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Before over-engineering the number you wish to impose for locking into your inflation-only hedge you may wish to consider the shortcomings of the measure you are using to compare against the inflation level you have set yourself for hedging. There are two commonly used measures: cash breakevens and inflation swaps. We consider each in turn.
A blog about liability driven investment. Together we can create better pension outcomes by reducing information asymmetry.
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Showing posts with label hedging. Show all posts
Showing posts with label hedging. Show all posts
Monday, 23 April 2012
Caveat emptor: triggers linked to inflation rates
Labels:
bond breakevens,
breakeven inflation,
Fisher equation,
funding,
hedging,
inflation,
inflation swaps,
investment,
LDI inflation triggers,
real yields,
RPI,
RPI swaps,
triggers,
UK
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