Mark-to-market losses from LDI derivatives could total $167 bln- JPMorgan analysts

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Mark-to-market losses on derivative positions linked to liability-driven investment (LDI) - the strategy at the heart of Britain's pension fund crisis - could total between 125 and 150 billion pounds ($167.40 billion) since early August, JPMorgan analysts said on Thursday.

Pension funds have been scrambling to sell assets to raise cash to fund their LDI-related derivatives positions since Britain's "mini-budget" on Sept. 23 caused UK government bond yields to surge.

The JPMorgan analysts said despite worries about the fallout from those asset sales, there was "little sign of significant funding stress" from the recent widening of dollar cross-currency basis swaps.Reporting by Tommy Reggiori Wilkes; editing by Carolyn Cohn

 

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