The great swap market stand-off

Cover story

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“They are being forced to buy at the worst time ever,” says the manager of one of London’s biggest hedge funds, with just a hint of malice. This manager is one of a select group of fixed-income relative-value players that has benefited handsomely from declines in long-dated bond yields and swap rates since summer 2004.

‘They’ are the big UK and Dutch pension funds, driven by new accounting and solvency regulations that force them to account for once-hidden liabilities in a realistic, transparent