Inflation
Fears over strong dollar put Asia’s hedgers on edge
Local corporates look to manage US dollar exposures in response to inflation and Fed tapering concerns
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
People moves: Quarles quits Fed, CS credit team exodus continues, and more
Latest job changes across the industry
Buy-side rates traders staying on sidelines after wild October
Funds cautious after staggering collapse of the year’s steepener trade
Prudential CRO: markets haven’t priced in tail risks
Risk USA: distribution of extreme outcomes “has gotten broader and wider”, says Nick Silitch
Inflation scenarios: tail risks loom for US equities
Portfolios could lose more than one-third of their value if inflation stays high, suggests crowdsourced scenario exercise
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%
FX option selling and weak demand behind vol slide, say traders
EUR/USD vol inches towards pre-Covid lows, but some believe inflation could upset trend
Corporates pre-hedge future bond sales as inflation rises
Companies are making the most of low rates while they last and hedging issuance that’s years away
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Who’s afraid of the RPI-CPIH judicial review?
RPI trading booming as market ignores legal challenge to the transition
Tectonic shift: could RPI transition be the new Libor?
With CPIH set to replace RPI in 2030, some say the move could cost pension funds around £90bn
Cracks start to show in US reflation bets craze
Some hedge funds believe popular bets on rise in US inflation have run out of steam
Inflation derivatives house of the year: NatWest Markets
Risk Awards 2021: warehousing capabilities created competitive edge in illiquid CPI market
Canada pension fund Hoopp goes cool on bonds
$70bn investor rethinks LDI strategy to take into account paltry yield from fixed income
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
Quants worry inflation risks could sink stocks
Research from ex-BoE official Sushil Wadhwani shows stocks may struggle when inflation is high
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
Why a top quant wants to be wrong about markets
Former Pimco quant Rebonato sees weak returns, inflation and sovereign debt troubles ahead
Covid-19 and the credit cycle
The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record long benign credit cycle to a stressed one, with still uncertain dimensions. This paper seeks to assess the credit climate…
Statisticians grapple with inflation impact of Covid-19
Collecting reliable inflation figures during lockdown is not straightforward
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