TIPS Enhancements | Weekly Release 6/19/20

Enhancement #1


Added the ability to create spread, butterfly, and multi-graphs in the “Fwd BEI/RYld Matrix” in the Analysis window

This enhancement to the Fwd BEI/FRyld Matrix allows traders to create historical graphs of TIPS bonds forwarded to the dates of other inflation securities using BEI, SA BEI, Real Yield, and SA Real Yield forward measures.

To create spread, butterfly, or multi-graphs here first navigate to the window by clicking Analysis then “Fwd BEI/RYld Matrix”.

Then highlight two or more securities within the same row or column. Right click on the selected securities and click either “Sprd Graph”, “Bfly Graph”, or “Multi Graph”.

Traders can either plot two or more TIPS forwarded the same date (of another security) or one TIPS forwarded to the maturity dates of multiple securities.

Enhancement #2


Enhanced the lower panel graph such that inflation traders can visualize spot and fwd performance side-by-side for both seasonally adjusted breakeven inflation, as well as seasonally adjusted real-yield

Traders can now simultaneously plot either the SA BEI and SA FBEI or the SA RYld and SA FRyld. The inclusion of these measures in the lower panel graph expands upon the existing functionality of the TIPS sheets which previously only had this information in column format. Traders can now plot both spot and forward graphs for these measures and easily identify patterns among the different issuances.

To view these graphs traders must have both columns in each pair in their column layout first. Once both columns in the pair have been added to the layout, traders can enter in a forward date in the “Fwd Dt” box.

Lastly, to view the graphs, click the drop-down in the top right next to “Graph” and choose either “SA BEI + SA FBEI” or “SA RYld + SA FRYld”.

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