Could a cold collateral winter be coming for pension plans?
UK LDIs passed an early test from rising rates, but margin call pressure is mounting
Like the UK’s consumers, its pension funds have been feeling the icy grip of rising rates.
As the Bank of England hiked its base rate to tackle rising inflation, UK pension funds faced huge collateral calls – some running to hundreds of millions of pounds – on the derivatives used to hedge their liabilities.
“On days where we've had large, outsized market moves, you're actually talking about
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 Markets
XiNG provides the platform for Citi’s growth
Citi’s best-in-class risk management platform, XiNG, provided the foundation for the firm being named Risk’s 2026 Derivatives house of the year
Euro Stoxx 50 to get major revamp
Removing supersector caps and more regular rebalancing could spur increased activity in eurozone index
Continuous verification holds key to keeping AI on track
Decision-by-decision testing will help users trust AI judgement calls
Jackpot for JGB asset swaps after hedging rush
Multi-leg trade turned profitable as corporate cross-currency hedging flows helped push yen swap rates above JGB yields
Forward volatility: a model-free framework for hedging options risk
A model-free approach to extracting, hedging and managing forward volatility risk
Panellists warm to Treasury plan to lend TGA cash in repo
Goldman’s Chambers backs the idea, while JP Morgan and BNY execs say payoff depends on repo trading above IORB
Hedge funds sit out Treasury market volatility
Flattening of yield curve prompts traders to scale back steepeners
Hedge funds reload UK rates bets after euro-led rout
Traders slowly returning to sterling market after ECB comments caused front-end and curve stop-outs
