bloomberg australia and new zealand monthly bulletin may · 2016-05-02 · bloomberg australia and...

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Bloomberg Australia and NZ Monthly Bulletin May

Bloomberg Australia and New Zealand Monthly Bulletin May

Table of Contents (Click to go to section) Upcoming Events .......................................................................................................................................... 2

Commodity .................................................................................................................................................... 3

Commodity Discovery tool – NEWC<GO>................................................................................................. 3

New Commodity Data -Agriculture, Oil, China Gold ................................................................................. 4

Mine Screening - XLTP XMINE <GO> ......................................................................................................... 6

Foreign Exchange and Economics ................................................................................................................. 7

TARF Pricing in Derivative Library DLIB <GO> ........................................................................................... 7

Bloomberg Executable pricing feed- BGNE ............................................................................................... 9

Fed Dot Plot - DOTS <GO>....................................................................................................................... 11

Fixed Income ............................................................................................................................................... 12

Liquidity Analysis Model <GO> ............................................................................................................... 12

Cross Currency conversion of yield curves in GC <GO> .......................................................................... 15

Enhanced Swaps Pricing in Excel: CSA Currency Solver .......................................................................... 17

Equity .......................................................................................................................................................... 18

Idea generation with Watch list Analytics on WATC<GO> ..................................................................... 18

Adjusted fundamentals now included on RV<GO> ................................................................................ 19

New tabs on showing "Group Dynamics" and "vs Self" EQRV<GO> ...................................................... 20

Tracking ETF flows with FFLO <GO> ........................................................................................................ 21

Authors ........................................................................................................................................................ 22

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Upcoming Events

Clients are encouraged to sign up for events and seminars held across Australia. Simply click on the link where available, or go to BU <GO> on the terminal and sign up. These sessions are designed to ensure you receive the maximum benefit from your Bloomberg Professional service. Date Name Location Signup

10 May Swaps Toolkit SWPM <GO>

Sydney BU <GO>

10 May Curve Toolkit (CTK) ICVS <GO>

Sydney BU <GO>

16 May Getting Started : Equities Sydney BU <GO> 16 May Bloomberg: Trends and

Solutions for Valuation Teams

Sydney BU <GO>

17 May Getting Started Fixed Income

Sydney BU <GO>

17 May XVA - Where to Now Sydney BU <GO> 18 May Getting Started

Bloomberg API Excel Sydney BU <GO>

18 May Getting Started Equities Melbourne BU <GO> 19 May Getting Started Foreign

Exchange Sydney BU <GO>

20 May Desktop Essentials and Mobile Devices

Sydney BU <GO>

23 May Getting Started Commodities

Sydney BU <GO>

26 May The rise and rise of ETFs - overview of key Bloomberg tools

Melbourne BU <GO>

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Commodity Commodity Discovery tool – NEWC<GO> As we continue to develop the Bloomberg product we have created a landing page with easy filtering options (Region, Asset Class, Type of notice) to help discover and explore what is new on the Bloomberg Terminal. The details of new data, new functions, events, webinars, and enhancements will be made available here. Alerts can be set to make you aware of specific updates.

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New Commodity Data -Agriculture, Oil, China Gold

China Agriculture Statistics and Pricing Providing greater transparency into China with new agriculture data sets from Shanghai JC Intelligence Co. JCI China Agriculture Spot Prices and Fundamental Data add: - {ALLX JCIA<GO>} China Agri Spot Prices - {ALLX JCIQ<GO>} China Agri Statistics Brazil Sugar and Ethanol

CONAB Additional Sugar data. CONAB Sugar, sugarcane and ethanol production is now available on the terminal. {ECO7 BZ} follows real-time CONAB releases of Sugar Production, Sugarcane Production and Ethanol Production. All Brazil CONAB Crop Estimates can be found on {ALLX BZCT}.

US Oil Import / Export

US Import/Export statistics to know the flow of Oil and Refined products – AHOY<GO> AHOY allows you to search US oil trade of flows for shipping vessels entering and leaving the country with cargo. Import statistics are provided by the daily bill of lading (BOL) from US Customs. Export statistics are provided by the monthly US export data from the US census, and have the ability to refine the search by region or country e.g. Asia or China.

