Pension companies will have large liquidity needs if interest rates rise

Analysis - November 2019 - No. 23

Authors Jensen, Jakob Roager; Achord, Samuel Donald
Subject Financial stability; Financial risks; Interest-rate risk; Interest-rate swaps
Type Analysis
Year 2019
Published 19 November 2019
Pension companies' need for liquidity will increase when the sector has to meet the requirement for central clearing of interest rate swaps and other derivatives by 2023. Pension companies should prepare so as to be able to manage cash variation margin requirements at all times. In the event of substantial interest rate increases, the companies will need large amounts of cash to be posted as variation margin the following day.