The Optics Related to the Pension Fund

Pension funds tend to be under hedged, so rising yields actually help their funding ratios. They're not big enough to have isters in place with the counter-parties and then having like swap overlay or repo on the matching assets. And when guilt prices fall a lot, very quickly, that's going to make the collateral worthless. Also, the P&L on the derivative overlay will be sharply into negative,. So you're going to have to put up more collateral and the collateral is worthless. There's going to be liquidity situation there. I think one of the announcements over the weekend come out from a large asset manager. This really sounds like liquidity was the key issue here.