US inflation traders consider swap methodology change

Banks weighing up move to non-interpolated standard to cut capital costs

Sailing boat
Changing tack: US inflation market considering rate calculation change

Banks are examining changing how the US inflation swap market is traded to help better offset trades and cut capital costs.

A structural nuance in the US inflation swap market means a trade executed today cannot be offset with one done tomorrow; in contrast, under the UK and European approaches, all trades done in the same month, as defined by roll dates, can be set off against each other. This creates unnecessary extra line items for US inflation swap businesses, and increases leverage

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

New investor solutions for inflationary markets

Geopolitical risks, price volatility, clashing cycles, higher interest rates – these are tough times for economies and investors. Ahead of the 2022 Societe Generale/Risk.net Derivatives and Quant Conference, Risk.net spoke to the bank’s team about some…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here