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Sunday, February 4, 2018

Inflation Swap Liquidity?

I have an open question to any of my readers in the fixed income markets: how liquid are the inflation swap markets nowadays? I did not want to pester my contacts about this. (I want to know whether it is worth sticking a section on inflation swaps in my book.)

Feel free to either comment, or send me an email via the "Contact Me" widget on the desktop version of the website. Let me know whether you want to to be attributed; my default is that I would not mention names. Thanks, in advance...
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  1. AnonymousFebruary 5, 2018 at 11:27 PM

    I can tell you about Aussie liquidity, and it's not great, bid/offers are wide (2/3bps from 'mids'), there is no centralised clearing, funding charges can be an issue, even on CSA agreements, and pricing seasonality is hit and miss. I'd love it to be more standard, but until then it's a bit of a dog's breakfast.

    - Dr NRL

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    1. Brian RomanchukFebruary 6, 2018 at 5:07 PM

      Thanks. Actually, that spread sounds tighter thaI would have guessed based on the Canadian market when I last looked at it some years ago.

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