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Shanghai Gold Exchange Benchmark Fixing There are two new tickers for the Shanghai Gold Exchange Benchmark Fixing {SGEX<GO>}. These tickers are reflective of the Am and Pm settlement as China looks to control pricing in the Asian time zone. They are in response to the LMBA fixings and represent an industry standard approach to physical gold. These tickers are: {SHGFGOAM Index <GO>} {SHGFGOPM Index <GO>} The fixing is an average determined by a contributor set. Contributors are listed below along with the News article detailing the release. Bloomberg does not have access to the individual daily quotes. There is no back data available and the start date for the series is the 19th of April 2016.

Shanghai Fixing member List Industrial & Commercial Bank of China Agricultural Bank of China Bank of China Ping An Bank China Construction Bank Bank of Shanghai Bank of Communications Standard Chartered Bank (China) Limited Shanghai Pudong Development Bank ANZ Bank (China) Limited China Minsheng Banking Corp., Ltd China National Gold Group Corporation Industrial Bank Co. Ltd Shandong Gold Mining Co., Ltd Shanghai Lao Feng Xiang Co., Ltd Bank of China(Hongkong) Limited Chow Tai Fook Jewelry(Shenzhen) Co., Ltd MKS(Switzerland) SA

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Mine Screening - XLTP XMINE <GO> The Mine Screening spreadsheet allows you to quickly search through and display data for all mine assets that are currently on the Bloomberg system. The template allows you to screen for mines based on region, country, metals and many more fields. The template also comes with a dashboard that provides an intuitive graphical representation of the mine data as well as functionality to view the data on an aggregated level.

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Foreign Exchange and Economics

TARF Pricing in Derivative Library DLIB <GO>

DLIB <GO>

DLIB allows you to structure a wide variety of derivative contracts across multiple asset classes, using pre-built deal templates for interest rate, FX, and equity securities, so you can work up pricing and analyze the risk of deals with exotic payoffs. You can also price hybrid securities that combine equity, FX, and interest rate features. Although DLIB supports the vast majority of payoffs in the market, there are many variations of structured notes that cannot be priced using DLIB's templates. To provide complete coverage, DLIB provides a scripting language (BLAN), a modeling tool you can use to create any payoff structure available in the market.

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The calculator includes Lifecycle management, Monte Carlo projections (for deal termination probability) scenario analysis, and back testing.

TARF To access TARF type DLIB <GO> select FX tab then select TARF Template

The Target Redemption Forward (TARF) can be described as a strip of forward options that ceases to exist ("knocks out") once a cumulative "target' profit is reached. The TARF is usually structured as buying in-the-money (ITM) options and selling a leveraged amount of out-of-the-money (OTM) options. A more favorable exchange rate results if the structure knocks out (i.e., the target accumulation is reached) before an appreciable number of OTM fixings have been recorded. The TARF pricer in DLIB <GO> allows for the many variations of TARF including Cash and Big figure payoffs, Global barriers ITM, or OTM fixing targets and variable notional by date.

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Bloomberg Executable pricing feed- BGNE BGNE (Bloomberg Executable) is a new FX pricing source with bid/ask quotes from executable sources with increased precision and sizes on select currency pairs. The pricing source also has volume attached on an executable basis at the current price point.

Where do I find it: BGNE can be loaded as a source in any monitor, for example, {EUR BGNE Curncy<Go>}. To view sizes, insert a bid and ask size column, Field RQ014.

Also view in charts like {EUR BGNE Curncy GIPT<Go>} or Type FX QUOTE STREAM into the quote line and select from the Launchpad autocomplete drop down. Additionally type FX GRID into the quote line and select from the Launchpad autocomplete drop down to view rates in a visual format that highlights the trading figure for easier analysis.

Fig 1 "FX Grid"

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Fig 2 BGNE on Launchpad

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Fed Dot Plot - DOTS <GO>

DOTS <GO> DOTS allows you to see the FOMC's Fed Funds target projection data, also known as "the dots", so you can analyze FOMC member's judgments as to the appropriate target range for US interest rates at the end of the year or over a longer term. In addition to the dot plot, you can display weighted average or median values for the target data and compare them to selected forward interest rates, such as US Fed Fund futures and overnight index swaps to identify a probable path for short-term interest rates. DOTs are also available within the Excel Template Library which has additional information and allows for an overlaid comparison to view the change over time of Fed guidance.

