MassMutual exited inflation hedges in Q2

Counterparty Radar: Closure of $1.5 billion book dealt a blow to BNP Paribas’s dealer ranking

Exit-sign

Massachusetts Mutual Life closed out its inflation hedges in the second quarter, becoming the first major US life insurer to entirely withdraw from the space.

The Springfield, Massachusetts-based firm had a $1.5 billion book of inflation swaps – the third largest among US life insurers – at the end of Q1. That dropped to zero at the end of June, according to industry filings.

While other investors such as mutual funds and exchange-traded funds have drastically cut their inflation swap holdings

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Digging deeper into deep hedging

Dynamic techniques and gen-AI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain

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