In focus

A False Dilemma: to bundle, or not to bundle, Treasury LDI allocations

As outlined in a previous paper, there are four key roles of Treasuries within an LDI portfolio. In the paper below, we add a fifth role: liquidity provider. Maintaining an allocation to Treasuries can facilitate smoother rebalancing in times of liquidity crises e.g. rebalancing into credit at attractive spreads or out of LDI into the growth portfolio. A key question to ask is – how are these key roles impacted by a bundled vs. unbundled approach to an LDI portfolio?

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