FIXED INCOME BULLETIN November 2016 Spotlight - Customize GMM, the biggest movers monitor In this issue... GMM <GO> (Global Macro Movers) now allows users to choose Spotlight their favourite countries, to view market performance using new > Customizing the biggest movers historical and intraday time frames, and to view specific monitor economic event impact on markets. Macro / Eco Run GMM <GO> and select “Country” at the top left corner to get a customizable country view. By choosing “Edit Custom Countries” in "99) Settings" on the red tool bar, > ECB Securities Lending you can specify the list of countries you want to follow. Programme Security Indicator Rates / Money Markets > 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 You can now view historical changes, without being limited to the last 2 trading days. Properties 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. Intraday - Custom Time Range: see how markets moved around news and other Seminar Calendar events. You can use it to catch up on what happened when you were off the desk! Intraday interval changes: monitor markets live over the past 15, 30, or 60 minutes, > FI Seminars in Europe in November so that you don’t miss big moves, trends or reversals that emerge quickly intraday. Events - Economic Releases: see how economic releases moved markets today or choose 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 Indicator As 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. XS1490 726590 Corp FLDS. Type either "DT680" directly, or "NCB 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 65.8% of 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 Markets Spine Curve now available for UK Gilts New Money Markets Description page Spline Curve now available for UK Gilts GOVY <GO> introduced the concept of spline curves into the Bloomberg Terminal for US 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 GOVY <GO> and select “United Kingdom” from the top left drop down menu.Click on "11) All" to see all the analysis on UKTs. 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 GP <GO> and see historical data since year 2000. You can also see the full Spline curves (actual and historical) in GC <GO> using the shortcut GC RV6 <GO>. New Money Market Description Page New Money Market Description Page The Money Market description page DES<GO> for money market private securities MMPL<GO > and for program descriptions PGM<GO> has been upgraded. The upgrade provides an 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 MMPL<GO>. In addition to the new DES page money 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 AA CPIB <M-Mkt> DES <GO> on the 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 PP3F1F7E1 <M-mkt> DES <GO> as an example. 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. >>>>>>> Credit New 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.