The coverage of the Liability Driven Investments affair has been highly polarized. On the one hand, there are those (mostly consultants) suggesting it is a storm in a tea cup, LDI working ‘as expected’, nothing to see here, move on.
On the other hand, actuaries like Richard Lund, speaking at the First Actuarial Conference about severely disrupted core gilt market functioning, excessive and sudden tightening of financing conditions for the real economy etc etc.
Someone should at least be answering questions. E.g. if there have been losses, how much are they? See the chart above. A long-dated bond (here 18 years) could easily have halved in value with a move in rates from 2% to 5%. Any scheme that sold at those levels will have incurred a massive loss, or so you would think. Clearers like Northern Trust reported being overwhelmed by a slew of margin calls during bond market turmoil, so we know that selling happened.
So who was selling? And how much was lost? “We should be told”.