Inflation-linked products

Losing the asset swap lifeline?

A price difference between inflation-linked and nominal bonds last year created a huge opportunity for real-money investors to benefit through asset swaps. Now the opportunity has diminished, how important are asset swap investors in providing inflation…

Inflation issuers face Greek fallout

Issuance of sovereign inflation-linked bonds is expected to reach record highs this year as governments struggle with vast fiscal deficits. With investors shaken by the crisis in Greece, however, some issuers may have to draw on the lessons of the crisis…

The inflation pricing conundrum

Fear of a spike in consumer prices has created greater demand for inflation protection from a variety of participants. This has increased the need for inflation pricing and analytics tools – but it is not as simple as tweaking existing models used for…

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

Income and inflation cover

Investec is offering a five-year income product linked to the FTSE 100 with coupons linked to inflation. Capital is not protected at maturity if the 50% barrier is breached at any time during the life of the product

The price is right for inflation

Inflation is rarely out of the headlines these days, whether it is soaring petrol or gas prices, or the price of staple foods such as bread and rice. And this daily flow of news has heightened awareness among retail and high-net-worth investors of the…

Inflation-linker boosters

Merrill Lynch has released two high-scoring inflation products, one based on the euro, one on the Swiss franc. The basic structure is the same for both products, with differences reflecting the relative risk and merits of following the two markets

Inflation is normal

Chris Kenyon introduces normal-based smile models for year-on-year inflation motivated by the observation that market lognormal caplet volatilities of less than 1% imply normality for maturities of up to 30 years. He is also motivated by the range of…

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