
UK pensions mull discount rate switch after LDI crisis
Large schemes rethink liability calculations as illiquid allocations balloon following ‘mini-budget’

Large defined-benefit pension schemes in the UK are considering changing how they discount their liabilities, after last year’s gilt crisis left many with bloated illiquid allocations and made them wary about using derivatives to hedge.
Most UK pension schemes discount their liabilities against the yields on British government bonds, or gilts, plus an expected return. However, a number are now planning to discount their liabilities against the expected returns on their portfolio holdings – a
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