On September 23, 2022, UK Gilt markets entered what the Bank of England later termed a “vicious spiral.” Within days, LDI funds and pension schemes faced margin and collateral calls that Bank staff estimate to be in excess of £70 billion. While the Bank of England intervened with £19.3 billion in emergency purchases, three hedge funds positioned on the opposite side generated extraordinary returns: Odey Asset Management (193%), BlueCrest Capital Management (153%), and Rokos Capital Management (51%).
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