CCY TIPS Enhancements | Weekly Release 11/15/19

Enhancement #1

[EUR only] Added the ability to configure different pricing sources for each country (also available in EUR TBill and EUR SSA sheets)


To set the pricing source, you can click on “Preferences” – “Edit PCS…”


In the pop-up, you can set the PCS for each country separately to have the most accurate pricing source.


To see which data feeds you have available, you can go to your Bloomberg screen, enter the bond followed by “ALLQ”.

Enhancement #2

Enhanced Carry Adjusted Breakeven Inflation analysis by adding the corresponding rich-cheap heatmap and z-score columns


Looking at the Z-score, traders can see how far from the mean in standard deviations the bond’s BEI is, assuming three-month history. The trader can see the trend and where each BEI with carry adjustment falls relative to the surrounding bonds.

Enhancement #3

Enhanced “Analysis” menu options by adding “RV Analysis”, which functions the same as it does in CCY Bond (available in EUR, GBP, and USD)


Based on the selected metric, the trader can generate the best and worst strategies. To go further, the trader can send these to the Sprd/Bfly window or Swap Box for additional monitoring.


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