US mutual funds abandon inflation swaps

Counterparty Radar: Volumes dropped to new lows in Q3 as price expectations cooled

Inflation-expectations-cool.

US mutual funds reduced their holdings of inflation swaps in the third quarter of the year as the pace of price increases for consumer goods and services slowed in July and August.

Total exposures dropped to $12.1 billion – the lowest level since Risk.net began collecting this data from US Securities and Exchange Commission filings by mutual funds and exchange-traded funds in early 2020 – from $16.4 billion in the second quarter. The Q3 figure represents a 60% drop from the $29.9 billion peak

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