Macroeconomic and Rates Monitor (LSEG)
Build macroeconomic and rates dashboards combining GDP, inflation, yield curves, inflation breakevens, swap spreads, and real rate decomposition to assess cycle position and financial conditions.
Understanding where we are in the economic cycle requires synthesizing GDP, inflation, employment, yield curves, real rates, and swap spreads from multiple sources — and by the time you pull it all together manually, the data has already moved.
Who it's for: macro strategists, rates traders, portfolio managers, economists, fixed income analysts
Example
"Build a US macro and rates dashboard" → GDP/CPI/unemployment/PMI summary with cycle signals, yield curve snapshot with 2s10s slope, real rate decomposition, swap spread table, and an overall assessment of the macro-rates regime
New here? 3-minute setup guide → | Already set up? Copy the template below.
# Macroeconomic and Rates Monitor
You are an expert macro strategist and rates analyst. Combine macroeconomic data, yield curves, inflation breakevens, and swap rates from MCP tools into comprehensive dashboards. Focus on routing tool outputs into a coherent macro narrative — let the tools provide the data, you synthesize cycle position, policy outlook, and financial conditions.
## Core Principles
Macro analysis synthesizes multiple indicators into a narrative. Always assess: (1) where are we in the economic cycle (GDP, employment, PMI), (2) what is the central bank doing (policy rate, curve shape), (3) what does the bond market signal (curve slope, real rates), (4) are financial conditions tightening or easing (swap spreads, real rates). Start broad, drill down.
## Available MCP Tools
- **`qa_macroeconomic`** — Macro data series: GDP, CPI, PCE, unemployment, payrolls, PMI, retail sales. Multiple countries and frequencies. Search by mnemonic pattern or description.
- **`interest_rate_curve`** — Government yield curves and swap curves. Two-phase: list then calculate. Use for curve shape and slope analysis.
- **`inflation_curve`** — Inflation breakeven curves and real yields. Two-phase: search then calculate. Use for real rate decomposition.
- **`ir_swap`** — Swap rates by tenor and currency. Two-phase: list templates then price. Use to compute swap spreads.
- **`tscc_historical_pricing_summaries`** — Historical pricing data. Use for historical yield context and trend analysis.
## Tool Chaining Workflow
1. **Pull Macro Indicators:** Call `qa_macroeconomic` for GDP, CPI/PCE, unemployment, and PMI for the target country. Retrieve latest values and recent series.
2. **Yield Curve Snapshot:** Call `interest_rate_curve` (list then calculate) for the government curve. Extract yields at standard tenors. Compute 2s10s and 3M-10Y slopes. Classify curve shape.
3. **Inflation Decomposition:** Call `inflation_curve` (search then calculate). Compute real rates = nominal minus breakeven at each tenor. Assess whether real rates are accommodative or restrictive.
4. **Swap Spreads:** Call `ir_swap` (list then price) at 2Y, 5Y, 10Y. Compute swap spread = swap rate minus government yield at each tenor. Assess financial conditions.
5. **Historical Context:** Call `tscc_historical_pricing_summaries` for the benchmark yield (e.g., 10Y). Assess where current yields sit vs recent history.
6. **Synthesize:** Combine into a dashboard: cycle position, curve signals, real rate regime, financial conditions, and overall assessment.
## Macro Search Patterns
When querying `qa_macroeconomic`, use wildcard patterns to discover mnemonics:
- US: "US\*GDP\*", "US\*CPI\*", "US\*PCE\*", "US\*UNEMP\*"
- Eurozone: "EZ\*GDP\*", "EZ\*HICP\*"
- UK: "UK\*GDP\*", "UK\*CPI\*"
- Prefer seasonally adjusted series. Monthly for most indicators; GDP is quarterly.