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Fixed Income Liquidity Analysis Model <GO> Bloomberg’s function for pricing asset swaps has been given a spring-clean, with support for matched-maturity swaps added.

The model measures liquidity in terms of the bond's liquidation cost (i.e., the deviation of the liquidation price from fair value price), time to liquidation, and the probability of selling. LQA's methodology combines traditional market impact models with machine learning techniques to account for all the relevant factors influencing liquidity. The model runs on high quality trade data and sophisticated clustering methodology used to identify comparable assets and estimate the liquidity level of bonds with low reported trading activity. Select a single bond and run LQA to find the standard outputs of the model.

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Fig 1 Liquidity Analysis Table

The middle of the screen shows the Liquidity Analysis table. The model calculates the Market Impact for each trade size, expressed as a price difference. This can also be considered as the cost incurred to liquidate a given position. The Market Impact is subtracted from the bond BVAL Ask price to derive the Exit Price, the estimated expected price (i.e. the mean) at which the model expects the bond could be sold in the given quantity. This is highlighted in green when the exit price is inside the BVAL Bid- Ask range.

Fig 2 Market Impact Chart

The Market Impact curve can also be observed in the chart at the bottom of the page where the X axis shows the volume in millions and the Y axis shows the execution cost. A steep curve represents a high degree of sensitivity to an increase in trade size.

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Fig 3 Price Uncertainty Chart

Select “22) Price Uncertainty” to display the Probability Density Distribution chart, which is linked to the Liquidity Analysis table above. Click on a volume in the table in order to highlight the distribution profile for that specific trade size on the chart. Three bars appear on the charts. Yellow and Blue bars highlight the Bid-Ask range, while the red dotted line shows the Exit Price for the selected volume. The Uncertainty Value and Probability of execution can be explained analysing the distribution area. The table on the right hand side of the LQA screen shows the time to liquidation required to achieve the Market Impact shown at the top of the table for different trade sizes. Click on a row in the Liquidity Analysis table in order to view the projected liquidation time required for that level of market impact. An enterprise product is available to use the data outside of the Bloomberg terminal and to perform stress analysis on a list of bonds with custom prices and different inputs

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Cross Currency conversion of yield curves in GC <GO> Bloomberg’s GC (Graph Curves) function now allows you to convert and compare sovereign yield curves in a single currency using cross-currency swap methodology. Investors looking at different sovereign bond curves would often like to compare curves in different currencies and their constituents on the same basis. For an individual bond this analysis can be performed using the XCCY widget in the Custom tab in YAS. Now it is possible to convert the whole curve and compare it with curves of different currencies, or to compare a single bond denominated in one currency with a sovereign curve of another currency, using the currency conversion functionality in GC.

Fig 1 GC with spread To compare yield curves on a local currency basis, run GC and select the sovereign bond curves for comparison. As an example on the picture above: US Treasuries (I25), Germany Sovereign Curve (I16 EUR) and the Czech Republic Curve (I112CZK) are selected. To limit the tenor range to 0>10 years as shown in the chart, click into the cog icon highlighted in the top right of the screen. In local currency terms, the US curve shows the highest yields. Click into the Currency dropdown in the top middle of the screen in order to compare the yield curves on a like-for-like basis. In the example shown below, the chart compares the same three yield curves in USD. The default field for comparison is the cross-currency.

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Fig 2 GC XCCY ASW Click into the X-axis dropdown in the top left of the screen and choose 'Maturity' rather than 'Tenor', in order to display and compare the actual constituent bonds in the yield curves. The points on the curve now display the benchmark bonds used to construct the curve. Hovering the mouse over any point on a curve to see the details of the bond. Having switched to displaying Maturity on the X-axis, click into the 'Lower Chart' dropdown in the top right in order to remove the Spread chart. The calculation of the cross-currency asset swap spread matches to the XCCY calculation in YAS. On the chart above we see the Czech curve offers the widest spread for 3m USD Libor after the bonds' cash flows are switched into USD, while the spreads on the US curve are the tightest.

