US inflation market divided on huge 30-year Tips short

A big short position in 30-year Treasury inflation protected securities backfired at the end of June. Traders say the strategy – driven by the end of the second round of quantitative easing – made some sense, but the size of the bet didn’t. Mark Pengelly reports

Com Crocker

Inflation derivatives markets are no longer a land of extremes. In 2010, market participants fretted about two distinct but equally worrying scenarios – deflation on one hand, and runaway inflation on the other. Among other things, those fears sparked massive interest in zero-coupon inflation caps and floors, including several large trades between California-based asset manager Pimco and Toronto-based insurer Fairfax Financial (Risk November 2010, pages 42-44).

Since the US Federal Reserve

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New investor solutions for inflationary markets

Geopolitical risks, price volatility, clashing cycles, higher interest rates – these are tough times for economies and investors. Ahead of the 2022 Societe Generale/Risk.net Derivatives and Quant Conference, Risk.net spoke to the bank’s team about some…

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