Pensions face RPI-CPI basis risk

Pension pricing peril

daragh-mcdevitt

An announcement by the UK government in July that a chunk of the pensions market will use the consumer price index (CPI) rather than the retail prices index (RPI) to calculate annual increases in pension payments sent inflation markets into a spin. Thirty-year inflation swaps dropped by around 15 basis points in the days following the announcement, as market participants struggled to make sense of what it would mean for the hedging of pension liabilities and the inflation market as a whole

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here