FIXED INCOME BULLETIN

November 2016

In this issue...

Spotlight> Customizing the biggest movers monitor

Macro / Eco> ECB Securities Lending Programme Security Indicator

/ Money MarketsRates> UK Gilts Spline curve

Credit> New liquidity finder

> New  "Negotiable Euro CP money market programme available  > Enhancements to Borsa Istanbul Bond Monitor

Risk Analytics> Enhanced scenarios  

Index / Portfolios> Charting Bloomberg Barclays Index Properties  

Seminar Calendar> FI Seminars in Europe in November

Spotlight - Customize GMM, the biggest movers monitor

(Global Macro Movers) now allows users to choose GMM <GO>their favourite countries, to view market performance using new historical and intraday time frames, and to view specific economic event impact on markets.

Run and select “Country” at the top left corner to get a customizable GMM <GO>country view. By choosing “Edit Custom Countries” in "99) Settings"  on the red tool bar, you can specify the list of countries you want to follow.

You can now view historical changes, without being limited to the last 2 trading days.Click on “Chg on day” dropdown and make your selection to view trends over time and across asset classes to help identify potential trading opportunities and risks.

: see how markets moved around news and other Intraday - Custom Time Rangeevents. You can use it to catch up on what happened when you were off the desk!

: monitor markets live , Intraday interval changes over the past 15, 30, or 60 minutesso that you don’t miss big moves, trends or reversals that emerge quickly intraday.

: see how economic releases moved markets today or Events - Economic Releaseschoose your own events and times to see how markets moved before and after for a more informed decision making

Economic releases - market impact

This example shows the movers three hours after September ECB rate announcement, including M. Draghi’s speech.

>>>>>>> Macro / Economics

ECB Securities Lending Programme Security IndicatorAs from April 2015, the ECB has made available for securities lending, those securities which it has purchased under the public sector purchase programme (PSPP). To this facility it has now added Corporate Securities purchased under the corporate sector purchase programme (CSPP).

We have added a new field which returns the National Central Bank (NCB) code or the National Central Bank and the program name acronym for which the instrument is considered eligible for the purpose of security lending. This new field can be used either through its ID (DT680) or Field Mnemonic (NCB_PURCHASE_PROG_ELIG_SECS_LEND)

To see the details, load a bond and run FLDS<GO> e.g. XS1490Type either "DT680" directly, or "NCB . 726590 Corp FLDS

purchase" in the amber box to see the field.

The field will return ’ECBPSPP’ or  ’ECBCSPP’ depending on whether the bond loaded is public sector or corporate sector instrument which has been purchased by the ECB; if the security is not available a Blank is returned.

The field can be used either in excel or in a Launchpad monitor to screen portfolios or lists of securities and check their availability.  

Example: The attached monitor is populated to a Bloomberg search and filtered by the Securities Lending Column filter; it shows which corporate bond new issues were purchased by the ECB in the month of September and are available for borrowing under the CSPP programme. The aggregate amount purchased in September was EUR 1,944 million and the total amount issued was EUR 2,950 million see  CSPPPMHL Index HP<GO>; this suggests that the ECB purchased approximately of 65.8%the total issuance.  

The ECBs securities lending facility carries a fixed fee of +30 bps and applies a haircut of 4% to eligible securities provided as collateral by the borrower; an individual eligible counterpart may borrow up to 2.5% of the amount outstanding of a single issue, with a maximum absolute amount per issue of Euro 200 million.

 

 

>>>>>>> Rates & Money MarketsSpine Curve now available for UK Gilts

New Money Markets Description page

Spline Curve now available for UK Gilts   introduced the concept of spline curves into the Bloomberg Terminal for US GOVY <GO>

Treasuries one year ago, and progressively the spline curves for Germany, Japan, France, Italy and Spain have also been made available. You can now take your rich-cheap analysis on British Government Bonds to the ultimate level. On top of the spline spreads, GOVY <GO>includes the Matched Maturity Asset Swap Spread, and very detailed Carry and Roll Down Analysis for each bond.

