Arbitrage Manager
Explore credit
relative value
Screen your universe, compare pairs and review the history behind each signal.
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RV Intra Issuer
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Rank same-issuer pairs by signed z-score, then inspect spreads, differentials and trade direction.
SWITCH OPPORTUNITIES
(Universe: ER00 Index | Lookback: 720D | 102 pairs | MAX ΔDur ≤ 4.0Y | MIN |Z| ≥ 1.8 | Maturity buckets: 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 10-15Y)
| ISIN Bond 1 | ISIN Bond 2 | Bond 1 | Bond 2 | Issuer | Trade Direction | Z-Score | Net Diff | Avg Diff | Dist. from Avg | Std Diff | Rating | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| XS3198652763 | XS2147889690 | Open HS | DGELN 3 ¾ 10/03/37 | DGELN 2 ½ 03/27/32 | DIAGEO FINANCE PLC | Steepener | -3.14 | 18.5 | 28.1 | -9.6 | 3.1 | A- |
| XS3224609373 | XS3224609290 | Open HS | GOOGL 3 ⅛ 11/06/34 | GOOGL 2 ⅞ 11/06/31 | ALPHABET INC | Flattener | 3.12 | 23.9 | 17.6 | 6.4 | 2.0 | AA |
| XS2550909415 | XS1428782160 | Open HS | ESBIRE 4 05/03/32 | ESBIRE 1 ⅞ 06/14/31 | ESB FINANCE DAC | Steepener | -3.08 | 1.1 | 10.8 | -9.7 | 3.1 | A |
| XS2625136531 | XS2462468740 | Open HS | AKZANA 4 05/24/33 | AKZANA 2 03/28/32 | AKZO NOBEL NV | Flattener | 2.81 | 31.8 | 12.9 | 19.0 | 6.7 | BBB+ |
| XS2446386430 | XS3057365549 | Open HS | MS 2.95 05/07/32 | MS 3.521 05/22/31 | MORGAN STANLEY | Flattener | 2.79 | 12.6 | 4.7 | 7.9 | 2.8 | A |
| XS2403533263 | XS2583205906 | Open HS | AEMSPA 1 11/02/33 | AEMSPA 4 ⅜ 02/03/34 | A2A SPA | Flattener | 2.74 | 1.8 | -7.5 | 9.3 | 3.4 | BBB |
| XS2997535062 | XS2746663074 | Open HS | TMUS 3 ⅞ 02/11/37 | TMUS 3.85 05/08/36 | T-MOBILE USA INC | Flattener | 2.66 | 12.9 | 7.1 | 5.8 | 2.2 | BBB |
| XS2117454871 | XS2696803852 | Open HS | TELNO 0 ⅞ 02/14/35 | TELNO 4 ¼ 10/03/35 | TELENOR ASA | Flattener | 2.64 | -2.6 | -14.1 | 11.5 | 4.4 | BBB+ |
| FR0014003MI6 | FR0013521267 | Open HS | URWFP 1 ⅜ 05/25/33 | URWFP 2 06/29/32 | UNIBAIL-RODAMCO-WESTFLD | Flattener | 2.46 | 19.6 | 6.9 | 12.7 | 5.2 | BBB |
BOND 1 = HIGH DURATION | BOND 2 = LOW DURATION | OPEN HS SENDS SHORT FIRST, THEN LONG BASED ON TRADE DIRECTION | Z-SCORE = SIGNED ROLLING Z-SCORE OF BOND 1 − BOND 2 | ELIGIBLE BONDS: 1463 | TOTAL PAIR CHECKS: 1,069,453 | SAME-ISSUER CHECKS: 2,751 | EXCLUDED BY ΔDUR: 322 | HEDGE RATIO = DUR 1 / DUR 2
Trade Direction: SteepenerZ-Score: -3.14Bond 1 − Bond 2: 18.5 bps
Spreads (bps)
Bond 1: DGELN 3 ¾ 10/03/37Bond 2: DGELN 2 ½ 03/27/32
Spread difference (Bond 1 − Bond 2)
Signed Z-Score (Bond 1 − Bond 2)
CDS Basis
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Evaluate each bond against the issuer’s CDS curve at the corresponding maturity.
Universe = ER00 IndexBond PCS = BESTSpread Type = Z-spreadBasis = CDS interpolated − Bond z-spread
All
2Y
Loaded 207 eligible basis rows. Filtered to signed-consistent Basis/Z-score signals; sorted by absolute Basis Z-score descending.
