UK - Scheme funding positions were affected by as much as £50bn ($79bn) in Q3 due to the movement and volatility of long-term gilt yields, Pension Insurance Corporation says.
PIC's 2010 Pension Risk Transfer Index for Q3 revealed several days towards the end of last quarter when there were significant swings in gilt yields which affected scheme valuations or when liabilities are crystallised.
The pensions insurance company said this came despite the continued trend for gilt yields to remain low amid market concerns over the re-starting quantitative easing.
And PIC noted overall affordability of de-risking remained relatively stable, due to increases in the asset markets offsetting the fall in long-term interest rates pushing up liabilities.
PIC head of origination David Collinson said: "This is a particularly difficult time for trustees. The conflicting movements in assets and liabilities and the confusing picture around the wider economy, lead to some difficult decisions. Throw in the move from RPI to CPI and it is not surprising that the market has slowed down.
"However, trustees should be aware that they have choices. They are able to remove specific risks, whilst leaving options open to have assets refunded when we have clarity on the RPI issue. 2010 could yet be the best year yet for pension risk transfer."
PIC also noted the use of deferred premia last quarter with the schedule of payments matching a previously agreed funding arrangement as implemented by timber merchant Arnold Laver, and discussions with trustees on flexible contracts taking into account the switch from RPI to CPI.
It said the proposed move from RPI to CPI highlights how even small changes - compounded over several decades - can have a dramatic impact on de-risking.
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