A Shorter Long Credit

A Shorter Long Credit

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Steve Mullin Steven Lucey Emma Maley
JUN 14, 2024

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On a recent trip through the southeast meeting with clients, plan sponsors and consultants, the team found itself in a familiar post-COVID setting (coffee shop) having a far reaching LDI conversation with a field consultant. As the discussion meandered through a variety of topics from Pension Risk Transfer to asset allocation, we ended up on the topic of liability hedging portfolios and the evolution of that portfolio for a closed and frozen plan with a duration that continues to shorten. The consultant made a very simple observation that intrigued us. He said, “The Long Credit Index is just too long for some of my clients.”