AUD TIPS Enhancement | Weekly Release 1/24/20

Created a TIPS CMT Real Yield curve for AUD inflation traders to conduct relative value analysis against the Constant Maturity Treasury curve

A new TIPS CMT Real Yield curve has been added to the list of available AUD curves (which can be seen in Market ViewCurvesAUD – CMT RY). This curve is constructed using the NSS multi-factor model with the weighted least squares fitting (LSF) procedure.

Of note for the new CMT Real Yield curve, AUD TIPS are quoted with inflation included in the price, so the curve is fitted with inflation factored in as well.

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