Bloomberg for Education Seminar July 21, 2017 San Francisco · 2017-07-24 · Bloomberg Integration...
Transcript of Bloomberg for Education Seminar July 21, 2017 San Francisco · 2017-07-24 · Bloomberg Integration...
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Bloomberg Integration in Fixed Income
Bloomberg for Education Seminar
July 21, 2017
San Francisco
Paul Fjeldsted, CFA
Senior Lecturer
Jon M. Huntsman School of Business
Utah State University
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Outline
• Rationale
• Class Overview
• Bloomberg Market Concepts
• Problem Sets
• Bloomberg In-Class Integration
• Investing Practicum Integration
Overview
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Rationale
Pros
• Connection to practice
• Dynamic
• Robust
Why Bloomberg?
Cons
• Cost
• Interface
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Rationale
• 9 desktop licenses in dedicated lab for students
• 3 Bloomberg Anywhere licenses for professors
• Bloomberg Anywhere can be launched in any classroom
Configuration
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Fixed Income Course Overview
• 20-25 students, masters level course
• CFA Curriculum integration – Level 1 and
Level 2 Fixed Income volumes
FIN 5300 FIXED INCOME
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Fixed Income Course Overview
Exams (4 @ 100 each) 400
Problem Sets 50
Investment Activity 30
In-Class Questions 20
Total 500
Grading
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Bloomberg Market Concepts
• Required within first two weeks of semester
• Prerequisite to handing in first problem set
• Overview – high level
• Brings students up to speed on language of finance
Bloomberg Market Concepts
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Bloomberg Problem Sets
• Select a bond in Bloomberg
• Model its cashflows in excel
• Replicate price
• Replicate risk measures
Bond Valuation Problem Sets – General Approach
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Bloomberg Problem Sets
• In Bloomberg, select US Treasury note or bond with at least 10 years remaining
• Pull up the bond in Bloomberg. Assume $1,000,000 face value
• Type "YA" for yield analysis. Download this page
• Create excel model of the bond. Calculate full price, accrued interest, flat price, duration, modified duration, risk, and DV01
• Turn in Bloomberg YA page and spreadsheet. For full credit spreadsheet should match Bloomberg YA page precisely
Example – US Treasury Note Problem Set
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Bloomberg Problem Sets
•
US Treasury Note Screenshot
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Bloomberg Problem Sets
US Treasury Note – Excel Model
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Bloomberg Problem Sets
US Treasury Note - Side by Side Comparison
Bloomberg Student Spreadsheet
Duration (Macaulay) 8.776 Convexity Calc
Modified 8.672 Change in YTM 0.01%
Risk 8.691 P0 997,808.42
Convexity 0.852 P- 998,677.92
DV01 869 P+ 996,939.77
Face 1,000,000 (P- + P+ ) - 2(P0) 0.854
Full (Dirty) Price 1,002,132.47 Full Price 100.21325
Less Accrued 4,324.05 Convexity 0.852
Flat (Clean) Price 997,808.42
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Bloomberg Problem Sets
•
Apple Corp Bond Screenshot
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Bloomberg Problem Sets
Apple Corp Bond – Excel Model
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Bloomberg Problem Sets
Apple Corp Bond - Side by Side Comparison
Bloomberg Student Spreadsheet
Duration (Macaulay) 4.525 Convexity Calc
Modified 4.472 Change in YTM 0.01%
Risk 4.566 P0 1,015,815.64
Convexity 0.230 P- 1,016,272.33
DV01 457 P+ 1,015,359.19
Face 1,000,000 (P- + P+ ) - 2(P0) 0.235
Full (Dirty) Price 1,020,915.64 Full Price 102.09156
Less Accrued 5,100.00 Convexity 0.230
Flat (Clean) Price 1,015,815.64
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Bloomberg Problem Sets
•
Citigroup FRN Screenshot
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Bloomberg Problem Sets
Citigroup FRN – Excel Model
