BoE proposes minimum resilience for LDI funds
Funds at centre of UK’s bond market 2022 crisis must withstand bigger “yield shock”, BoE says
The Bank of England has proposed a minimum level of resiliency for liability-driven investment funds, after the UK’s bond market crisis in September 2022.
LDI funds were at the centre of the turmoil on the market for UK sovereign bonds, or gilts. The BoE’s financial policy committee (FPC) now estimates LDI funds should operate with at least enough resilience to manage a 250 basis point shock to long-term bond yields.
The 250bp includes 170bp of “systemic resilience” to avoid forced
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