US inflation market divided on huge 30-year Tips short

When Tips don't pay

Com Crocker

Inflation derivatives markets are no longer a land of extremes. In 2010, market participants fretted about two distinct but equally worrying scenarios – deflation on one hand, and runaway inflation on the other. Among other things, those fears sparked massive interest in zero-coupon inflation caps and floors, including several large trades between California-based asset manager Pimco and Toronto-based insurer Fairfax Financial (Risk November 2010, pages 42-44).

Since the US Federal Reserve launc

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