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CITIGROUP FRN - CUSIP XS1134518312
Face 100
Bloomberg Price 96.793
Last LIBOR Reset 1.18456%
Margin 0.25%
Total Current Coupon 1.43456%
YTM 2.34% Goal Seek
Assumed LIBOR Rate - Future Periods 1.31%
Discount Margin (%) 1.03%
Discount Margin (bp) 103.37
Periods / Year 4
Current Period USD Coupon 0.35864
Future Periods USD Coupon 0.38881
Settlement Date 7/21/2017
Last Coupon 5/10/2017
Elapsed Days 71
Bloomberg Problem Sets
Citigroup FRN - Side by Side Comparison
Bloomberg Student Spreadsheet
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Bloomberg Problem Sets
US Treasury TIPS Screenshot
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Bloomberg Problem Sets
US Treasury TIPS – Excel Model
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Bloomberg Problem Sets
US Treasury TIPS - Side by Side Comparison
Bloomberg Student Spreadsheet
Index Assumptions
Base CPI at Issue Date 218.08532
CPI at last Coupon Date 244.61839
Flat Index Ratio 1.12166
Reference CPI Settlement Date 244.65884
Index Ratio 1.12185
Face Value 1,000
Flat Price 1,166.93
Inflation Accrual 0.19
Principal (Adjusted for Inflation) 1,167.12
Accrued Interest 0.23
Full Price 1,167.35
Inflation Compensation 121.85
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In-Class Bloomberg Integration
• Security Finder <SECF> <GO>, Fixed Income, Govt
• Maturity Tab =>Perpetual
• City of Hull, UK 3.5 Perpetual Bond Issued 8/1887
Concept Illustration – Perpetual Bonds
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In-Class Bloomberg Integration
• Bring up current 10-year UST <CT10> <GOVT> <go>
• Graph Curves <GC> <GO>
• Add Curve [type in TIP, US Treasury TIPS curve populates]
Concept Illustration – Real vs Nominal Rates
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In-Class Bloomberg Integration
• Bring up MBS to be analyzed (cusip 3135AFTA2)
• Yield Table <YT> <GO>
Concept Illustration – MBS Prepayment
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In-Class Bloomberg Integration
• Bring up callable bond to be analyzed (cusip XS1568966672)
• Yield and Spread <YAS> <GO>
Concept Illustration – OAS and Z Spread
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Course Overview - Practicum
• 10-12 students, masters level course
• Students manage $100K fixed income
portfolio over two semesters
FIN 5470 FIXED INCOME PRACTICUM
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Course Overview - Practicum
PRTU
PORT
PTT
FA
DRSK
MRSK
TDH
FIHZ
Bloomberg Integration – Bond Portfolio Management
Portfolio Administration
Portfolio & Risk Analytics
Portfolio Trade Ticket
Financial Analysis
Default Risk
Muni Credit Risk
Trade History
Fixed Income Horizon Analysis
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In-Class Bloomberg Integration
• Bring up bond to be analyzed (cusip 94974BNF5)
• Default Risk <DRSK> <GO>
Concept Illustration – Credit Risk Model DRSK
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In-Class Bloomberg Integration
• Bring up bond to be analyzed (cusip 631060BP4)
• FI Horizon Analysis <FIHZ> <GO>
Concept Illustration – Horizon Analysis
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“Anything you can do
Bloomberg can do better.”
Cordell Hull, USU Huntsman School MSFE Student
section title optional
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Thank [email protected]
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Appendix
USD <go> US Treasurys Benchmark Issues
TII <Govt> <go> Listing of all TIPS
C <Corp> <go> Listing of all bonds issued by Citigroup
AAPL <Corp> <go> Listing of all bonds issued by Apple
YA or YAS <go> Yield and Spread Analysis
SECF <go> Security Finder
CT10 <go> Current 10Y US Treasury
GC <go> Graph Curves (yield curve)
YT <go> Yield Table (mortgage backed securities)
PRTU <go> Portfolio Administration
PORT <go> Portfolio Analysis
DRSK <go> Default Risk (corporate)
MRSK <go> Default Risk (muni)
TDH <go> Trade History
FIHZ <go> Fixed Income Horizon Analysis
Bloomberg Fixed Income Pages