BoE intervention whipsaws pension funds that dumped hedges
Unhedged funds saw liabilities rise by up to 20% when rates pulled back
For some UK pension funds the pain of this week’s chaos in UK gilts went beyond margin calls of hundreds of millions of pounds.
After the Bank of England intervened on September 28 to buy long-dated bonds, collapsing yields caused the funding status of some schemes to deteriorate by as much as a fifth.
Long-dated gilt yields fell dramatically following the BoE’s announcement, from 5.12% on Wednesday morning to 3.92% at the close of trading, according to data from Bloomberg. For pension funds
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Investing
NAIC cracks down on risky feeder funds
Vehicles have been used by insurers to invest in ‘weird and wonderful’ assets, say practitioners
Quants are using language models to map what causes what
GPT-4 does a surprisingly good job of separating causation from correlation
NAIC softens its rating overhaul. Insurers still don’t like it
Insurers worry that the regulatory body could override credit ratings without sufficient explanation
Looser loan terms clear way for more ‘c-on-c violence’
Creditor-on-creditor fighting likely to build, as carve-outs for struggling borrowers get wider
EU reporting regime a ‘hurdle’ for risk transfer deals, say investors
Onerous disclosure templates could deter US banks from marketing synthetic securitisations to European buyers
The quants who kicked the hornets’ nest – to champion causality
A small but influential cadre says the multi-trillion-dollar factor investing industry is based on flawed science
LDI managers disagree on credit collateralised gilt repo
BlackRock and Schroders execute first trades, but others favour different ways to source liquidity
Zero-day hedging takes root in new asset classes
Option users move beyond equity indexes in search of cheaper, sharper hedging tools
Most read
- Quants are using language models to map what causes what
- Reluctantly, CME moves to clear US Treasuries
- The bank quant who wants to stop gen AI hallucinating