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FIXED INCOME BULLETIN December 2016 In this issue... Spotlight > MARS Credit Credit > Bloomberg Barclays industry classifications now in SRCH<GO> Enhancements to IMGR/QMGR for > message scraped pricing Derivatives > Derivatives Library for credit linked notes Seminar Calendar > FI Seminars in Europe in December Spotlight - the new 'MARS Credit' Bloomberg’s Multi Asset Risk System (MARS) has been enhanced to better support risk management and trading in credit instruments. MARS provides intraday P&L, risk, stress- testing, scenario analysis, VaR and hedging tools on corporates and government bonds, CDS, Indices, hybrids, preferreds, loans and CLNs Within MARS’ Credit View - go to , ‘Views’ then chose ‘Credit’ - users can MARS <go> gain better insight into overall credit portfolio risk, strategies and outright positions, keep risk within required limits, and meet regulatory requirements MARS Settings have been adjusted to better suit the needs and preferences of credit professionals.

Fixed Income Bulletin - Bloomberg L.P.bulletins.bloomberg.com/repo/uploadsb/pdf/false_false/appspecs/5jz20u2eoibz7m9l05_1...Bloomberg has integrated Barclays Classification (called

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Page 1: Fixed Income Bulletin - Bloomberg L.P.bulletins.bloomberg.com/repo/uploadsb/pdf/false_false/appspecs/5jz20u2eoibz7m9l05_1...Bloomberg has integrated Barclays Classification (called

  FIXED INCOME BULLETIN

December 2016

In this issue...

Spotlight> MARS Credit

Credit> Bloomberg Barclays industry classifications now in SRCH<GO>

Enhancements to IMGR/QMGR for >message scraped pricing

Derivatives> Derivatives Library for credit linked notes  

Seminar Calendar> FI Seminars in Europe in December

Spotlight - the new 'MARS Credit'Bloomberg’s Multi Asset Risk System (MARS) has been enhanced to better support risk management and trading in credit instruments. MARS provides intraday P&L, risk, stress-testing, scenario analysis, VaR and hedging tools on corporates and government bonds, CDS, Indices, hybrids, preferreds, loans and CLNs

Within MARS’ Credit View - go to , ‘Views’ then chose ‘Credit’ - users can MARS <go>gain better insight into overall credit portfolio risk, strategies and outright positions, keep risk within required limits, and meet regulatory requirements

MARS Settings have been adjusted to better suit the needs and preferences of credit professionals.

Page 2: Fixed Income Bulletin - Bloomberg L.P.bulletins.bloomberg.com/repo/uploadsb/pdf/false_false/appspecs/5jz20u2eoibz7m9l05_1...Bloomberg has integrated Barclays Classification (called

Under ‘Settings’ > ‘Pricing Settings’ chose ‘Credit ‘> ‘Bonds/Structured Notes (YASN)’.

In tab '21) Credit', in line with market standards, the credit spread model can be now set to the recommended ‘Hybrid Credit-Rates’ model and the CDS Curve Extrapolation can be set to ‘Forward Hazard Rate.’ 

In the next tab, ‘22)Credit Overrides’, credit DV01 calculation can be set to suit credit traders hedging with treasuries, assuming zero credit risk for the sovereign bond hedges.

At the same time, EM and higher yielding sovereigns can be excluded from the above settings.

Finally in tab '23) Market Data', the settings allow discounting with both swaps and sovereign curves.

Also, in the new MARS Credit, under the ‘Hedging’ tab, users can hedge credit risk with government bonds in 12 currencies and with CDS indices in 6 currencies.

Page 3: Fixed Income Bulletin - Bloomberg L.P.bulletins.bloomberg.com/repo/uploadsb/pdf/false_false/appspecs/5jz20u2eoibz7m9l05_1...Bloomberg has integrated Barclays Classification (called

>>>>>>> Credit Bloomberg Barclays industry classifications now in SRCH<GO>

Enhancements to IMGR/QMGR for message scraped pricing

Bloomberg Barclays Industry ClassificationsBloomberg Barclays Classification can now be used within the Bloomberg Fixed Income Search to improve filtering across different industry levels.

Industry classification is a key metric for finding and comparing bonds with similar characteristics. Industry grouping allows investors to create a homogeneous environment to run relative value analysis.

Bloomberg has integrated Barclays Classification (called BCLASS on the terminal) into different functions and data fields available to be downloaded in excel. Bloomberg Fixed Income Search function is now able to filter through the different SRCHlevels of  BCLASS.BCLASS works on constituents of the Bloomberg Barclays indices, accessible through . IN

Run > filter for country of risk Western Europe, then SRCHselect BCLASS Classification and click on the pencil on the right hand side.

The BCLASS menu will display the different levels and grouping of this classification.  

To select different groups, click on their names and these will appear on the right box. Click on the “+” sign to access to levels below.

