(Risk.net) - While US mutual funds were quick to shed inflation swap positions as the pace of US price rises began to slow last year, new data shows insurers largely held on to their positions.
Year-on-year measures of the US consumer prices index (CPI) fell from a high of 9.1% in June to 6.5% in December last year. But a new analysis of industry disclosures by Risk.net’s Counterparty Radar service found that the notional volume of US life insurers’ inflation swap positions grew to $12.8 billion by the end.
Counterparty Radar: John Hancock is biggest user of inflation swaps among US insurers, BNPP the largest dealer.
By Michael Paterakis
April 14, 2023
