Description: How insurers can include a liquidity score and liquidity stress scenarios as part of their asset liability management (ALM) protocol.

Description: The article introduces a cashflow matching strategic asset allocation (SAA) framework for life insurers. Given the recent shift to higher interest rates after two decades of persistent low interest rates, insurers have an opportunity to enhance their asset liability management by rebalancing asset portfolios to narrow duration gaps and attain higher risk-adjusted yields. The framework aims to align investment objectives with economic, regulatory, and rating agency requirements. It prioritizes cashflow matching as the primary optimization goal and incorporates security-level asset information to assist portfolio managers in executing SAA seamlessly. The article highlights the benefits of the cashflow matching SAA framework, including greater attention to cashflow matching, unbiased results, readily executable strategies, and stable economic reserves. A case study is included to demonstrate the effectiveness of the framework in improving risk-adjusted return and cashflow matching for a representative liability block.

Description: Feature article provides a glimpse into recent changes to various standards of care owed to customers that will undoubtedly have a significant impact on the products and services offered by many financial institutions.

Description: Article from Investment Section staff partner describing the newsletter production process.

Description: This article highlights 13 attributes shared by various groups of companies that landed in trouble. The companies are identified, and the attributes are described.

Description: There will be inflection points in the value of an instrument when interest rates change. These inflection points could materially impact the approximation of value change using ALM metrics. In this part of the seven-part series, I will highlight: • How to identify the inflection points; • the range of rate changes where ALM metrics may be relied upon i.e., the “validity” range, outside of which recalculation of the ALM metrics is required and the potential that one needs to rebalance the portfolio; • a technique to improve on the approximation of value change beyond the validity range; and • a technique to convert non-linear change on the yield curve to be used with duration and convexity.

Description: Risk Management and Actuaries—SOA Risk Management Task Force Update

Description: In this article chairperson Anthony Dardis takes a look back at the achievements of the Investment Section Council halfway through his tenure as chair.

Description: In reference to the book Fooled by Randomness by Nassim Nicholas Taleb, Steven Scoles describes our ability to detect patterns in certain aspects of life and how these patterns may in fact be simple randomness.

Description: As we meet with pension plan sponsors and consultants across Canada we find that the subject of liability-driven investing LDI comes up repeatedly even when we do not initiate the discussion. We also find that LDI seems to mean something different to each person we meet. Is LDI just a new name for asset/liability management ALM? Or is LDI just about hedging interest rate risks with fancy securities? In this article we describe a framework for understanding what LDI is, how it relates to ALM, and how it can be used to solve real-life problems for Canadian pension funds.