UK funds fall out of love with sterling swaps

Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds

Gilt-repos-in-the-ascendancy-with-UK-LDI-funds montage

Liability-driven investors in the UK are abandoning interest rate swaps in favour of gilt repo for hedging, and forthcoming changes in financial markets look set to cement that shift.

Yields on gilts are higher than rates available on long-dated sterling swaps. As lending switches from Libor to replacement benchmarks, this difference is likely to become more pronounced. New rules requiring hundreds of buy-side firms to post margin on non-cleared derivatives for the first time may also

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: