Discount Rate Monthly Report: January 2024
Please find below the Yield Curve for January 2024. Overall the yields are flat relatively to December’s Yield Curve but we have noted a number of inflections across the curve in January. We noted that the DMO auction happened really late in the month with a settlement date of 31 January compared with the typical mid month settlement dates. The SW model only computed when averaging was done over the 4 longest bonds. There are more details in the notes but do let us know if you have any comments.
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