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Enhanced Swaps Pricing in Excel: CSA Currency Solver Users are now able to price interest rate derivatives under varying collateral currencies in Excel using Bloomberg's Swap Toolkit (STK). In STK, the pricing of interest rate derivatives happens in the background through the Bloomberg Terminal pricer (SWPM), while allowing the user to benefit from the flexibility and familiarity of Excel as an interface. Under the new STK analytics structure, ‘CSA Currency’ will be a parameter input within the BSTRUCTURE() formula when pricing IR derivatives. This allows users to solve for different structural parameters - Notional, Fixed Coupon, Spread, and Leverage - by changing the currency of the collateral posted against the Net Present Value of the priced instrument (i.e. the CSA currency.) For example, a user can structure a thirty year EUR-USD Fixed -Float cross currency swap with CSA collateral currency set to GBP. Then solve for ‘Leg[2].spread’ by setting ‘Premium’ to zero. Finally, the user can view the resulting ‘Leg[2].Spread’ in a single cell. We demonstrate the function inputs and outputs below. Bloomberg's 'Single Line Pricer’ template allows users to quickly price swap and swaption deals with different CSA currency inputs.

Bloomberg's 'Single Line Pricer’ template allows users to quickly price swap and swaption deals with different CSA currency inputs. Run XLTP XSLP then click ‘1)Open’ to open the Excel spreadsheet. In ‘Column N’ ‘Deal Type’, set three lines to ‘Fixed-to-Float’ and ‘Column W’ ‘Maturity’ to 30Y then in ‘Column AW’ ‘CSA Currency’ chose three different currencies; in our example GBP, USD, EUR. In ‘Column D’ ‘Par Coupon’ increase the number of decimal places to 4 decimals to see the resulting ‘Par Coupons’ under different collateral curve discounting.

To solve for other parameters, under ‘Solver: Optional Inputs’ in ‘Column Q’ ‘Solve For’ chose for example ‘Leg 1 Notional’ ‘By Setting’ DV01 ‘To Value’ 10,000. Under Solver in ‘Column E and F’ observe that due to the difference in CSA currency, the resulting ‘Leg 1 Notional’ differs by up to 1% of the notional.

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Equity Idea generation with Watch list Analytics on WATC<GO> WATC<GO> is an idea generation and market surveillance tool that allows you to analyze key metrics across a customized investable universe, so you can identify pockets of the market or individual securities that you want to trade. You can compare securities individually or aggregate them based on geography, size, business line classification, or credit rating for a broader market perspective. Prebuilt templates allow you to compare returns, valuation, financial ratios, estimates, actuals, credit risk, and technical trading metrics, or you can customize templates with the metrics you need to generate investment ideas.

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Adjusted fundamentals now included on RV<GO> Adjusted fundamental data (excluding one-time items) is now available in RV<GO>. Data points which have been adjusted for abnormal items are shown in the different (yellow) colour in the screenshot below.

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New tabs on showing "Group Dynamics" and "vs Self" EQRV<GO> EQRV<GO> now includes two new tabs at the top of the function. The ’Group Dynamics’ tab features a ranking of how rich or cheap each member of a peer group is trading on a multiples basis versus the peer group when compared to historical norms. This shows the results of running {EQRV<GO>} from the vantage point of each member of the peer group against the same peer group and ranking the results. The Vs. Self’ tab uses the established EQRV template, but instead of benchmarking a stock relative to its peer group, benchmarks a stock’s trading multiples relative to its standalone history.

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Tracking ETF flows with FFLO <GO> FFLO <GO> is a powerful and easy-to-use screen for monitoring and analyzing global investment flows using exchange-traded-funds. It tracks investment flow into and out of exchange-traded funds (ETFs), so you can compare current or historical investment trends by asset class or country based on the reported geographic area of focus. This allows you to identify investor sentiment and spot potential trading risks and opportunities. Investment flow data appears in terms of inflows, outflows, overall net flow, and net flow as a percent of overall assets.

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Authors

Commodity Content Ian Waddell Market Specialist Commodities

Send an Email to : [email protected]

Foreign Exchange and Economics Content Simon Peisley Market Specialist Foreign Exchange and Economics

Send An Email to: [email protected]

Equity Content Ankon Rahman Market Specialist Equities

Send an Email to: [email protected]

Fixed Income Content Robin Pickover Market Specialist Fixed Income Send an Email to: [email protected]

mailto:[email protected]




bloomberg australia and new zealand monthly bulletin may · 2016-05-02 · bloomberg australia and...

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