Inflation derivatives - Risk.net
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en-gbBrexit and the UK inflation market: Delivery and response amid challengesAs inflation continues to rise amid uncertainty following the Brexit vote, banks are being called upon to think outside the box in response. At a forum convened by Risk and sponsored by BGC Partners, our panel discusses the direction of the UK inflation market post-Brexit and the impact the referendum result has had so far, as well as the upcoming regulatory changes banks should fear the most. http://www.risk.net/derivatives/inflation-derivatives/5326831/brexit-and-the-uk-inflation-market-delivery-and-response-amid-challenges
http://www.risk.net/derivatives/inflation-derivatives/5326831/brexit-and-the-uk-inflation-market-delivery-and-response-amid-challengesTue, 05 Sep 2017 16:05:12 +0100US inflation traders consider swap methodology changeBanks weighing up move to non-interpolated standard to cut capital costs http://www.risk.net/derivatives/inflation-derivatives/2476052/us-inflation-traders-consider-swap-methodology-change
http://www.risk.net/derivatives/inflation-derivatives/2476052/us-inflation-traders-consider-swap-methodology-changeTue, 08 Nov 2016 08:34:43 +0000Margin rules push interdealer inflation swaps to clearingAround 95% of the market now cleared, compared with 10% a month ago http://www.risk.net/derivatives/inflation-derivatives/2470584/margin-rules-push-interdealer-inflation-swaps-clearing
http://www.risk.net/derivatives/inflation-derivatives/2470584/margin-rules-push-interdealer-inflation-swaps-clearingTue, 13 Sep 2016 12:16:00 +0100Totem poll: users of Markit service call for changeMarkit's Totem service has been providing valuations in illiquid inflation derivatives products for the past 11 years, but the recent launch of central clearing for inflation swaps has revived concerns about its valuation methodology http://www.risk.net/derivatives/inflation-derivatives/2417516/totem-poll-users-markit-service-call-change
http://www.risk.net/derivatives/inflation-derivatives/2417516/totem-poll-users-markit-service-call-changeTue, 28 Jul 2015 06:05:00 +0100Inflation derivatives house of the year: HSBCIn a year of limited inflation supply from traditional issuers, HSBC helped unlock a huge flow of swaps - and simultaneously ensured a smooth syndication of the biggest bond ever issued in terms of duration http://www.risk.net/derivatives/inflation-derivatives/2388773/inflation-derivatives-house-year-hsbc
http://www.risk.net/derivatives/inflation-derivatives/2388773/inflation-derivatives-house-year-hsbcMon, 12 Jan 2015 16:01:00 +0000Corporate risk manager of the year: Electricity Supply Board of IrelandBreak clauses in long-dated swaps have become a source of pain for many UK utilities. Syndication of the risk is one way to fix them, but had previously only been tried via a complex repackaging of the trades http://www.risk.net/derivatives/inflation-derivatives/2388486/corporate-risk-manager-of-the-year-electricity-supply-board-of-ireland
http://www.risk.net/derivatives/inflation-derivatives/2388486/corporate-risk-manager-of-the-year-electricity-supply-board-of-irelandMon, 12 Jan 2015 15:29:00 +0000Euro inflation floors hit three-year lowA recent collapse in the price of euro inflation floors has occurred in tandem with a drop in the five-year euro inflation swap rate http://www.risk.net/derivatives/inflation-derivatives/2361339/euro-inflation-floors-hit-three-year-low
http://www.risk.net/derivatives/inflation-derivatives/2361339/euro-inflation-floors-hit-three-year-lowThu, 21 Aug 2014 08:51:00 +0100Eurex and LCH.Clearnet seek OK for inflation swapsCCPs hope to roll out inflation swap clearing early in 2015, but some dealers worry a mandate will follow http://www.risk.net/derivatives/inflation-derivatives/2360450/eurex-and-lchclearnet-seek-ok-inflation-swaps
