Move to swaps discounting presents ALM challenges for with-profits funds

Switching to swaps

Chart volatility

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Many strange and unusual disturbances rocked the UK financial system during the 2008 crisis. One was the sudden and unexpected crossing of the London interbank swap curve with the UK gilt curve. After decades of trending above gilts, the swap yields fell below gilts at the long end of the curve, falling 73 basis points below, in 2009. This negative swap spread after 25 years has outlasted the crisis, and remains volatile.

At first, this movement had little im

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