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

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