Liability-driven investment (LDI)
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
LDI managers disagree on credit collateralised gilt repo
BlackRock and Schroders execute first trades, but others favour different ways to source liquidity
LDI firms update margin stress tests post-gilt crisis
For some managers, stress-testing models failed to reflect the convexity effects of the crisis on initial margin
Buy side still prefers bilateral repo despite LCH margin update
New model will cut margin faster after stresses abate, but costs still high for directional trades
Buy side reflects on BoE’s gilt liquidity lifeline
Lending facility could prevent repeat of last year’s LDI crisis if properly designed, pension and insurance experts say
LDI crisis could ‘certainly happen again’, pensions experts say
Wave of issuance and a shrinking buyer base likely to spur further volatility in gilts
Roll up for the BoE’s counterparty mystery tour
Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups
UK pensions mull discount rate switch after LDI crisis
Large schemes rethink liability calculations as illiquid allocations balloon following ‘mini-budget’
Asset managers offer tailored LDI to smaller pension schemes
Minimum AUM for customised hedging slashed from around £400m to £75m
BlackRock plans use of corporate bond repo in new LDI fund
Holding corporate bonds would provide backup liquidity, lift returns
Pension funds weigh corporate bonds as margin for gilt repo
Stung by disastrous losses during last year’s LDI squeeze, funds consider greater range of collateral on gilt repo
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
LCH Ltd’s RepoClear margin model gets a makeover
Changes aim to make margin models for gilt repo more sensitive to market moves
FCA should regulate pension consultants – UK MPs
Gilt crisis report says firms offered “standardised advice” poorly tailored to pension schemes’ needs
Podcast: Jan Rosenzweig on fat tails and LDI portfolios
An optimised portfolio can look very different when extreme moves are given more weight
Fat tails and optimal LDI portfolios
A portfolio optimisation technique for pension funds and insurance portfolios is presented
UK pensions remain wary of long-duration LDI workaround
Trustees worry managers are swapping one risk for another to maintain hedges in wake of gilt crisis
Still Trussed up: UK pensions confront fallout from LDI crisis
Trustees and consultants are making risky trade-offs as interim guidance increases the cost of hedging
Central banks grapple with market backstop design
BoE’s Hauser and Fed’s Logan discuss pros and cons of repos vs asset purchases
Managers want power to cut hedges after UK LDI crisis
Pensions trustees baulk at requests for right to reduce exposure to LDI funds “carte blanche”
Pension funds may sue managers ‘for making hedging a liability’
Finger of blame for LDI crisis is also being pointed at fiduciaries and even the schemes themselves