Central banks are holding down interest rates in an attempt to spur growth, and some parts of the fixed-income markets have entered the weird terrain of negative rates. This is sparking a modelling arms...
Extra inflation hedging demand driving split between derivatives and cash market pricing
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More Floor articles
Investors seeking low-risk investments have always been attracted to floating-rate notes (FRNs), and increasingly to the floored and collared variety, according to the latest investment quarterly report from RBC Wealth Management. “The interest rate...
Floored and capped floating-rate notes have become increasingly popular with investors seeking low-risk investments.
Hedge funds seeking protection against deflation and dealer hedging of residual short floor positions are cited as the reasons for a rise in prices on euro zero-coupon inflation options.
The inflation market has had a challenging few months. In particular, many dealers were hurt by short positions in 0% inflation floors, causing sizeable losses for some firms. Sponsored by BGC Partners, Risk convened a panel of major inflation dealers...
Tricky market conditions in inflation volatility, exacerbated by dealers’ structural hedging activity around 0% year-on-year inflation floors, have created a market rife with opportunities. But few clients are taking advantage. Mark Pengelly reports...
A drop in inflation expectations last year sent dealers scrambling to hedge their exposures to 0% floors embedded in structured products, causing a massive dislocation in the inflation swaps market. Have dealers now covered their exposures? By Alexander...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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