http://www.risk.net/derivatives/inflation-derivatives/2360450/eurex-and-lchclearnet-seek-ok-inflation-swapsTue, 19 Aug 2014 00:16:00 +0100UK utilities weigh creative inflation-hedge revampsHedge restructuring would see risk transferred to investors via new RPI-linked bonds in a solution that was first applied by Electricity North West http://www.risk.net/derivatives/inflation-derivatives/2359419/uk-utilities-weigh-creative-inflation-hedge-revamps
http://www.risk.net/derivatives/inflation-derivatives/2359419/uk-utilities-weigh-creative-inflation-hedge-revampsFri, 08 Aug 2014 10:18:00 +0100Australia inflation swap market moribund despite price rise expectationsSeven years ago inflation swaps dominated the Australian inflation market but now the market has become illiquid with most activity on physical inflation-linked bonds. Why has the market made a 180 degree turn and is this the end of the inflation swap market in the region? http://www.risk.net/derivatives/inflation-derivatives/2340869/australia-inflation-swap-market-moribund-despite-price-rise-expectations
http://www.risk.net/derivatives/inflation-derivatives/2340869/australia-inflation-swap-market-moribund-despite-price-rise-expectationsWed, 23 Apr 2014 15:38:00 +0100CME said to have shelved inflation futures planDealer resource constraints and an apparent lack of demand from the buy side have derailed CME Group's efforts to launch two new US inflation futures contracts, according to market participants http://www.risk.net/derivatives/inflation-derivatives/2340727/cme-said-have-shelved-inflation-futures-plan
http://www.risk.net/derivatives/inflation-derivatives/2340727/cme-said-have-shelved-inflation-futures-planTue, 22 Apr 2014 12:56:59 +0100Inflation derivatives house of the year: BarclaysRegulatory change and uncertainty has had a cooling effect on the inflation derivatives market in 2013, but Barclays stands out for its global reach http://www.risk.net/derivatives/inflation-derivatives/2319052/inflation-derivatives-house-year-barclays
http://www.risk.net/derivatives/inflation-derivatives/2319052/inflation-derivatives-house-year-barclaysMon, 13 Jan 2014 16:06:00 +0000'Don't make us clear inflation swaps,' dealers pleadMarket is too concentrated to cope with a default, participants warn http://www.risk.net/derivatives/inflation-derivatives/2318505/dont-make-us-clear-inflation-swaps-dealers-plead
http://www.risk.net/derivatives/inflation-derivatives/2318505/dont-make-us-clear-inflation-swaps-dealers-pleadThu, 12 Dec 2013 13:33:00 +0000Eurex, CME and NYSE Liffe weigh long-dated inflation futuresPension funds look for alternatives to OTC inflation swaps, as clearing services remain on the drawing board http://www.risk.net/derivatives/inflation-derivatives/2286109/eurex-cme-and-nyse-liffe-weigh-long-dated-inflation
http://www.risk.net/derivatives/inflation-derivatives/2286109/eurex-cme-and-nyse-liffe-weigh-long-dated-inflationFri, 02 Aug 2013 10:25:00 +0100LPI swaps with a smileInflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and Xavier Charvet propose a simple framework for pricing LPI swaps using the Gaussian Copula that gives a handle on these features – and better fits the data http://www.risk.net/derivatives/inflation-derivatives/2269028/lpi-swaps-with-a-smile
http://www.risk.net/derivatives/inflation-derivatives/2269028/lpi-swaps-with-a-smileTue, 21 May 2013 16:06:00 +0100LPI swaps with a smileInflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and Xavier Charvet propose a simple framework for pricing LPI swaps using the Gaussian Copula that gives a handle on these features – and better fits the data http://www.risk.net/derivatives/inflation-derivatives/2257631/lpi-swaps-smile
http://www.risk.net/derivatives/inflation-derivatives/2257631/lpi-swaps-smileThu, 18 Apr 2013 15:42:00 +0100BoJ target leaves Japan inflation swap market unmovedDoubling Japan's inflation target has been viewed as a big deal internationally but players on the ground say the impact on the domestic inflation market has been limited http://www.risk.net/derivatives/inflation-derivatives/2239716/boj-target-leaves-japan-inflation-swap-market-unmoved
