Gilts
Repo clearing: trends, developments and outlook
Recent volatility in the UK gilt market has highlighted the repo market’s need for CCP stability, predictability and resilience. LCH RepoClear unpacks the trends and key developments of 2022, and shares an outlook for 2023
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
The final countdown: Europe’s pension funds get ready to clear
With clearing exemption due to end next June, EU funds try to learn from UK’s LDI mistakes
UK pension funds hand over more assets to LDI managers
Transfer of assets is a pre-emptive move to avoid repeat of September’s collateral crunch, trustees say
Illiquid assets throw UK pensions off balance
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings
Pension funds face intraday margin calls from anxious clearers
Some banks stick with T+1 margin posting, but others balk at funding cost and counterparty risk
Pensions regulator plays down LDI risk to EU
Eiopa doubts UK gilt market chaos could occur to same degree in Europe
UK pension funds rush to dirty CSAs
Fearing margin pain once BoE gilt-buying ends, funds fast-track revisions to post gilts and corporate bonds
Pensions eye collateral facilities to buffer market turmoil
Arrangements would allow funds to exchange riskier assets like corporate bonds for cash or gilts
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
Pension funds brace for end of BoE intervention
Funds boost collateral buffers by as much as 300bp, as October 14 deadline looms
Markets mull UK pension clearing exemption
Treasury expected to extend regulation exempting retirement funds from having to clear OTC trades
UK pensions may struggle to capitalise on fully funded status
Bond yield spike reduced liabilities, but schemes need to sell illiquids at markdown to offload risk
Pensions with other LDI investments quicker to make margin calls
Columbia Threadneedle says funds invested in internal strategies moved collateral immediately, but outside transfers took time
Pension funds foresaw margin meltdown (a decade ago)
Years of warnings went largely unheeded. Questions may now spread to post-crisis clearing and margining project
BoE intervention whipsaws pension funds that dumped hedges
Unhedged funds saw liabilities rise by up to 20% when rates pulled back
UK pensions hit with £100m margin calls as gilts and sterling slide
At least three LDI managers request emergency capital as others consider unwinds to avoid default
Shifting rates throw bond investors off balance
Dearth of bond liquidity forces some traders to offload positions – but, as ever, others are waiting to pounce
Tectonic shift: could RPI transition be the new Libor?
With CPIH set to replace RPI in 2030, some say the move could cost pension funds around £90bn
UK funds fall out of love with sterling swaps
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
Inflation derivatives house of the year: NatWest Markets
Risk Awards 2021: warehousing capabilities created competitive edge in illiquid CPI market
On eve of Brexit, PPF’s chief risk officer isn’t too worried
Stephen Wilcox talks about getting pensions paid without the benefit of controlling ‘UK Plc’
JP Morgan first to issue SOFR-linked preferred stock
BofA, Goldman Sachs and others are also preparing for Libor’s end
Once bitten, twice shy: UK traders wary of inflation reform
Proposals to fix RPI methodology flaws are back on the agenda, but traders have been caught out before