First CAD, yen inflation swaps appear in mutual fund filings

Counterparty Radar: Western Asset slashed inflation bets in Q4 as Empower probes new frontiers

Empower yen

Retirement services provider Empower is behind the first Canadian dollar and yen-denominated inflation swaps executed by a US mutual fund since at least 2020.

The Empower Core Bond Fund – which invests primarily in mortgage-backed securities, US Treasuries and corporate bonds – entered a yen inflation swap with Morgan Stanley and two Canadian dollar trades with JP Morgan in the fourth quarter of 2022. The yen trade had a notional value of approximately $4.7 million, while the two Canadian

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