Cash variation margin requirements worry pension funds

Warning road sign

Many LDI pension funds use long-dated interest rate swaps – up to 50 years in tenor – to hedge their portfolios. But given the sensitivity of long-dated swaps to interest rate movements, collateral requirements are often large. For example, the 80-basis-point collapse in the 20- and 30-year euro swap rate in August triggered calls of 12% of swap notionals.

Ordinarily, these collateral calls are met without a hitch by pension funds, which have the ability to post bonds under current bilateral

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: