One Year Ago In Derivatives Week
Global volumes of zero coupon inflation swaps executed by pension funds year-to-date were already equal to 2010 levels, as pensions looked to hedge against the risk of rising prices. Pensions were buying the swaps because they could match their liabilities. The zero-coupon swaps, considered the most vanilla, were for durations of 20-30 years. [Interest rate hedging continued to climb 24% quarter-on-quarter, up to USD15.2 billion hedged by pensions by the end of June. For the first quarter of 2011, pensions hedged USD12.2 billion (DI 8/5)]
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