Financial Times FT.com

Interest rate swaps produce huge windfalls

By John Keefe

Published: March 1 2009 09:31 | Last updated: March 1 2009 09:31

The deleveraging of financial markets in 2008 triggered indiscriminate losses across most asset classes, but still surprised some US corporate pension plans with a large payday.

Topping the list of the year’s best performing instruments were the interest rate swaps in liability driven investment programmes, implemented as overlays in a prudent measure to offset swings in the present value of pension obligations.

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