Basis (bps) vs Years to Maturity
| ID | Name | Yrs to Mat | Pay Rank | Price | YTM | Bond Z-sprd | CDS interp. | Basis | Chg 5D | Chg 1M | Basis Z-score | CDS match | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| YX541351 Corp | Open RV | ACAFP 3.565 12/30 | 4.41 | Sr Preferred | 98.44 | 4.20 | 122.9 | 30.9 | -92.0 | -1.2 | -3.2 | -2.14 | Matched |
| ZH278726 Corp | Open RV | ACAFP 4.359 04/30 | 3.74 | Sr Preferred | 101.67 | 4.12 | 115.8 | 26.6 | -89.2 | -1.9 | -3.9 | -2.11 | Matched |
| ZB332021 Corp | Open RV | ACAFP 3.455 10/30 | 4.25 | Sr Preferred | 96.90 | 4.30 | 133.3 | 29.9 | -103.4 | 0.9 | 2.6 | -2.09 | Matched |
| ZO512237 Corp | Open RV | VW 1 ¼ 09/23/32 | 6.19 | Sr Unsecured | 85.31 | 4.02 | 100.4 | 120.4 | 20.0 | 2.9 | 8.1 | 2.09 | Matched |
| AL012617 Corp | Open RV | VZ 1 ⅞ 11/02/28 | 2.30 | Sr Unsecured | 96.35 | 3.17 | 23.3 | 46.8 | 23.6 | 7.8 | 11.1 | 2.05 | Matched |
| ZG621339 Corp | Open RV | CCBGBB 3 ½ 03/21/35 | 8.68 | Secured | 98.30 | 3.75 | 73.6 | 67.1 | -6.4 | 0.1 | 0.6 | -1.92 | Matched |
| DL483373 Corp | Open RV | KBCBB 4 ¼ 06/11/36 | 9.91 | Subordinated | 99.59 | 4.32 | 118.2 | 144.8 | 26.7 | 1.8 | 5.8 | 1.90 | Matched |
| AX644544 Corp | Open RV | DT 1 ⅜ 03/25/31 | 4.69 | Sr Unsecured | 94.12 | 3.17 | 19.4 | 34.9 | 15.5 | 11.8 | 3.9 | 1.82 | Matched |
BASIS = CDS INTERPOLATED − BOND Z-SPREAD | NEGATIVE BASIS = CASH CHEAP VS SYNTHETIC | EACH ROW LINKS TO THE BOND'S BASIS HISTORY, AN ANIMATED REPLAY OF THE ISSUER'S CDS CURVE, AND A ONE-CLICK BLOOMBERG RV TICKET
Cross-currency & manual analysis
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Compare currency-hedged pairs with live axes, or enter two securities for a manual analysis.
USD/EUR RV
Manual Analysis
USD/EUR RV OPPORTUNITIES
(Lookback: 720D | 1248 pairs | MAX ΔMat ≤ 3.0Y | MAX ΔDur ≤ 4.00 | Maturity buckets: 5Y–15Y)
| ISIN USD | ISIN EUR | Bond USD | Bond EUR | Issuer | Payment Rank | Z-Score | Diff | Avg Diff | Std | |
|---|---|---|---|---|---|---|---|---|---|---|
| US20030NCJ81 | XS2909746401 | Open NIA @XCCY | CMCSA 3.9 03/01/38 | CMCSA 3.55 09/26/36 | COMCAST CORP | Sr Unsecured | 3.73 | 61.8 | 32.1 | 7.9 |
| US20030NBP50 | XS2909746401 | Open NIA @XCCY | CMCSA 4.4 08/15/35 | CMCSA 3.55 09/26/36 | COMCAST CORP | Sr Unsecured | 3.17 | 30.8 | 9.2 | 6.8 |
| US89400PAL76 | XS2614623978 | Open NIA @XCCY | TCLAU 4.924 03/24/36 | TCLAU 4.225 04/26/33 | TRANSURBAN FINANCE CO | Secured | 2.94 | 31.9 | 16.6 | 5.2 |
| US685218AE91 | FR0014004A06 | Open NIA @XCCY | ORAFP 4 ¾ 01/13/33 | ORAFP 0 ¾ 06/29/34 | ORANGE SA | Sr Unsecured | 2.65 | 22.6 | 12.6 | 3.8 |
| US00206RDR03 | XS3037678862 | Open NIA @XCCY | T 5 ¾ 03/01/37 | T 4.05 06/01/37 | AT&T INC | Sr Unsecured | 2.47 | 21.9 | 6.0 | 6.4 |
| US62582PAA84 | XS2221845683 | Open NIA @XCCY | MUNRE 5 ⅞ 05/23/42 | MUNRE 1 ¼ 05/26/41 | MUNICH RE | Subordinated | 2.39 | 50.3 | 3.3 | 25.2 |
| US46647PFD33 | XS2717291970 | Open NIA @XCCY | JPM 4.255 10/22/31 | JPM 4.457 11/13/31 | JPMORGAN CHASE & CO | Sr Unsecured | 2.21 | 10.0 | 1.1 | 4.1 |
| US09659W2P81 | FR0014012PH2 | Open NIA @XCCY | BNP 2.871 04/19/32 | BNP 3.494 09/17/33 | BNP PARIBAS | Sr Non Preferred | -2.20 | -11.7 | 1.8 | 6.1 |
BOND USD = AXED TO ASK / LONG | BOND EUR = AXED TO BID / SHORT | DIFF = Z-SPREAD USD HEDGED EUR − Z-SPREAD EUR | ASK IN SCOPE: 3160 | BID IN SCOPE: 3068 | USD ASK: 1833 | EUR BID: 1172 | USD ASK × EUR BID CHECKS: 2,148,276 | SAME-ISSUER: 2,291 | EXCLUDED BY PAYMENT_RANK: 407 | BY ΔMAT: 636 | HEDGE RATIO = DUR USD / DUR EUR
LONG USD ASK: CMCSA 3.9 03/01/38SHORT EUR BID: CMCSA 3.55 09/26/36Z-Score: 3.73Diff: 61.8 bpsHedge Ratio: 1.06
Spreads requested in EUR (bps)
USD hedged EUREUR
Spread difference: USD hedged EUR − EUR
Z-Score
USD/EUR RV
Manual Analysis
XS2909746401
US20030NCJ81
EUR
ASW
Current Diff: -39.8 bpsAverage: -9.6 bpsStd: 8.2 bpsZ-Score: -3.71
| Metric | ISIN 1 / LONG | ISIN 2 / SHORT |
|---|---|---|
| Bond name | CMCSA 3.55 09/26/36 | CMCSA 3.9 03/01/38 |
| Issuer | COMCAST CORP | COMCAST CORP |
| Currency | EUR | USD |
| Coupon | 3.55 | 3.90 |
| Maturity | 2036-09-26 | 2038-03-01 |
| Duration | 8.22 | 8.73 |
| Rating | A- | A- |
| Payment rank | Sr Unsecured | Sr Unsecured |
| Price | 95.09 | 82.47 |
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