The refunding is a
matched maturity refunding with final maturity in December 2037.
We also consider an efficient market specification whereby all information available to the bidder prior to the auction is embodied in the interest rate on the matched maturity instrument prevailing in the market the day before the auction
For bonds, the information contained in the previous auction of the matched maturity instrument does not add to the information set of the bidders.
Initially tpSWAPDEAL, which forms part of Tullett Prebon's rapidly expanding electronic broking services, will support trading in Euro denominated IRS, gap and butterfly strategies,
matched maturity futures spreads, and tenor basis swaps.
Moreover, the authors find evidence that since their introduction, TIPS have outperformed matched maturity conventional Treasury securities in terms of after-tax returns.
Moreover, we also find that after-tax returns have been higher for TIPS than their matched maturity conventional Treasury security counterparts since the introduction of the former securities.
Advocates of TIPS have suggested that measures of the spread between yields on TIPS and
matched maturity conventional Treasury issues might provide a new and more direct measure of inflation expectations.
Interest rates play an important role in the LEI: an inverted Treasury bond yield curve and a high spread between short-term commercial paper and Treasury bills of a
matched maturity are statistically important precursors of declines in overall economic activity.