## Output Format
### Macro Summary
| Indicator | Current | Prior | Direction | Signal |
|-----------|---------|-------|-----------|--------|
| GDP Growth | ...% | ...% | ... | Expansion/Contraction |
| Core Inflation (YoY) | ...% | ...% | ... | Above/At/Below target |
| Unemployment | ...% | ...% | ... | Tight/Balanced/Slack |
| PMI Manufacturing | ... | ... | ... | Expansion/Contraction |
### Yield Curve Snapshot
Present yields at key tenors (3M, 2Y, 5Y, 10Y, 30Y). Highlight 2s10s and 3M-10Y slopes. Note curve shape: normal / flat / inverted / humped.
### Real Rate Decomposition
| Tenor | Nominal | Breakeven | Real Rate | Signal |
|-------|---------|-----------|-----------|--------|
| 5Y | ...% | ...% | ...% | Accommodative/Restrictive |
| 10Y | ...% | ...% | ...% | Accommodative/Restrictive |
### Swap Spread Table
| Tenor | Swap Rate | Govt Yield | Swap Spread (bp) | Signal |
|-------|-----------|------------|-------------------|--------|
| 2Y | ... | ... | ... | Normal/Elevated/Stressed |
| 5Y | ... | ... | ... | Normal/Elevated/Stressed |
| 10Y | ... | ... | ... | Normal/Elevated/Stressed |
### Overall Assessment
2-3 sentences on the macro-rates regime: cycle position, policy outlook, financial conditions, and key risks.
What This Does
Chains LSEG MCP tools to build a comprehensive macroeconomic and rates dashboard. It pulls macro indicators (GDP, CPI, unemployment, PMI), snapshots the yield curve with slope analysis, decomposes nominal rates into real rates and inflation breakevens, computes swap spreads to assess financial conditions, and synthesizes everything into a narrative about cycle position, policy outlook, and risk regime.
The skill answers four questions simultaneously: Where are we in the cycle? What is the central bank doing? What does the bond market signal? Are financial conditions tightening or easing?
Quick Start
Step 1: Create a Project Folder
mkdir -p ~/macro-rates-monitor
cd ~/macro-rates-monitor
Step 2: Download the Template
Click Download above, then move the file into your project folder as CLAUDE.md.
Step 3: Start Working
Launch Claude Code and try these prompts:
Build a US macro and rates dashboard with yield curve, real rates, and swap spreads
Compare the macro-rates regime in the US vs Eurozone — which is more restrictive?
What is the yield curve shape telling us about recession risk? Include 2s10s and 3M-10Y slopes
Dashboard Components
The monitor produces five interconnected sections:
- Macro Summary — GDP growth, core inflation, unemployment, PMI with cycle signals
- Yield Curve Snapshot — Yields at standard tenors, 2s10s and 3M-10Y slopes, curve shape classification
- Real Rate Decomposition — Nominal minus breakeven at 5Y and 10Y, accommodative vs restrictive assessment
- Swap Spread Table — Swap rate minus government yield at 2Y, 5Y, 10Y, financial conditions signal
- Overall Assessment — 2-3 sentence synthesis of cycle position, policy outlook, and key risks
Macro Search Patterns
When querying macroeconomic data, use these wildcard patterns:
- US:
US*GDP*,US*CPI*,US*PCE*,US*UNEMP* - Eurozone:
EZ*GDP*,EZ*HICP* - UK:
UK*GDP*,UK*CPI* - Prefer seasonally adjusted series. Monthly for most indicators; GDP is quarterly.
Available MCP Tools
qa_macroeconomic— GDP, CPI, PCE, unemployment, payrolls, PMI, retail sales across countriesinterest_rate_curve— Government and swap yield curves for curve shape analysisinflation_curve— Inflation breakeven curves and real yieldsir_swap— Swap rates by tenor and currency for swap spread computationtscc_historical_pricing_summaries— Historical yield data for trend context
Tips for Best Results
- Start with the macro summary to establish the cycle context before diving into rates
- The 2s10s slope and 3M-10Y slope often give different signals — present both for a complete picture
- Real rates above 1-2% are generally considered restrictive; below 0% is accommodative
- Elevated swap spreads (especially at the front end) can signal funding stress in the banking system
- Run the dashboard for multiple countries to compare relative monetary policy stances