Deutsche Bank announced today the launch of the DB Market-Implied US Inflation Rate Index (Bloomberg ticker: DBLNBEY), the first index to offer investors an overall measure of inflation expectations implied by the difference in yields between US Treasury Inflation-Protected Securities (TIPS) and US Nominal Treasuries. As of January 13, 2012, the index is forecasting future overall inflation of 1.91% per annum.
This rules-based index is designed to reflect overall future inflation expectations based on the most liquid TIPS, and broadly represents the implied expectations from the entire TIPS market. It was built as a weighted average of the 5-year, 10-year and 30-year on-the-run TIPS breakeven rates. The breakeven rates are the difference between the real yield of the corresponding TIPS and the unadjusted yield of the Treasury with closest maturity date.
“This benchmark index offers a straightforward way to track market inflation expectations, and we expect it will be a significant barometer for the industry at a time when inflation concerns cannot be overlooked,” said Aram Flores, Head of Index Research for the Americas.
The DB Market-Implied US Inflation Rate Index represents the latest addition to the DBIQ Index family of benchmark fixed-income indices. The DBIQ Index family includes indices covering the global fixed income, FX and commodities asset classes.
Full details of the DB Market-Implied US Inflation Rate Index can be found at http://index.db.com/