SWAPS: Rabobank Note Risk Of Delay To Dutch Pension Transition Flows
Apr-24 13:19
Rabobank note that after yesterday’s debate in the Dutch parliament, “impactful changes to the pension reforms seem unlikely”.
- They go on to note that “solvency in the sector was impacted by the recent market turmoil with an average coverage ratio of approximately 113% seen as of 17th of April 2025. As of 2024Q4, Dutch pension funds hedged approximately 67% of their liabilities”.
- What’s more, they highlight that “more pension funds have postponed their transition and further postponements are to be expected. Most pension funds will have to reduce the size of their bond and swap portfolio and there are concerns about the potential market impact”.
- The conclude by noting that “given the recent market turmoil, unwinding before the transition date seems less attractive, possibly pushing the majority of adjustments to after the transition date”.
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UK FISCAL: Spring Statement: Key Timings
Mar-25 13:17
- Chancellor Reeves will begin delivering the Spring Statement tomorrow in the House of Commons immediately after Prime Ministers’ Questions concludes – so slightly after 12:30GMT / 13:30CET / 8:30ET.
- Given the limited content, the FT is reporting that the speech will only be 25 minutes long.
- The gilt remit and full OBR forecasts are normally published when the statement is finished – so around 13:00GMT (possibly slightly before or a little later). Note that in previous years with longer speeches, this has been more like 13:30.
- We would then expect the DMO to announce the consultation agenda for its FQ1 issuance (the remainder of April through to June) at 15:30GMT. This will likely include a more granular breakdown of which auctions in FQ1 are for each maturity bucket, with guidance on which gilts will be issued (see page 4 of the MNI Spring Statement Preview).
- The DMO is to hold consultations with investors and GEMMs on 31 March.
- The rest of the FQ1 (remainder of April through to June) gilt operations calendar will be published at 7:30BST on Friday 4 April.
MONTH-END EXTENSIONS: CIBC Point To Modest CAD Index Extension
Mar-25 13:10
CIBC note that “the FTSE Canada Universe Bond Index will experience a modest extension of +0.033yrs on Apr 1, mainly from Canada Apr 1/26 (C$10.19bln) and Quebec Apr 1/26 (C$2.49bln) bonds rolling out of the index. The Short segment will also extend by +0.024yrs for the same reason. Meanwhile, modified durations of the Mid and Long segments will remain basically unchanged that day. Payment of approximately C$446mln in Apr 1 coupons will have minimal contribution to the extension.”
GILT PAOF RESULTS: The PAOF for the 4.75% Oct-43 Gilt was not taken up.
Mar-25 13:02
- GBP500.0mln had been on offer.
- This leaves GBP30.479bln of the gilt in issue.
