Inflation-linked products
Pensions face RPI-CPI basis risk
Pension pricing peril
Barclays launches retirement notes as retiree assets expected to hit $1 trillion per year
Barclays has created notes to provide regular income for pensioners as the 'baby boomer' generation reaches retirement.
Korean linker volumes soar after introduction of deflation floors
The resumption of issuance of government linkers, which now include deflation floors, should aid the development of inflation derivatives in South Korea
Pension funds face huge bill from UK indexing change, analysts warn
Using CPI instead of RPI was intended to save money - but could end up costing UK pension funds billions
Investors see opportunities in index-linked gilts as inflation rises
With inflation continuing to trend higher than the Bank of England’s target rate, index-linked gilts are growing increasingly attractive to investors.
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…
Risk Inflation Forum 2010
A roundtable on inflation and inflation derivatives hosted by Risk magazine editor Nick Sawyer.
More to play for
Harry Harrison, head of rates trading at Barclays Capital, talks to Alexander Campbell
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
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…
More is less
Inflation
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
Convexity adjustments in inflation-linked derivatives
Dorje Brody, John Crosby and Hongyun Li value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed…
Topsy curvy
Interest Rates
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…