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.
