Pension funds brace for end of BoE intervention
Funds boost collateral buffers by as much as 300bp as October 14 deadline looms
Pension funds are beefing up the collateral buffers required to maintain their interest rate hedges, as the Bank of England’s emergency intervention in gilt markets draws to a close.
Prior to last week’s events, most funds maintained collateral buffers to withstand a move of 100–150bp in gilt yields each year.
With the BoE’s gilt purchasing due to end on October 14, funds are readying for scenarios as extreme as a 400bp jump higher.
“We’re seeing people preparing to withstand a 200 to 300
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.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
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. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Investing
Can pod shops channel ‘organisational alpha’?
The tension between a firm and its managers can drag on returns. So far, there’s no perfect fix
UBS embraces ‘narrative alpha’ for new form of sentiment strategy
NLP engine traces how stories spread, instead of counting words
Newton and BofA launch ‘all-weather’ QIS hedging index
Adaptive index sees investment manager toggle between a menu of quant strategies
Ninety One sees opportunity in overlooked private credit niche
Sponsorless deals offer as much as twice the return, says investment manager
Trillion-dollar basis trade will keep growing – asset managers
Treasury issuance, credit trades and repo stigma drive rise in futures use
TwentyFour’s ABS chief on skirting ‘overbaked’ deals as issuance booms
Some new issuers are pricing tighter than is sensible, says Aza Teeuwen
Are regulators wrong to think of AT1s as debt?
Bank capital bonds face criticism. One answer might be to treat them as ‘fixed-income equity’
BIS warns of growing offshore reinsurance risk
Deals by private equity-backed life firms could mask risk in $25 trillion industry, report says
