Sonia discounting and the Whac-A-Mole world of LDI

Imagine you’re a trustee of UK defined benefit pension scheme and you’re in this quarter’s investment committee meeting.  Just after the scheme secretary has gone though the actions log and before you hear your consultant’s latest investment idea, your actuary presents an update on your funding position.  If you are like most UK pension schemes, … More Sonia discounting and the Whac-A-Mole world of LDI

Impact of CSA terms on swap valuations

One of the many after-effects of the financial crisis is that derivatives dealers have changed their pricing practices to take account of Credit Support Annex (CSA) terms.  Because collateral terms often vary from bank to bank, these changes are making it difficult for pension schemes to compare pricing among dealers, manage their counterparty exposures, and … More Impact of CSA terms on swap valuations