Inflation expectations drive swap positions higher

Inflation swap books at a number of large US fund managers jumped in the second quarter of the year, with the sector’s total reported position hitting its highest level since Risk.net began collecting the data at the start of 2020. Existing large players added to their positions, while other firms came from nowhere – a broad-based surge in involvement that suggests managers are warming to the idea inflation fears may not be transitory. The quarter featured some eye-popping growth for individual firms’ books, such as Legg Mason, Western Asset Management, Alliance Bernstein, Lord Abbett and PGIM.

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