http://www.risk.net/derivatives/inflation-derivatives/2239716/boj-target-leaves-japan-inflation-swap-market-unmovedWed, 30 Jan 2013 05:51:00 +0000A year of market movement and trading opportunitiesUS inflation markets have been through some major events in 2012, including the launch of open-ended quantitative easing and knock-on effects from the forced unwind of Greek asset swaps. Against a backdrop of continued economic uncertainty, a raft of new rules are set to come into effect in 2013. Sponsored by BGC Partners and convened by Risk, leading inflation experts discuss how the inflation market has reacted – and what the future holds http://www.risk.net/derivatives/inflation-derivatives/2236208/a-year-of-market-movement-and-trading-opportunities
http://www.risk.net/derivatives/inflation-derivatives/2236208/a-year-of-market-movement-and-trading-opportunitiesMon, 14 Jan 2013 16:01:00 +0000Huge RPI swaps move catches market flat-footedSome dealers said to have suffered losses after surprise decision to leave RPI methodology unchanged http://www.risk.net/derivatives/inflation-derivatives/2235850/huge-rpi-swaps-move-catches-market-flat-footed
http://www.risk.net/derivatives/inflation-derivatives/2235850/huge-rpi-swaps-move-catches-market-flat-footedFri, 11 Jan 2013 15:17:00 +0000Sponsored statement: IBMMark-to-future simulations, enriched with market calibration against interest rates and with inflation adjustment of portfolio returns, add value to long-term investment decision-making by embedding the time value of money into investors’ preferences http://www.risk.net/derivatives/inflation-derivatives/2228653/sponsored-statement-ibm
http://www.risk.net/derivatives/inflation-derivatives/2228653/sponsored-statement-ibmFri, 30 Nov 2012 11:16:00 +0000Lack of inflation clearing could hit LDI communityOffsets in liability-driven investment portfolios would be eliminated if firms choose to clear interest rate hedges – potentially forcing them away from inflation swaps. By Nick Sawyer http://www.risk.net/derivatives/inflation-derivatives/2227613/lack-inflation-clearing-could-hit-ldi-community
http://www.risk.net/derivatives/inflation-derivatives/2227613/lack-inflation-clearing-could-hit-ldi-communityWed, 28 Nov 2012 00:05:00 +0000Quadratic Gaussian inflationQuadratic Gaussian models are particularly amenable to analytic solutions, and so have become popular for rates modelling. Here, Manlio Trovato, Diana Ribeiro and Hringur Gretarsson extend the approach to inflation, and show that realistic smile and convexity corrections can be obtained http://www.risk.net/derivatives/inflation-derivatives/2213915/quadratic-gaussian-inflation
http://www.risk.net/derivatives/inflation-derivatives/2213915/quadratic-gaussian-inflationWed, 03 Oct 2012 10:28:40 +0100Quadratic Gaussian inflationQuadratic Gaussian models are particularly amenable to analytic solutions, and so have become popular for rates modelling. Here, Manlio Trovato, Diana Ribeiro and Hringur Gretarsson extend the approach to inflation, and show that realistic smile and convexity corrections can be obtained http://www.risk.net/derivatives/inflation-derivatives/2201843/quadratic-gaussian-inflation
http://www.risk.net/derivatives/inflation-derivatives/2201843/quadratic-gaussian-inflationMon, 03 Sep 2012 16:30:17 +0100Risk 25 firms of the future: Newedge
http://www.risk.net/derivatives/inflation-derivatives/2189448/risk-25-firms-future-newedge
http://www.risk.net/derivatives/inflation-derivatives/2189448/risk-25-firms-future-newedgeWed, 01 Aug 2012 20:41:00 +0100Italy downgrade triggers inflation bond sell-offMoody's downgrade forces Italian linkers out of index http://www.risk.net/derivatives/inflation-derivatives/2191918/italy-downgrade-triggers-inflation-bond-sell
