Roll Down & Carry Exercise presented at Institute and Faculty of Actuaries on 7 June 2013.

1. LDI nine years on
Robert Gardner, Redington
Simon Wilkinson, Legal & General Investment Management
7 June 2013

2. Roll-Down and Carry Exercise
11 June 2013

3. Yields End 2002 to End 2005
Source: Barclays Live
30/12/2002 30/06/2003 30/12/2003 30/06/2004 30/12/2004 30/06/2005 30/12/2005
Bondyield(%)

4. 30/12/2002
30/06/2003
30/12/2003
30/06/2004
30/12/2004
30/06/2005
30/12/2005
30/06/2006
30/12/2006
30/06/2007
30/12/2007
30/06/2008
30/12/2008
Bondyield(%)Yields End 2002 to End 2008
Source: Barclays Live

5. 30/12/2002
30/09/2003
30/06/2004
30/03/2005
30/12/2005
30/09/2006
30/06/2007
30/03/2008
30/12/2008
30/09/2009
30/06/2010
30/03/2011
30/12/2011
Bondyield(%)
Yields End 2002 to End 2011
Source: Barclays Live

6. 30/12/2002
30/10/2003
30/08/2004
30/06/2005
30/04/2006
28/02/2007
30/12/2007
30/10/2008
30/08/2009
30/06/2010
30/04/2011
29/02/2012
30/12/2012
Bondyield(%)
Yields End 2002 to present
Source: Barclays Live

7. 10 Year JGB Yield
0.40
0.60
0.80
1.00
1.20
1.40
1.60
1.80
2.00
30/12/2002
30/06/2003
30/12/2003
30/06/2004
30/12/2004
30/06/2005
30/12/2005
30/06/2006
30/12/2006
30/06/2007
30/12/2007
30/06/2008
30/12/2008
Bondyield(%)
10Y JGB
Source: Barclays Live, Bloomberg
Yield to Maturity 1.47%
Total Return on 10 Year Bond 8.13%
Total Return Per Annum 2.64%
Over Yen 6m Libor per annum + 203 bps
Rolldown Over 3 years 1.84%
Rolldown Per Annum 0.61%
Carry Over 3 years 1.76%
Carry Per Annum 0.58%
10y JGB purchased on 30/12/05 and held for 3yrs

8. 10 Year JGB Yield
0.40
0.60
0.80
1.00
1.20
1.40
1.60
1.80
2.00
30/12/2002
30/09/2003
30/06/2004
30/03/2005
30/12/2005
30/09/2006
30/06/2007
30/03/2008
30/12/2008
30/09/2009
30/06/2010
30/03/2011
30/12/2011
Bondyield(%)
10Y JGB
Source: Barclays Live, Bloomberg
Yield to Maturity 1.18%
Total Return on 10 Year Bond 7.33%
Total Return Per Annum 2.39%
Over Yen 6m Libor per annum + 180 bps
Rolldown Over 3 years 3.12%
Rolldown Per Annum 1.03%
Carry Over 3 years 1.73%
Carry Per Annum 0.57%
10y JGB purchased on 30/12/08 and held for 3yrs

9. 10 Year JGB Yield
0.40
0.60
0.80
1.00
1.20
1.40
1.60
1.80
2.00
30/12/2002
30/10/2003
30/08/2004
30/06/2005
30/04/2006
28/02/2007
30/12/2007
30/10/2008
30/08/2009
30/06/2010
30/04/2011
29/02/2012
30/12/2012
Bondyield(%)
10Y JGB
Source: Barclays Live, Bloomberg
Yield to Maturity 0.98%
Total Return on 10 Year Bond 3.37%
Total Return Per Annum 2.52%
Over Yen 6m Libor per annum + 217 bps
Rolldown since 30/12/2011 1.13%
Rolldown Per Annum 0.85%
Carry since 30/12/2011 0.38%
Carry Per Annum 0.29%
10y JGB purchased on 30/12/11 and held to present

10. 10Y JGB
Yield vs Total return on a 10 year generic bond since 2002
0.00
0.50
1.00
1.50
2.00
2.50
30/12/200230/06/200330/12/200330/06/200430/12/200430/06/200530/12/200530/06/200630/12/200630/06/200730/12/200730/06/200830/12/200830/06/200930/12/200930/06/201030/12/201030/06/201130/12/201130/06/201230/12/2012
Bondyield(%)
800
850
900
950
1,000
1,050
1,100
1,150
1,200
Totalreturnindex
Source: Barclays Live, Bloomberg
Total Return on 10 Year Bond 19.97%
Total Return Per Annum 2.51%
Over Yen 6m Libor per annum + 190 bps
Rolldown since 30/12/2005 6.21%
Rolldown Per Annum 0.82%
Carry since 30/12/2005 3.91%
Carry Per Annum 2.92%
Total Compounded Return since December 2005