Floor
US insurers and pension funds seek to hedge deflation
Published online only
Extra inflation hedging demand driving split between derivatives and cash market pricing
Published online only
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...
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Floored and capped floating-rate notes have become increasingly popular with investors seeking low-risk investments.
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More Floor articles
Protection on long-term deflation hits highest levels since 2008
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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.
US inflation options sponsored forum: Recovery and development
Published online only
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...
Opportunity knocked
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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...
Less than zero
Published online only
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...
QIS3 results released by Basel Committee
Published online only
A paper outlining the results of the third quantitative impact study (QIS3) was released by the Basel Committee on Banking Supervision yesterday.
Back to the floor
Published online only
Australia’s major banks are all targeting the advanced measurement approach for calculating operational risk capital under the new Basel Accord. As such, the concept of a floor is proving irksome, writes Nick Sawyer.
Compromises allow Basel II to progress
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The Basel Committee on Banking Supervision said last month that there were no substantial issues remaining with the complex Basel II capital Accord, after a series of compromises involving the capital treatment of loans to small and medium-sized enterprises...
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