TIPS Enhancements | Weekly Release 6/12/20

Enhancement #1

Added Forward Seasonality Adjusted Real Yield and Forward Seasonality Forward Break-Even columns based on trader’s custom fwd date

Two columns have been added for enhanced forward analysis in the CCY TIPS sheets, the seasonality adjusted forward real yield (SA FRYld) and the seasonality adjusted forward BEI (FBEI). This enhancement expands upon the existing support for seasonally adjusted and forward space measures for TIPS. The following example shows the USD TIPS sheet with the new columns added and a forward date of 3 months.

To add the corresponding columns, click “Table” – “Manage Columns” and search “SA F” to highlight all both the “SA FRYld” and “SA FBEI” columns. Add said columns from “Available Columns” to “Displayed Columns” in the preferred location and click “Save”. Once the columns have been added, enter a date in the “Fwd Dt” box to forward to.

Enhancement #2

Added three new columns to estimate carry: carry adjusted BEI change on day, BEI carry daily, real yield carry daily

Three new daily carry columns have been added to compliment the corresponding live level columns. These columns are “Carry Adj dBEI”, “RYld C Daily”, and “BEI C Daily”.

  • Carry Adj dBEI = BEI minus the repo forward BEI from T-1 to T

  • BEI C Daily = Repo forward BEI from T - 1 to T minus BEI on T-1

  • RYld C Daily = Repo forward real yield from T-1 to T minus the real yield on T-1

The following example shows the new columns added in the USD TIPS sheet.

Enhancement #3

Expanded the lower panel graph to include Season Adjusted Real Yield as an available option to visualize inflation bond performance across the curve

Traders can see the Seasonality Adjusted Real Yield of each inflation bond and how it compares with its surrounding bonds to spot potential outliers.

Enhancement #4

Added new formatting options to sort securities and customize row header format

1. The first new method of organization is under a new drop-down menu called “Format” which allows for all securities to be labeled as either “Ticker Coupon DD-MM-YYYY” or “Ticker Coupon MM/DD/YYYY” (the same as the option in USD Bond).

This lets traders shift between the European dating convention and American dating convention. The screenshot below shows where to find the “Format” drop-down and option to select the dating convention.

2. The second sorting option has been expanded from being exclusive to EUR TIPS to all CCY TIPS sheets.

Under the “Sort” drop-down menu traders can choose to either sort by Maturity Ascending (soonest to mature TIPS at the top of the sheet) or Maturity Descending (soonest to mature TIPS at the bottom of the sheet).


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