AUSTRALIA - Barclays Capital has launched an index in a bid to provide a solution for obtaining liquid inflation exposure in markets where access to inflation-linked instruments is illiquid or non-existent.
It said the product was based on a proprietary model that dynamically replicates inflation measures of a target country at various horizons, using a combination of liquid inflation swaps from the US, UK and EUR, achieving high correlations.
The optimised weights are then applied to the Barclays Capital US, UK and EUR Inflation Swap Indices, resulting in an inflation swap index for the illiquid target country, it added.
Inflation-Linked and Fixed Income Index Derivatives product manager Ralph Segreti said: "The INSPIRE Index framework provides a cost-efficient solution to investors wanting to gain exposure or hedge against Australian inflation."
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