Pensions with other LDI investments quicker to make margin calls

Columbia Threadneedle says funds invested in internal strategies moved collateral immediately, but outside transfers took time

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During last week’s long-end gilt rout, UK pension funds that had other assets invested with liability-driven investment (LDI) managers were in a better position to meet margin calls, according to one LDI manager.

As 30-year yields jumped nearly 100 basis points between September 23 and 26 in reaction to the UK government’s mini-budget, pension funds faced immediate cash margin calls of more than £100 million ($113 million) on their mainly interest rate swap and leveraged gilt repo positions.

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