Inflation Derivatives House of the Year - BNP Paribas


There hasn't been a year like 2008 in the short history of the inflation derivatives market. In the US, one-year inflation swap prices dropped from 1% to -3% in a crazy three-week period in October, having been as high as 3.8% in June. In Japan, the five-year swap price had been hovering at around -0.5% for the first few weeks of November, before plunging to -3% by December 10. Meanwhile, swaps in the UK broke through the top end then doubled back to break through the bottom end of one of the ma

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