Inflation
Quadratic Gaussian inflation
Quadratic Gaussian models are particularly amenable to analytic solutions, and so have become popular for rates modelling. Here, Manlio Trovato, Diana Ribeiro and Hringur Gretarsson extend the approach to inflation, and show that realistic smile and…
New governor signs revised policy target agreement in New Zealand
The Reserve Bank of New Zealand’s policy targets agreement will come into effect on the same day Graeme Wheeler takes over as governor; document includes "stronger focus" on financial stability
Quadratic Gaussian inflation
Quadratic Gaussian models are particularly amenable to analytic solutions, and so have become popular for rates modelling. Here, Manlio Trovato, Diana Ribeiro and Hringur Gretarsson extend the approach to inflation, and show that realistic smile and…
Italy downgrade triggers inflation bond sell-off
Moody's downgrade forces Italian linkers out of index
Outflows for gold ETPs despite high equity market volatility
During May 2012 the price of gold dropped over 6% and investors withdrew over €1 billion from gold ETPs
Lookback
Structured Products casts an eye over some of the more noteworthy findings to affect the industry during the past month
Downgrade doomsday: utilities fear swap dealer shortage
Tough ratings criteria for utility securitisations mean they could be left short of swap counterparties. Utilities are worried they could face downgrades as a result – and potentially be stripped of their licences. Matt Cameron reports
ETFs provide inflation hedge for Asia investors
With inflation-linked government bond markets still in their infancy in Asia, regional investors are turning to precious metals, commodities and other real assets to protect portfolios against rising prices. Exchange-traded products are emerging as an…
Del Missier: "status quo won't work" for long-dated trades
Dealers will have to change the way they approach long-dated derivatives business, says Barclays Capital’s Jerry del Missier
Indexed to inflation, linked to the FTSE 100
Protean Investments’ debut offering to UK retail investors delivers returns based on the rise in the Retail Price Index, with return of capital dependent on the FTSE 100 staying above 50% of its initial level
Dealers call for ECB to buy inflation bonds as Italy faces exit from key index
Further downgrades for Italy would cause its inflation-linked bonds to drop out of a Barclays Capital index, prompting mass selling by fund managers, dealers fear
Sponsored statement: UniCredit
After the cut in the prime lending rate to 1.25% by the European Central Bank, and with the inflation rate in Germany at 2.4% in November 2011, real returns are clearly negative. Consequently, investors are searching for products that are less affected…
CPI-linked gilts will not be issued next year, says government
Concerns over unsustainable demand and market fragmentation halt issuance of gilts linked to consumer price index
Inflation estimate errors costing defined benefit sponsors £50 billion
Overestimated inflation projections could be costing UK defined benefit scheme sponsors more than £50 billion in unnecessary funding commitments, a corporate adviser warns
Société Générale adds to rates strategy team
Alberto Brondolo and Julian Wiseman appointed to expand SG CIB’s global rates research efforts
Morgan Stanley offers inflation-linked income product
Morgan Stanley is offering an inflation-based investment based on the FTSE 100 as well as the UK’s retail prices index. Capital is only at risk if the FTSE falls by more than 50% over the five-year term.
Trichet bows out with new bond purchase scheme
Jean-Claude Trichet unveils a new covered bond purchase scheme; ECB governing council also agreed to hold interest rates and support Jörg Asmussen for governing council post
BoE injects £75 billion to save stalling economy
Bank of England Monetary Policy Committee votes for further round of quantitative easing; increases size of asset purchase programme to £275 billion
Footloose and FTSE-free
Switching from FTSE 100-linked structures to commodity-based plays and emerging markets exposures has helped Merchant Capital achieve impressive sales this year. Magda Ali hears about the benefits of taking a chance on new themes
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…
Morgan Stanley Tips bet 'made sense', dealers say
Big curve flattening bet attributed to Morgan Stanley was reasonable, traders say - one rival exited similar position just in time
Iranian public votes on currency reform
Preliminary results show name of currency will change and four zeros will be removed from value