Inflation swaps
Managing inflation risk with hedging strategies
Dmitry Pugachevsky, director of research at Quantifi, explores how banks manage inflation risk using inflation swaps and inflation-linked bonds as hedging instruments
US life insurers retained inflation hedges despite CPI drop
Counterparty Radar: John Hancock is biggest user of inflation swaps among US insurers, BNPP the largest dealer
First CAD, yen inflation swaps appear in mutual fund filings
Counterparty Radar: Western Asset slashed inflation bets in Q4 as Empower probes new frontiers
Revealed: where banks are (literally) warehousing their swaps
As derivatives notional grows, dealers experiment with novel storage solutions
US mutual funds abandon inflation swaps
Counterparty Radar: Volumes dropped to new lows in Q3 as price expectations cooled
Inflation swaps market for US funds comes to standstill
Counterparty Radar: Goldman Sachs moves to top dealer spot for non-cleared trades
Low pricing of inflation swaps takes buy side by surprise
Dealers expect inflation to peak sooner, but investors remain sceptical
Pension funds foresaw margin meltdown (a decade ago)
Years of warnings went largely unheeded. Questions may now spread to post-crisis clearing and margining project
Don’t fear the repack: why banks will retain inflation swaps role
Counterparties’ increasing use of direct trades does not spell end of intermediation
US mutual funds retreat from inflation hedges
Counterparty Radar: Volumes down 44% as Pimco slashes positions; Western Asset and JP Morgan buck the trend
Franklin Templeton affiliates make inflation play
Counterparty Radar: Western AM, Legg Mason lead way as US funds regain interest in inflation swaps
Risk solutions house of the year: Santander Corporate & Investment Banking
Risk Awards 2022: Multi-jurisdiction transactions saw the bank solve three-way currency conundrum and take on litigation risk
Inflation derivatives house of the year: BNP Paribas
Risk Awards 2022: Bank helps clients target eurozone inflation amid global surge in consumer prices
US mutual funds paused inflation bets in Q3
Counterparty Radar: Uncertainty over inflation appears to have dampened trading activity
Legg Mason, Western AM jump into surging inflation market
Counterparty Radar: AB, Lord Abbett, PGIM also report larger books in Q2, as swap activity ramps up
Inflation swap stampede stirs fears of lopsided market
Soaring demand for inflation hedges leaves dealers struggling to balance exposure
Inflation hedges flat among US funds, while payers surge
Counterparty Radar: Total inflation-receiver positions inched up in Q1, while inflation-paying books leapt 44%
Who’s afraid of the RPI-CPIH judicial review?
RPI trading booming as market ignores legal challenge to the transition
Hedging adviser of the year: Rothschild
Risk Awards 2021: restructuring effort helped Arqiva to slash its derivatives exposures by 40%
Inflation derivatives house of the year: NatWest Markets
Risk Awards 2021: warehousing capabilities created competitive edge in illiquid CPI market
UK inflation reform date to be set in November
RPI switch could happen as early as 2025 to reduce government payouts on gilt linkers, experts suggest
Euro inflation CCP basis expected as Eurex taps buy side
First crop of Eurex inflation swaps trade flat to LCH, but traders predict four-basis point difference as activity builds
Inflation derivatives house of the year: HSBC
UK bank takes CPI to new heights, while using guarantees to get big RPI trades over the line
FVA – Time to go asymmetric?
Despite being introduced over six years ago, there is still no market consensus on how to calculate funding valuation adjustments. One point of contention is whether to use the same funding curve for borrowing and lending (symmetric funding) or to use…