Run and select “United Kingdom” from the top left drop down menu.Click on "11) All" to see all the analysis on UKTs.GOVY <GO>

In the top left amber box, select the spread you want to look at: Spline Exponential, Spline Cubic, Matched Maturity ASW, Par ASW, Z-Spread and Yield. The next amber box “Range” indicates the historical period you want the Z-score to be calculated on.

In the blue column, you can see the current spread to spline for each bond. A positive spread indicates a cheap bond, while a negative spread shows a relatively expensive bond vs the spline curve. The spline curve is recalculated every 5 seconds.

The Z-score column shows an historical analysis. A positive Z-core (in green) indicates that the bond is cheaper than over the last month. Z-score in red indicates that the bond is richer than over the last month.  Z-score is calculated in number of standard deviations. A Z-score above 2 or below -2 is considered statistically significant.

The third amber box “View” allows you to select 3 different views:- Carry and Roll Down analysis. You can select your range and over-ride the repo rate.  If you click on any carry or roll number you will see the details of calculation explained. - Relative Value- Description  

Now click on "8) Spline Spread Cubic Chart".

This spread allows you to see graphically the current spline spread and the historical Z-score at the same time. The points in red have a negative Z-score, and if you select “Spread” in the Y-axis amber box, you can see that some bonds that are currently cheap (positive spread), are in fact historically expensive as they appear in Red.  

Carry and Rolldown analysis

Now click on "9) Carry and Rolldown" to see graphically where the best carry opportunities lie across the whole curve. Carry appears in blue and rolldown in white. In this case, the carry is negative up to 3 year, while the rolldown is attractive mainly from 4 year to 10 year maturities.

 

Historical analysis on govies

Constant-Maturity points on the spline curves are now tickerized, which allows you to run historical analysis on Government Bonds yields without the jumps due to the change of benchmarks.

These tickers start with RV0001 for US Treasuries, RV0002 for German Bunds and RV0006 for Gilts. For example the ticker for 10 year Gilt on the spline curve is RV0006P 10Y BLC Curncy <GO>. You can run and see historical data since year GP <GO> 2000.

You can also see the full Spline curves (actual and historical) in using the shortcut .GC <GO> GC RV6 <GO>

New Money Market Description Page

New Money Market Description PageThe Money Market description page for money market private securities DES<GO> MMPL<GO

and for program descriptions has been upgraded. The upgrade provides an > PGM<GO>updated description of both the money market security and the program that follows the format of other fixed income products.

This format provides a clearer and more consistent view with left panel navigation to other pages and functions. The new DES also provided direct access to all your private security creations and edit functions . In addition to the new DES page money MMPL<GO>market securities have been added to the SECF security finder. It is now easier than ever to find programs and your private money market securities.

The money market DES page is a single security function. So you must load a program or MMPL security to see the DES. As an example; type on the AA CPIB <M-Mkt> DES <GO>command line.

This will either load the program description or show you the list of programs and MMPL securities you have created, hit 1<GO> to get to the program description.

To see the description page for a specific money market MMPL security type as an example.PP3F1F7E1 <M-mkt> DES <GO>

To see your money market securities in SECF, type SECF<GO>and select “My Securities” from the drop down. Choose the Mmkt tab after the “My securities” view loads.

To see all the money market programs in SECF, choose the Money Market category from the SECF drop down.

>>>>>>> CreditNew Liquidity Finder for corporate bonds LIQD<GO>

New Negotiable Euro CP money market program type now available in PGM<GO>

Enhancements to Borsa Istanbul Bond Monitor

New Liquidity Finder for Corporate Bonds - LIQD<GO>LIQD<GO> monitors increases in quote frequency in your INBOX to reveal development pools of liquidity, highlighting the issuers whose bonds are becoming easier to trade. We analyze quotes for frequency, size and direction, to determine where liquidity is forming.

