CSSF communication on Liability Driven Investment Funds

The CSSF issued a communication, responding to the impact of the volatility in yields associated with UK Gilts in September 2022, which affected LDI Funds, by engaging with alternative investment fund managers managing LDI Funds in GBP to improve their resilience.
As a reminder, the CSSF published a communication on 30 November 2022, informing relevant investment fund managers of measures to be taken in relation to the management of GBP LDI Funds in close cooperation with the CBI and ESMA.
Furthermore, the BoE staff paper published on 29 March 2023 regarding its recommendation and explainer on LDI minimum resilience was noted by the CSSF in this context.
Pending the outcome of ongoing follow-up work, the CSSF expects investment fund managers managing LDI Funds denominated in GBP to maintain the Yield Buffer in the region of 300-400 basis points as build up following the September 2022 episode. Alternative investment fund managers of LDI Funds denominated in other currencies are also expected by the CSSF to maintain a sufficient level of resilience to absorb severe but plausible market shocks.