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Brazil has had historically two sets of inflation bonds, the NTN-B and NTN-C series each with a different inflation index. The NTN-C is no longer issued.

When creating historical break even inflation (BEI) curves for Brazil what is the standard practice? Do we create two separate curves or combine both series some how?

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yes: from what I can recall, Deutsche use separate curves for IGP-M(NTN-C) vs IPCA(NTN-B). Note also that the BEIR doesn’t predict future inflation very well, one of the reasons being that unlike other markets, the indexation lag of Brazilian real bonds is very small (only a half month, the lag for TIPS is 3mths), and that certain points on the inflation swap curve are very very illiquid. Certain tweaks need to be made to the usual inflation swap pricing methodology.

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