http://www.risk.net/derivatives/inflation-derivatives/2191918/italy-downgrade-triggers-inflation-bond-sellTue, 17 Jul 2012 09:49:00 +0100Sponsored forum: InflationPolicy-makers in Europe and the UK are pursuing a policy of austerity, but calls for measures to stimulate growth are getting louder. Meanwhile, new execution and clearing regulations are coming into force. How are inflation markets responding to these changes? Risk and BGC Partners convened seven leading inflation experts in London to discuss these issues http://www.risk.net/derivatives/inflation-derivatives/2188301/sponsored-forum-inflation
http://www.risk.net/derivatives/inflation-derivatives/2188301/sponsored-forum-inflationMon, 02 Jul 2012 12:58:00 +0100Del Missier: "status quo won't work" for long-dated tradesDealers will have to change the way they approach long-dated derivatives business, says Barclays Capital’s Jerry del Missier http://www.risk.net/derivatives/inflation-derivatives/2145571/del-missier-status-quo-wont-work-long-dated-trades
http://www.risk.net/derivatives/inflation-derivatives/2145571/del-missier-status-quo-wont-work-long-dated-tradesFri, 10 Feb 2012 17:43:35 +0000ECB in talks with dealers on buying inflation-linked bondsDealers will present their case as to why the ECB should buy linkers as well as nominal bonds in a conference call today http://www.risk.net/derivatives/inflation-derivatives/2140908/ecb-talks-dealers-buying-inflation-linked-bonds
http://www.risk.net/derivatives/inflation-derivatives/2140908/ecb-talks-dealers-buying-inflation-linked-bondsTue, 24 Jan 2012 14:05:00 +0000Dealers call for ECB to buy inflation bonds as Italy faces exit from key indexFurther downgrades for Italy would cause its inflation-linked bonds to drop out of a Barclays Capital index, prompting mass selling by fund managers, dealers fear http://www.risk.net/derivatives/inflation-derivatives/2135899/dealers-call-ecb-buy-inflation-bonds-italy-faces-exit-key
http://www.risk.net/derivatives/inflation-derivatives/2135899/dealers-call-ecb-buy-inflation-bonds-italy-faces-exit-keyMon, 09 Jan 2012 00:10:00 +0000Sponsored forum: US inflation derivativesThere continues to be uncertainty about the direction of US inflation, particularly given the latest attempts by the Federal Reserve to stimulate growth, known as Operation Twist. This uncertainty is encouraging a broader range of investors and hedgers to enter the US inflation derivatives market, according to senior inflation experts in a panel discussion sponsored by BGC Partners in New York recently http://www.risk.net/derivatives/inflation-derivatives/2131173/sponsored-forum-us-inflation-derivatives
http://www.risk.net/derivatives/inflation-derivatives/2131173/sponsored-forum-us-inflation-derivativesThu, 08 Dec 2011 13:30:00 +0000US inflation market divided on huge 30-year Tips shortA big short position in 30-year Treasury inflation protected securities backfired at the end of June. Traders say the strategy – driven by the end of the second round of quantitative easing – made some sense, but the size of the bet didn’t. Mark Pengelly reports http://www.risk.net/derivatives/inflation-derivatives/2095341/us-inflation-market-divided-huge-30-year-tips-short
http://www.risk.net/derivatives/inflation-derivatives/2095341/us-inflation-market-divided-huge-30-year-tips-shortMon, 01 Aug 2011 08:03:17 +0100Morgan Stanley Tips bet 'made sense', dealers sayBig curve flattening bet attributed to Morgan Stanley was reasonable, traders say - one rival exited similar position just in time http://www.risk.net/derivatives/inflation-derivatives/2095922/morgan-stanley-tips-bet-made-sense-dealers-say
http://www.risk.net/derivatives/inflation-derivatives/2095922/morgan-stanley-tips-bet-made-sense-dealers-sayMon, 25 Jul 2011 01:00:00 +0100Product retrospective: Coupons for inflationIn September 2008, Structured Products published a review of the Merrill Lynch three-year euro and Swiss Franc Inflation Linked Booster, which offered additional coupons depending on the relevant inflation rate http://www.risk.net/derivatives/structured-products/2086523/product-retrospective-coupons-inflation
