When they spy a money-making opportunity, investment banks tend to move fast. Just days after the UK Government said it was changing pension funds' inflation standard, the banks are already working out how to sell them swaps linked to it.

The change, which means pension schemes' minimum payouts are now linked to the Consumer Price Index rather than the Retail Price Index, could be very significant for the inflation-linked swaps market. Pension funds buy a lot of these swaps to make sure they can always afford to pay pensions no matter what inflation does. But the swaps are all currently linked to RPI.