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Bloomberg Introduces New Fixed Income Pre-Trade TCA Model

Bloomberg has launched a new pre-trade transaction cost analysis (TCA) model that helps market participants to assess trade cost, daily executable volume, and probability of execution. According to a story in The Desk news, the new model provides pre-trade analysis for investment grade and high yield corporate and sovereign bonds across the globe and offers a liquidity tree across various order sizes. In addition to assessing trade costs, clients can analyze daily executable volume and probability of execution to better inform their trading and portfolio construction decisions. Clients can also run scenario analysis by customizing their views on the bond spread and rating, which results in different cost, probability, and volume in potential trading outcomes. The model has been calibrated based on five years of historical trade information, proprietary to Bloomberg taking a variety of factors into account. These include side and size of the order, the real-time Composite Bloomberg Bond Trader (CBBT) bid-ask spread, the amount outstanding, the rating and currency of the bond, and an additional overlay with the bond’s age, term, and time to maturity.

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