http://www.risk.net/derivatives/structured-products/2086523/product-retrospective-coupons-inflationMon, 11 Jul 2011 10:43:00 +0100Sponsored statement: Royal Bank of ScotlandA period of uncertainty has followed the global financial crisis, with forecasters differing in their predictions of how inflation will respond. The Royal Bank of Scotland’s Inflation Vortex is one tool that has been deployed to better understand the different inflation scenarios http://www.risk.net/derivatives/inflation-derivatives/2078224/sponsored-statement-royal-bank-scotland
http://www.risk.net/derivatives/inflation-derivatives/2078224/sponsored-statement-royal-bank-scotlandMon, 13 Jun 2011 03:38:43 +0100Life companies try to meet inflation-linked product demandLife companies have spent the past couple of years tightening up exposure
to inflation, but are they ready to meet consumer demand for inflation-linked products? http://www.risk.net/derivatives/inflation-derivatives/2076607/life-companies-try-meet-inflation-linked-product-demand
http://www.risk.net/derivatives/inflation-derivatives/2076607/life-companies-try-meet-inflation-linked-product-demandFri, 03 Jun 2011 18:41:00 +0100Vigilance needed to prevent curse of inflation in Asia
http://www.risk.net/central-banks/monetary-policy/2070337/vigilance-needed-prevent-curse-inflation-asia
http://www.risk.net/central-banks/monetary-policy/2070337/vigilance-needed-prevent-curse-inflation-asiaFri, 06 May 2011 18:58:00 +0100Investors buy into agricultural land for inflation protectionInvestors are looking to agricultural land as a fertile ground for investment due to increased demand for a protein-rich diet being led by countries such as China and India, as well as for its properties as a hedge against rising inflation. http://www.risk.net/commodities/energy/2070318/investors-buy-agricultural-land-inflation-protection
http://www.risk.net/commodities/energy/2070318/investors-buy-agricultural-land-inflation-protectionFri, 06 May 2011 18:45:00 +0100Sponsored statement: Royal Bank of ScotlandA period of uncertainty has followed the global financial crisis, with forecasters differing in their predictions of how inflation will respond. The Royal Bank of Scotland’s Inflation Vortex is one tool that has been deployed to better understand the different inflation scenarios http://www.risk.net/derivatives/inflation-derivatives/2047080/sponsored-statement-royal-bank-scotland
http://www.risk.net/derivatives/inflation-derivatives/2047080/sponsored-statement-royal-bank-scotlandTue, 03 May 2011 15:41:00 +0100Hong Kong’s iBonds a precursor to inflation-linked structures
http://www.risk.net/derivatives/inflation-derivatives/2042638/hong-kongs-ibonds-precursor-inflation-linked-structures
http://www.risk.net/derivatives/inflation-derivatives/2042638/hong-kongs-ibonds-precursor-inflation-linked-structuresTue, 12 Apr 2011 09:31:16 +0100Thai linker issue pushed back to end of JuneMandate may be awarded to mix of foreign and local banks, PDMO official says http://www.risk.net/derivatives/inflation-derivatives/2038689/thai-linker-issue-pushed-back-end-june
http://www.risk.net/derivatives/inflation-derivatives/2038689/thai-linker-issue-pushed-back-end-juneThu, 31 Mar 2011 07:48:00 +0100Reducing approximation errors in LPI swapsBrody, Crosby & Li (2008) introduced a quasi-analytical method to price limited price index (LPI) swaps with the Jarrow & Yildirim (2003) model. Their method works well for short-term contracts, but the approximation error for long maturities may be far from being negligible. In this article, Joshua Xingzhi Zhang and Fabio Mercurio modify the Brody, Crosby & Li method to reduce approximation error in the worst case to lower than 2 basis points http://www.risk.net/derivatives/inflation-derivatives/2037148/reducing-approximation-errors-lpi-swaps
http://www.risk.net/derivatives/inflation-derivatives/2037148/reducing-approximation-errors-lpi-swapsThu, 24 Mar 2011 16:59:44 +0000Sponsored statement: Société Générale Corporate & Investment BankingRegional markets are changing faster than ever, and investors outside the region are looking to repatriate funds amid growing inflation concerns and profit taking.
