Pension funds brace for end of BoE intervention

Funds boost collateral buffers by as much as 300bp, as October 14 deadline looms

Bank of England
The BoE’s intervention put a lid on rising gilt yields

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net 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: