mis-state liab
Source: encyclopedia
Mortality bonds longevity bonds
InsuranceMulti
Longevity-linked bonds for pension hedging
Source: encyclopedia
Mortality table updates
Risk MgmtMulti
Updated mortality tables affect liability calc
Source: encyclopedia
Multi-Year Guaranteed MYGA
AnnuitiesIncome
MYGA: fixed rate over multi-year period
Source: encyclopedia
Multi-stage stochastic LDI
LDIMatch
Multi-stage stochastic programming for LDI
Source: Springer
NSFR funding optimization
Bank ALMMatch
Optimize stable funding ratio
Source: encyclopedia
Net interest income NII immunization
Bank ALMMatch
Hedge NII from rate moves
Source: encyclopedia
Non-maturity deposit NMD modeling
Bank ALMMatch
Model behavioral life of NMDs
Source: encyclopedia
Norwegian GPFG model
SovereignMulti
70/30 + ESG screens GPFG approach
Source: NBIM
P&C catastrophe reserve
InsuranceLong
Build reserve for cat losses
Source: encyclopedia
Pension Risk Transfer PRT
InsuranceMulti
Pension book sold to insurance company
Source: encyclopedia
Pension Risk Transfer growth
FundingMulti
US PRT activity growing post-2022 rates
Source: encyclopedia
Pension contribution timing
FundingMulti
Time contributions for highest tax efficiency
Source: encyclopedia
Pension expense volatility
Risk MgmtMulti
Hedge to stabilize pension expense (P&L impact)
Source: Ryan ALM
Plan termination annuity buyout
FundingMulti
Terminate plan via group annuity
Source: encyclopedia
Qualified Longevity Annuity QLAC
AnnuitiesIncome
QLAC: tax-advantaged longevity insurance
Source: encyclopedia
RBC capital optimization
InsuranceMulti
US Risk-Based Capital optimization
Source: encyclopedia
Reinsurance buffer ceded
InsuranceMulti
Cede tail risk to reinsurer
Source: encyclopedia
Risk-budget allocation
FundingMulti
Allocate risk vs capital across asset classes
Source: encyclopedia
Russian wealth fund frozen 2022
SovereignMulti
Russian SWF frozen post-2022 (DEBUNKED case)
Source: encyclopedia
STRIPS for matched cash flows
LDIMatch
Zero-coupon Treasuries match exact CFs
Source: encyclopedia
SVB 2023 ALM lesson
Bank ALMMulti
Silicon Valley Bank: bond mark-to-market mismatch
Source: encyclopedia
Saudi PIF strategic stakes
SovereignMulti
Saudi PIF strategic-equity stake approach
Source: encyclopedia
Sidecar reinsurance vehicle
InsuranceMulti
Investor capital reinsuring a portion of book
Source: encyclopedia
Singapore GIC model
SovereignMulti
GIC real-return target multi-asset
Source: GIC
Single Premium Immediate Annuity SPIA
AnnuitiesIncome
SPIA pays lifetime income from one premium
Source: encyclopedia
Solvency II capital optim
InsuranceMulti
Optimize SCR capital under Solvency II
Source: encyclopedia
Sovereign wealth fund SWF
SovereignMulti
Norway/Singapore/UAE SWFs - long-horizon allocations
Source: encyclopedia
Surplus volatility minimization
FundingMulti
Minimize volatility of surplus (assets-liabilities)
Source: encyclopedia
Synthetic LDI via IRS
LDIMatch
Use receive-fixed IRS for liability hedging
Source: encyclopedia
Temasek active investing
SovereignMulti
Temasek concentrated equity SWF
Source: Temasek
UAE ADIA Mubadala mix
SovereignMulti
UAE SWF approaches (ADIA Mubadala ICD)
Source: encyclopedia
UK gilt LDI 2022 crisis
LDIMulti
2022 LDI blowup - leveraged gilt-buying
Source: encyclopedia
UK pension auto-enrollment
Pension TypeMulti
Auto-enrollment workplace pensions UK
Source: encyclopedia
Variable Annuity VA
AnnuitiesMulti
VA with mkt-linked sub-accounts
Source: encyclopedia
Variable annuity Greek hedging
InsuranceMulti
VA writers hedge equity + rate Greeks
Source: encyclopedia
Yale Endowment model alts-heavy
SovereignMulti
Heavy alternatives - PE VC RE
Source: Swensen
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.