Huge RPI swaps move catches market flat-footed

inflation-road-sign

The decision not to change the calculation methodology for the UK's retail prices index (RPI) yesterday caused the biggest move in inflation markets since 1987, traders say – a jump of between 30 and 40 basis points along the curve, which is thought to have caught out a number of dealers that had built short RPI swap positions.

"Looking at the way that move happened, it's my belief the Street was the biggest short, rather than hedge funds or real money participants," says Kari Hallgrimsson, head

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

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: