How often will the assets at the end of the contract be sufficient? Three situations are considered, namely not enough (“Lo”), “acceptable” defined as upto 1,000 deflated too much (“OK”) or far too much (“Hi”).

If we reduce the acceptable margin, then that will increase the “Hi” region. For a fully inflation-protected endowment fully invested in conventional bonds, over the blend period, the MtM approach would have led to utter failure in 39% of 1,000 scenarios and to assets which are far too high in 56% of 1,000 scenarios. Only 5% of 1,000 scenarios would have been “acceptable” (see chart); the Off approach is similar.