For example, if a bond is quoted on average 10 times a day, but today it is quoted 30 times, then it’s likely that a sporadic pool of liquidity is forming in that bond. In addition if most of those 30 quotes are one-sided bids, then this bond/issue is likely to become over-bid. LIQD metrics, displayed together, allow you to identify developing pools of liquidity BEFORE they are reflected in trade

reporting services (TRACE). In summary, LIQD helps users:

Find new pools of liquidity as they are forming

Predict price movements and trading volumes before trades get executed and reported

LIQD also helps you analyze the liquidity profile of all bonds of a particular issuer. Screen below (accessible by clicking on any issuer) displays only those bonds of the issuer, for which you have received quotes. Additionally, for each of issuer those bonds we provide quoted comparables.

This helps you answer questions like:

Which bonds have the sufficient size and depth to execute an order?

For the bond that’s not liquid, what are the alternatives of the same or other issuers?

New “Negotiable Euro CP” money market program typeFrance has recently announced a regulatory shift from the old Commercial Paper and Certificate of Deposits program types (known as FFCP and FFCD in Bloomberg) to a new and unified money market issuance model called “Negotiable Euro CP”.  You can now find this new Money Market Program type in the terminal, and create new securities using the existing issuer templates in .PGM <GO>

Go to , then click on 3) Commercial Paper, and youPGM <GO>

will find the new program type under 22) EUCP “Neg Euro CP”.

All the issuers involved previously in FFCP or FFCD issuance have been added to the new EUCP program type.

To create a new security, just click on the issuer you are interested in, then type .DES <GO>

In the DES screen, click on 91)Actions - Add Security, and start inputting the characteristics (maturity, coupon type…etc) of the new security.

When finished, click on 91) Actions – Save

 CP dealers can use the ticker created to send trade confirmations to their clients and to send quotes into ECPX

.  When selecting the program of a security that you have <GO>created, the saved CP will appear on the programme screen.

Enhancements to Borsa Istanbul Bond Monitor  

Enhancements to Borsa Istanbul Bond Monitor  Gain ultimate access to data from Outright Purchases and Sales Market operating under Borsa Istanbul-Debt Securities Market.  provides access to intraday trading TUPM<GO>activity, end of day summary and focus on the specific list of bonds quoted by primary dealers.

A Monitor With A Broader View

TUPM<GO> is now able to display all trading activity including all settlement dates. If you have real-time data subscription to Borsa Istanbul-Debt Securities Market, you can monitor the market activity on a real-time basis. “BIST Intraday” tab provides an interface focused on intraday trading activity whereas “BIST EoD” tab provides summarized data.

When checked, the “PD Only” box on the top right allows you to see the bonds which are quoted by primary dealers.

Refine bond list via column filters and grouping

Using the orange boxes below the column headers, partially enter your own inputs to quickly refine securities.

Eg. Type into to orange box of column T and get trades & >0orders with T+1 and further settlement dates.

Right-click on mouse on a bond gives you quick access to functions like (Market Depth Monitor) if you are MDM<GO> subscribed to the exchange, (Quote/Trade Recap) and QR<GO>

(Yield Analysis).YAS<GO>

By default, gives you the list of bonds grouped by TUPM<GO>, sorted by . You can group by calculation type days to maturity

maturity bucket using the “Group” drop down. You can also sort different criteria by clicking on the related column headers.

Personalize the interface

Edit your view to access the data from a list of available fields. You can edit the columns displayed on this page by clicking on the “View” button on the red toolbar.

>>>>>>> Risk Analytics

Enhanced SHOC scenariosBloomberg has released an enhanced version of , designed to give more SHOC <GO>flexibility to any user creating  scenarios.  Fixed Income scenarios can now be done on any combination of tenors, as well as the possibility of shifting the zero curve and the forward curve, applying formulas and a customizable hierarchy of shifts for credit.