Société Générale explains why it is dedicated to thought leadership through research and strategy, as investors find it difficult to track changing market trends http://www.risk.net/derivatives/inflation-derivatives/2034240/sponsored-statement-societe-generale-corporate-investment-banking
http://www.risk.net/derivatives/inflation-derivatives/2034240/sponsored-statement-societe-generale-corporate-investment-bankingTue, 15 Mar 2011 15:45:00 +0000Former Dresdner Banker given record jail sentence for insider dealingChristian Littlewood, his wife and their accomplice illicitly invested more than £2 million over eight years http://www.risk.net/regulation/2027324/former-dresdner-banker-given-record-jail-sentence-for-insider-dealing
http://www.risk.net/regulation/2027324/former-dresdner-banker-given-record-jail-sentence-for-insider-dealingMon, 28 Feb 2011 14:11:13 +0000Financial crisis whets appetite for LDI by German pension fundsGerman corporate pension plans turn their attention to interest rate and inflation hedging
http://www.risk.net/asset-management/insurance/1895411/financial-crisis-whets-appetite-ldi-german-pension-funds
http://www.risk.net/asset-management/insurance/1895411/financial-crisis-whets-appetite-ldi-german-pension-fundsWed, 10 Nov 2010 15:33:00 +0000Sponsored forum: US inflation derivativesThe inflation derivatives market in the US has recently seen a surge in activity, with high-profile trades from North American insurer Fairfax and US investment manager Pimco. Is this the catalyst for further growth? In a forum convened by Risk and sponsored by BGC Partners, a group of senior inflation experts met in New York to discuss the future of the US inflation derivatives market http://www.risk.net/derivatives/inflation-derivatives/1863837/sponsored-forum-us-inflation-derivatives
http://www.risk.net/derivatives/inflation-derivatives/1863837/sponsored-forum-us-inflation-derivativesMon, 01 Nov 2010 11:34:18 +0000Inflation
http://www.risk.net/derivatives/inflation-derivatives/1814183/inflation
http://www.risk.net/derivatives/inflation-derivatives/1814183/inflationMon, 01 Nov 2010 11:18:16 +0000Inflation options popular as investors look for protectionA number of insurance companies and pension funds have bought 0% floors this year amid concerns about deflation. One high-profile trade has received particular attention, encouraging other market players to express their views. But the focus could be about to change to inflation protection. Mark Pengelly reports http://www.risk.net/derivatives/inflation-derivatives/1800211/inflation-options-popular-investors-look-protection
http://www.risk.net/derivatives/inflation-derivatives/1800211/inflation-options-popular-investors-look-protectionMon, 01 Nov 2010 08:35:27 +0000Asset swaps continue to support inflation marketAsset swaps continue to be a key source of inflation supply. But with the pick-up for asset swap investors much lower than it was last year, how successful have dealers been in cultivating new sources of inflation supply? By Christopher Whittall http://www.risk.net/derivatives/inflation-derivatives/1811186/asset-swaps-continue-support-inflation-market
http://www.risk.net/derivatives/inflation-derivatives/1811186/asset-swaps-continue-support-inflation-marketMon, 01 Nov 2010 08:30:22 +0000Cranking up inflation supplyAfter a slowdown in linker issuance last year, Agence France Trésor has upped volumes in response to renewed investor demand. Asset swappers are playing a smaller part, with greater interest from domestic banks and European pension funds. By Ned Molloy http://www.risk.net/derivatives/inflation-derivatives/1811561/cranking-inflation-supply
http://www.risk.net/derivatives/inflation-derivatives/1811561/cranking-inflation-supplyMon, 01 Nov 2010 08:24:08 +0000Property derivatives fail to offer hedge options against price collapse The development of a property derivatives market in Asia stalled during the financial crisis of 2007-2008 and has failed to regain any real momentum, presenting a gloomy outlook for the business. But some parties believe the introduction of retail products could transform volumes http://www.risk.net/derivatives/inflation-derivatives/1730805/property-derivatives-fail-offer-hedge-options-against
http://www.risk.net/derivatives/inflation-derivatives/1730805/property-derivatives-fail-offer-hedge-options-againstWed, 01 Sep 2010 16:29:00 +0100