Asset and Liability Management by CADES, a manager of public debt

The method chosen by CADES to steer the process of paying down the social security debt it has assumed is related to our particular asset and liability management policy. The economy is ruled by three factors, the dynamics of which govern the principal classes of negotiable debt instrument and our only asset, which is the CRDS tax revenue, generated via a levy on nearly all forms and sources of income in France. Risk is defined as the probability that we will not achieve an acceptable performance level in terms of debt repayment capacity, while our aversion to risk is reflected in the convexity of the relationship between performance and the redemption horizon. We implement the dynamics of our balance sheet components and exhibit the entire set of optimal portfolios under a pre-defined rule of re-balancing. The optimal portfolios will be a sub-set of the frontier of efficient portfolios, conditionally at the threshold of the chosen risk