Inflation markets
Inflation hedging: How the Dutch pension sector is moving its focus from nominal to real liabilities
The Dutch pension sector has long-held a focus on nominal liabilities but both schemes and regulators are investigating whether a move to assessing real liabilities would be a step forward.
The asset swap lifeline
The financial crisis created a major dislocation between inflation-linked and nominal government bonds, resulting in a huge opportunity for investors to benefit through asset swaps. How did banks and their clients respond to this? By Peter Madigan
Opportunity knocked
Tricky market conditions in inflation volatility, exacerbated by dealers’ structural hedging activity around 0% year-on-year inflation floors, have created a market rife with opportunities. But few clients are taking advantage. Mark Pengelly reports
Sponsored statement: Inflation derivatives – history in the making
It has been a roller-coaster ride of a year for inflation-linked products – thanks to the global economic problems that everybody has been encountering, the collapse of Lehman Brothers and the use of quantitative easing by central banks – in their…
JGBis continue to climb as Japan extends buyback programme
Japan’s ministry of finance extends buyback programme to December as bonds improve
Inflation outlook volatile, BoE warns
UK inflation will be “unusually volatile” in the coming months and could fall below 1% in the autumn, the Bank of England said in its quarterly inflation report today.
Yen for yield
Inflation
Targeting inflation
Inflation expectations might be all over the place, but that has not stopped dealers trying to sell inflation-linked structured products. John Ferry looks at what is on offer from an asset class that has always been trickier than others for structured…
Yen for yield
The Japanese government inflation-linked bond market has received a severe battering over the past year. The resulting dislocation has prompted the Ministry of Finance to consider restructuring the market, but what options are on the table? Matt Cameron…
Eurozone dips into deflation, but high inflation still a risk
Inflation in the eurozone turned negative in June for the first time since the single currency was set up in 1999, but rising commodity prices are likely to push inflation back up soon across the world, some analysts believe.
Return of the linker
Inflation
Inflation modelling with SABR dynamics
Fabio Mercurio and Nicola Moreni introduce a new forward Consumer Price Index model that is based on a multi-factor volatility structure and leads to SABR-like dynamics for forward inflation rates. Their approach reconciles zero-coupon and year-on-year…
Less than zero
A drop in inflation expectations last year sent dealers scrambling to hedge their exposures to 0% floors embedded in structured products, causing a massive dislocation in the inflation swaps market. Have dealers now covered their exposures? By Alexander…
Formula, non
The decision by the French government last year to alter its Livret A inflation-linked savings rate formula introduced huge complexity for banks offering Livret A hedges. However, a further change this year has proven to be the last straw, forcing many…
Benefit over the long term
Sponsored Round Table
Seasonally adjusted prices for inflation-linked bonds
Inflation-linked bond markets are used ever more frequently by policy-makers, economists and commentators to assess the market's opinion about the future path of inflation and real yields. But important effects such as seasonality and carry are often…