USD TIPS Enhancements | Weekly Release 3/5/21

Updated the Trsy Bond” comparator for the breakeven inflation, which now uses market convention to default to the correct nominal bond

The “Trsy Bond” has been updated to select the correct nominal bond based on what the market trades. For example, when a new 10-year TIPS is issued, it uses the current 10-year nominal bond until the next 10-year nominal is issued. Then, it switches to use this “Trsy Bond” until the TIPS bond matures. This means, the “Trsy Bond” comparator switches only once throughout the lifetime of the TIPS bond.

Previously, the “Trsy Bond” matched the TIPS bond to the nominal bond based on maturity.

To reset the Comp Trsy column, select the column. <Right Click> and select “Reset Trsy Bonds”.

  • LinkedIn - Black Circle
  • Twitter - Black Circle

RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

Copyright © 2020 RiskVal Financial Solutions, LLC. All rights reserved.