Liability Driven

Baker Gilmore excels in developing customized
solutions and offers a broad array of strategies
across all sectors of the fixed income market.

The firm has extensive experience in providing liability driven investing
(LDI) solutions to a wide range of clients. Our innovative risk systems
and portfolio construction tools allow us to both create custom
benchmarks that incorporate client-specific liabilities and construct
portfolios that match benchmark risk factors within client defined
constraints and using a range of approaches.


To enhance yield and/or increase returns within client-tailored risk
profiles active strategies can be incorporated within the LDI


  • Customized approach designed around client-specific liability cash flows
  • Tailored approach consistent with different client needs and constraints, i.e., pension funds or insurance companies
  • Provide daily risk, performance and attribution monitoring

& process

  • Assess different approaches to matching liabilities including cash flow matching, immunization or a combination of both (horizon matching)
  • Establish customized liability-matched benchmark
  • Implement and monitor
  • Active strategies provide opportunity to enhance yield and/ or Increase returns within client-tailored risk profile.

Risk management

  • Monitor and manage plan assets and liability ratio
  • Analyze investment implications based on actuarial information
  • Manage dynamic de-risking programs, such as triggers based on funding status for a pension plan

Approaches to
liability driven

  • Cash Flow Matching

    Customized portfolio to replicate monthly cash flow
  • Immunization

    Portfolio constructed to closely match the liability or custom benchmark risk factors and minimize tracking error
  • Horizon Matching

    Combines elements of immunized and cash flow matching approaches

    Shorter-term liabilities are cash flow matched and longer-term liabilities are immunized

For more information on this
product please contact:

Brent Wilkins

Senior Vice President,
Head of Institutional Sales, Canada

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Baker Gilmore & Associates Inc.
July 12th, 2022