White paper on EMIR and the impact on LDI strategies for pension funds

November 3, 2014

This Aegon Asset Management white paper briefly outlines the impact of the new European Market Infrastructure Regulation (EMIR) on pension funds’ LDI strategies.

We go on to show how pension funds can best create an 'EMIR-proof' LDI strategy. Using a new approach, it shows how pension funds could adjust their LDI strategies in order to meet the new margin requirements while ensuring maximum flexibility. In addition, it demonstrates how the proposed LDI strategy performs in practice. Finally, it lists some simple guidelines for pension funds on how best to prepare their LDI strategies for EMIR.

Authors: David van Bragt and Martin Bottenberg

See the full white paper (in English) »
See the full white paper (in Dutch) »

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