Click on Corporates > Industrial > Communications and then select on Cable & Satellite, Wireless and Wirelines to screen for bonds issued by companies within similar business.  

SRCH is the start of an efficient bond filtering exercise and it is complimented by the powerful FIW.  

Page 4: Fixed Income Bulletin - Bloomberg L.P.bulletins.bloomberg.com/repo/uploadsb/pdf/false_false/appspecs/5jz20u2eoibz7m9l05_1...Bloomberg has integrated Barclays Classification (called

Enhancements to IMGR and QMGRBloomberg’s message scraping tools allow for faster price discovery for recipients of quotes on asset classes including ABS, sovereign and corporate bonds, CDS, convertibles and loans.

Use to find quote activity on a single security and to search for pricing information across the market or on a universe of QMGR IMGRsecurities that you define.

IMGR has now been enhanced with the ability to link to very large security lists including the recently acquired Bloomberg Barclays Global Aggregate index – which has over 17,000 constituent bonds.  Once linked to the index, IMGR will display all incoming quotes on constituent bonds.

Run in order to load the broadest IMGR pre-canned search. From option 12) Edit Search, select Portfolio{IMGR ALL CREDIT <GO>}/List Filter, and scroll down to find 24) Fixed Income Index. Click Update and then Save As in order to save a custom search.

An improved version of the Launchpad component Quotes Manager (QMGR) is also now available. Run QMGR on a bond, loan, or CDS and run LLP <GO> in order to load a Launchpad component.

All features of the QMGR function are now supported within Launchpad, including the message search and Intraday Chart.

In addition, multiple QMGR components can be open in Launchpad simultaneously, displaying quote activity for different securities.

Page 5: Fixed Income Bulletin - Bloomberg L.P.bulletins.bloomberg.com/repo/uploadsb/pdf/false_false/appspecs/5jz20u2eoibz7m9l05_1...Bloomberg has integrated Barclays Classification (called

>>>>>>> Derivatives

Structuring and Pricing Credit-linked notes in the Derivatives LibraryDLIB<GO> now supports the credit asset class, in addition to the existing Equity, FX and Rates coverage. Bloomberg Anywhere users will now have the ability to structure and price credit-linked notes on single name underlings.

Run and select “Credit” from the asset class menu. Read DLIBthrough the description of each product type supported in order to identify the most appropriate template.

Clicking on “Launch Selected Product” will open up the pricing template.

The screen is divided in two parts: deal parameters on the left hand side and the pricing BLAN script on the right hand side.

Users are not required to change the BLAN script unless they want to price a different payoff.

For the same product type i.e. fixed coupon single name CLN, only deal and schedule parameters would change across different trades.    

On the “Deal Parameters Template” the “Reference Entity” would be the ISIN of any bond issued by the underlying credit of the note.   

The underlying bond details are used by the DLIB<Go> analytics in order to map the issuer and seniority to the relevant CDS curve which can be checked under the “Market Data” tab.

“Recovery” parameter could be interpreted either as the deal’s fixed recovery, for fixed recovery CLNs, or as the recovery rate pricing assumption for floating recovery CLNs.

Currently DLIB Credit analytics don’t distinguish in terms of recovery modelling between fixed and floating. Therefore any change in the recovery rate pricing assumption should be done by editing the deal parameters  

Page 6: Fixed Income Bulletin - Bloomberg L.P.bulletins.bloomberg.com/repo/uploadsb/pdf/false_false/appspecs/5jz20u2eoibz7m9l05_1...Bloomberg has integrated Barclays Classification (called

Quanto Credit-Linked Notes are also supported, in case the currency of the reference entity’s CDS curve is different from the currency of the note. Bloomberg’s Credit-FX quanto model will generate an implied quanto currency CDS curve under “Market Data”.

Native currency CDS spreads are converted into the quanto CDS spreads using an assumption on the FX rate devaluation in case of default. Users have control over the size of the FX “Jump” on default through the credit market data parameters.

Monitor cashflows and trigger credit events from the “LifeCycle” page. Users are able to check coupon payments, expected amount to be recovered in case of default and final redemption amount at maturity in case of no credit events.

DLIB<Go> greeks have been enhanced to support term structure credit deltas as well as recovery and jump-to-default risks.

Page 7: Fixed Income Bulletin - Bloomberg L.P.bulletins.bloomberg.com/repo/uploadsb/pdf/false_false/appspecs/5jz20u2eoibz7m9l05_1...Bloomberg has integrated Barclays Classification (called

>>>>>>> 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.

December 2016

Page 8: Fixed Income Bulletin - Bloomberg L.P.bulletins.bloomberg.com/repo/uploadsb/pdf/false_false/appspecs/5jz20u2eoibz7m9l05_1...Bloomberg has integrated Barclays Classification (called