Customized tenor shifts for curves

SHOC<GO>now gives you the ability to completely customize shifts on an interest rate curve, be it for zero curves, forward curves or swaps curves. This can be set at a global level by using the Settings on the red tool bar of SHOC<GO>

Once on the settings screen you can select to apply a default curve template of your choice, by setting “yes” on “Apply default curve template”.  

After this we can modify the Default Curve Template by clicking on “edit”. This brings a window where we can select the instrument type to shift (zero curve, swap curve or forward curve). We can also select at this stage the term structure of our shift to be applied, by changing the number of points and entering the terms.

Hierarchy for credit shifts

When shifting any of the credit parameters (CDS curves, OAS or recovery rates) clients can now create a hierarchy of shifts that can be applied in waterfall logic. For example, we might want to start applying shifts for the CDS curves on a country per country basis. For this, select the countries you want to apply the shifts to, and click on the “+” button.

Once the shifts per country have been applied, we can drill down further by selecting a country on the right side of the screen and adding different criteria, like rating. Select ratings and click on the “+” button for the screen to look like the screenshot to the right.

Users can create all kind of combinations between Country, Sector, Rating, Issuer and Seniority shifts with a waterfall logic.

Formula shift for curves and credit

A new type of shift has been added to either Interest rate curves or credit curves, which gives unprecedented flexibility as users can now enter formulas taking the current rate plus an additional parameter for a new, shifted value.

On the “IR” tab, select “Swap Curve” and add the 45-EUR curve to be shifted.  

Under the “Mode” column, you can select the option “Formula”. This will bring out a new window where you can write a formula for the new rate value, using “value” as a variable that represents the current rate at each tenor, and “shift” as the value in the shift column, highlighted.

For example, the following formula changes the rate if it is negative, and multiplies it by the “shift” factor. These types of formulas can be applied to Credit and Interest Rate curves.

The scenarios created in can be run in SHOC<GO> MARS<GO>, Bloomberg Multi Asset Risk System.

 

>>>>>>> Index / Portfolio Analytics

Charting Bloomberg Barclays Index PropertiesSince the recent acquisition of Barclays Indices by Bloomberg, all terminal users can freely and easily access the indices, their returns and properties (for index constituents the user must be using Bloomberg Anywhere).

All users can chart the historical evolution of an index’s properties which include: Yield to Worst, Modified Duration, OAS Spread to Sovereign curve and Market value - expressed in different currencies on an hedged or unhedged basis. This can be done in one of two ways: either by using a specific property ticker and charting its last value, or by entering the total return ticker in a chart and then selecting its property.

Chart example using a specific property ticker:  

For this example  we will use the Bloomberg Barclays Eurodollar Composite bond index whose total return ticker is TRUU BEDCIndex (unhedged US Dollar returns)

If we run we can see the syntax used in the {ALLX BEDC<GO>}composition of specific property tickers. The root ticker of the index is its first four characters “ ” and its Market Value BEDCproperty expressed in US Dollars is ; if we page forward we MVUcan see that its Yield to worst property is “ ”, and its modified YWduration property is “ ”. By combining the root ticker + its MDproperty we can quickly arrive at an index’s specific property ticker. Therefore, to view the evolution of the of market size, yield and oas spreads for the Eurodollar bond market over time, we would use the tickers Index, Index and BEDCMVU BEDCYW

Index. BEDCMD {BEDCMVU Index GP<GO>}

Chart example using the main index ticker

Using the single Bloomberg Barclays Eurodollar Composite total return bond index we could also chart its  (BEDCTRUU Index)properties by looking up and entering the appropriate fields.

In this case, the Market Value field be would be “Index Market Capitalisation”, while the OAD Duration, YW etc are available from the drop down.

>>>>>>> Seminar Calendar

BU gives you all the up-to-date information for the seminars and events in your region. Select 'Seminars & Events' then click on 'View upcoming events' to search for dates, topics, skill levels and the language in which the presentation is delivered.

PLEASE SIGN-UP ON BU. If you would like an event in a different region please contact your Bloomberg representative.

November 2016