Using the initial estimates, 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, the MtM approach would have led to an utter failure probability of 43.1% and a 50.7% probability of assets being far too high. Only 6.2% would have been “acceptable” (see interactive chart); the Off approach produced results of a similar order.