Dutch Pension Overhaul Risks Creating ‘Basis Trap’ for Banks
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Connecting decision makers to a dynamic network of information, people and ideas, Bloomberg quickly and accurately delivers business and financial information, news and insight around the worldAmericas+1 212 318 2000EMEA+44 20 7330 7500Asia Pacific+65 6212 1000Connecting decision makers to a dynamic network of information, people and ideas, Bloomberg quickly and accurately delivers business and financial information, news and insight around the worldAmericas+1 212 318 2000EMEA+44 20 7330 7500Asia Pacific+65 6212 1000Dutch pension funds are expected to unwind interest-rate swap trades as they move to a new investing model, leaving banks exposed to a “basis trap,” according to Societe Generale SA.The funds are likely to terminate a “toxic vintage” of unprofitable derivative contracts linked to the Euribor benchmark that were initiated between 2019 to 2021 when borrowing costs were close to zero, according to Mathias Kpade, a rates strategist at the French bank.