Timely (unlocked!) reporting from "You’ve got to pick those derivatives up, and physically move them" .

RT @RiskDotNet: We investigate how banks have hit upon an ingenious way of shifting vast quantities of derivatives off balance sheet https:….

Given the chance to live its life over again, I wonder whether the BoE would now prefer an emergency intervention to buy bonds, or the earlier creation of a standing facility to lend cash. What do you think?.

Fixes mooted included clearing houses accepting non-cash VM, pension funds sourcing more of their duration needs from bonds rather than swaps, peer-to-peer repo facilities to avoid dealer bottlenecks – and that idea of the central bank backstopping the repo market in some form.

(This one’s rather poignant) … "Why can the central bank not be the [source of] liquidity of last resort? They're certainly not discounting it as a prospect” – PM at the UK’s PPF in 2015.

“The macro viability of this regime has not been thought through properly. Central clearing will force huge numbers of swap users to rely on repo . it remains to be seen whether the market will support all these users hitting the market at once” – Sampension CIO, 2013.

Some choice quotes: “Given the sensitivity of long-dated swaps to changes in interest rates, the collateral calls for pension funds are often huge. How is a pension fund, which holds long-term investments, supposed to find [that much] cash at short notice?" – this is from 2010.

You can find them here:

Given the interest in the topic, we’ve collected a bunch of these articles from the archive, and unlocked them. They’re worth a read – it’s not just a chronicle of a debt crisis foretold, it also examines many of the fixes that will now be revisited.

This week’s BoE intervention in the gilts market was not a shock. It was exactly what pension funds had warned would happen if their long-dated liability hedges were subject to cash margin requirements. Way back when, wrote about this stuff a LOT. Thread!.

". How is a pension fund, which has most of its assets in bonds, supposed to find the cash at short notice to meet these obligations?"

An LDI manager, warning about pension fund liquidity risks in 2010: "Given the sensitivity of long-dated swaps to changes in interest rates, the collateral calls for pension funds are often huge . ".

RT @Chris_Whittall: This has now happened. From over 5% to under 4% yield in a matter of hours

RT @Chris_Whittall: Getting on for a 100bp rally in the 30yr gilt yield from today's highs after BoE intervention. At this rate it'll trade….

RT @RiskDotNet: Free to read until Sept 29: Our 'Talking Heads' interview series looks at how market-makers and their clients are adapting….

RT @RiskDotNet: This story, along with the majority of our content, is available for free today and tomorrow.

RT @aimoneale: NEW: Over the last 10 months I've been working on a big project for @FXMarkets_ collecting, analysing and classifying a gran….

RT @wilkkes: *checks whether it is April fools day* No it isn't. Huh

Swiss dealer's transfer plan also discussed in glowing terms by judge – in contrast to scolding Barclays received last week:

UBS cleared to move €32bn of assets (mostly swaps) to Frankfurt: (That’s 2,483 clients, 5,785 master agreements, €9.3bn in RWAs, and €3.2bn of capital).