Liability Driven Investments (LDI)

Liability Driven Investments (LDI)

Interest-rate risk management: the basis of sound balance sheet management

Key points:

  • More than 20 years’ experience in customized interest-rate matching solutions
  • Specialist and experienced team from the Netherlands that manages interest-rate risk for EUR 40 billion in pension & insurance liabilities
  • Pioneer in the central clearing of interest-rate swaps since 2011


The cornerstone of our philosophy for the matching portfolio is based on maximizing matching effectiveness and minimizing investment risk. This approach ensures that the portfolio behaves as expected during the design: in a matching portfolio, we do not like surprises.

Risk management is the basis of the matching portfolio. The investment objective, the benchmark and any performance drivers are based on in-depth fundamental and quantitative research and are adapted to individual investment objectives and convictions, and the matching philosophy of our clients.

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Our matching portfolios feature a transparent investment process in which the portfolio is constructed in consultation with the client and adapted to the client’s strategic policy and specific risk tolerances. The investment process has a long-term horizon and is designed to avoid unnecessary transaction costs.

Our approach to the management of matching portfolios is based on a ‘buy and maintain’ strategy. We devote much attention to the construction phase (‘buy’), in which we design the portfolio and the investment process in consultation with the client. Continuous monitoring (‘maintain’) of the portfolio ensures that the matching is effective and that liquidity and the desired credit quality are maintained. Providing a high-quality service is also an essential element of our LDI proposition.


The Global Macro team has experience with the management of matching portfolios since 1998. The Dutch team has extensive experience in fundamental and quantitative management of both bonds and derivatives, is based in Rotterdam and has in-depth knowledge of the pension and insurance market. The portfolio managers work closely with specialists in trading, regulation, risk management and corporate bonds.

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Contact us if you would like to know more about this investment solution.

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