EUR TIPS Enhancements | Weekly Release 2/28/20

Enhancement #1


Added standard tabs and set default country+index in Blotter tab


Traders can now create default tabs that have one country and index in the EUR TIPs sheet by clicking “Tabs” then “Create Standard Tabs”. In the following pop-up window select which country+index combinations to create tabs for then click “Create”. This will allow traders to separate the individual countries inflation bond lists as well as divide France and Italy between their local and international EUR inflation indexes.


Of note: the default “Blotter” tab will now include all countries and their international CPI indexes (omitting only France and Italy local inflation bonds).


Enhancement #2


Updated the CMT RVS calculation and historical data


CPI Curve Spot Yield (“Yld”)

  • The yield implied by the inflation-adjusted cash flows and the inflation-adjusted market price.

CMT RVS

  • Calculated as the difference between the CPI Curve Spot Yield and the inflation-adjusted model yield on the corresponding CMT curve.

  • Inflation-adjusted model yield is calculated by discounting inflation-adjusted cash flows on the CMT curve, to imply the model yield. Especially, for ITL, it uses CMT High Coupon Curve.

CMT RVS LOW

  • Uses the similar calculation as "CMT RVS"

  • Only applies to ITL bonds, and uses the Italy Low Coupon CMT Curve


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