BoE intervention whipsaws pension funds that dumped hedges
Unhedged funds saw liabilities rise by up to 20% when rates pulled back
For some UK pension funds the pain of this week’s chaos in UK gilts went beyond margin calls of hundreds of millions of pounds.
After the Bank of England intervened on September 28 to buy long-dated bonds, collapsing yields caused the funding status of some schemes to deteriorate by as much as a fifth.
Long-dated gilt yields fell dramatically following the BoE’s announcement, from 5.12% on Wednesday morning to 3.92% at the close of trading, according to data from Bloomberg. For pension funds
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