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CCY TIPS Enhancement | Weekly Release 3/8/2024

Added column to show the carry adjustment component of Carry Adjusted BEI

 

Carry adjusted BEI is shown in the “Carry Adj BEI” column. Live Carry Adj BEI = the BEI on T. Historical Carry Adj BEI = BEI + cumulative carry from the historical date to (T-1).

 

T+0 (today) Carry Adj BEI = BEI

T-1 (yesterday) Carry Adj BEI = BEI (T-1) + 1D Carry

T-2 Carry Adj BEI = BEI (T-1) + 2D Carry

 

In this week’s release, a new column, labeled “BEI Carry Adj”, has been added to show this carry component. Essentially, it is the spread between “BEI” & “Carry Adj BEI” columns.



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