Bloomberg Introduces New Fixed Income Pre-Trade TCA Model
Retrieved on:
Wednesday, September 22, 2021
The model has been calibrated based on five years of historical trade information, proprietary to Bloomberg taking a variety of factors into account.
Key Points:
- The model has been calibrated based on five years of historical trade information, proprietary to Bloomberg taking a variety of factors into account.
- PGGM, a Bloomberg Transaction Cost Analysis (BTCA) solution customer, partnered with Bloomberg's trading quant research team to beta test Bloomberg's new pre-trade TCA function.
- "Reliable pre-trade data for fixed-income is scarce, which makes price discovery and proving best execution a challenge," explained Jan-Theo Varkevisser, Global Head of Fixed Income Trading, PGGM.
- "While trade cost models have become the norm in equities, developing a native model in fixed income markets is an exciting step forward to providing bond traders and portfolio managers with greater pre-trade intelligence."