GIOA Conference March 23th 2016

Core Bloomberg AnalyticsFor Our Current Market Environment

Raymond JohnsonFixed Income Specialist

415 617 7014rjohnson3@bloomberg.net

Current Interest Rate Environment

Price Discovery and Yield Curve Analytics

GYGY allows users to graph yields historically to gain insight into how the market has evolved over time. You can also plot additional data such as economic indices on the chart. GY allows you to view historical yield with news and events for a related security, so you can use charts to identify trends and market patterns.

GCGC allows you to monitor interest rate and credit curves to gain insight into how the entire fixed income market has evolved over time. You can also plot curve interpolations, individual securities, and new issue points to add additional context for your relative value analysis. Tip: The lower chart may be switch to a table showing relative credit spreads between curves.

HSA:HSA allows you to display and customize historical spread analysis for swap, government, curve, butterfly, and box strategies. You can display historical data and charts, so you can determine the relative value of current strategies and generate trade ideas based on combinations of bonds, swaps, and futures instruments. You can also set alerts to notify you when spread strategies breach custom thresholds.

BTMM: The real-time data in the market rates section of the screen provides you with an overview of the primary asset class rates for the specified country. Integrated links to related functions and the ability to load certain monitored securities in the quote line allows you to perform further analysis on specific securities.

EDSF:The synthetic forward rates data allows you to monitor Eurodollar future deposit rates and calculate effective yields for synthetic forward rate agreements. The information on the screen highlights when there is a market update. Editable fields in the Bid/Ask/Last column allow you to enter your price(s) to determine the most effective yield priced off of a credit curve.

Credit Evaluation and Analytics

Credit Trends and Spreads

FICM:FICM displays a high level overview of the intraday, real-time performance of cash bonds within the investment grade, high yield, and emerging credit markets, allowing you to spot opportunities within a particular sector by comparing where spreads have tightened or widened on the day.

TFLO:TFLO displays the buying and selling volumes of dealer-to-client, dealer-to-affiliate, and dealer-to-dealer fixed income deals, so you can identify trading opportunities in the credit and agency markets. You can filter data by sector, maturity, rating, ticker, and issuer to pinpoint information specific to your analysis.

TACT:TACT provides an overview of fixed income trading activity as disseminated by the Financial Industry Regulatory Authority (FINRA) via the Trade Reporting and Compliance Engine (TRACE), allowing insight into the bond markets secondary trading activity.

GC – Credit CurvesGC allows analysis of not only government yield curves but Industry and Issuer Specific Credit Curves. Compared current curves to historical levels.

GC – Historical DataBy clicking a the spread data in the lower table Bloomberg allows user to graph the historical spreads between any two yield curves. Tip: GC allows not only spreads to benchmark curves but plots spreads between individual issuers curves and industry curves.

Price Discovery Analytics

Government, Agency and Corporate Bond Price Discovery

BOOMBOOM is a money-market offering and execution platform that allows you to search for liquidity within short term U.S. money markets, so you can seamlessly identify, evaluate, and execute trades that complement your strategy. You can create custom searches for offerings, then analyze results and launch tickets for the securities you want to trade.

DOCP:DOCP is part of the contribution's suite of functions. This suite includes several types of pages, such as menu pages, digital pages, page-based pages, sortable digital pages, and research pages. This help page provides an overview of each type of page along with detailed instructions on how to use the tools and functionality available from each type of page.

NIM2NIM allows you to monitor news headlines and security data related to new issue bonds with a real-time calendar, so you can easily access key issuance information that helps you stay ahead of the marketplace. You can also create custom calendars that give you a high level of control over the data that appears, as well as study a summary of sector level statistics that allows you to expand the scope of your analysis.

FITFIT is the fixed income electronic trading platform for U.S. rates (U.S. Treasuries, Agency TBAs, Agency debentures) and a broad set of global sovereign debt. FIT links all available fixed income electronic trading products into one portal and provides multi-dealer, executable composite pricing, so you can stage, monitor, trade, and allocate trades on Bloomberg.

IMGRIMGR consolidates indications of pricing and liquidity across multiple asset classes to provide transparency into your trading activity. The sources of pricing information feeding into IMGR include quotes mined from the Bloomberg Message (MSG) function, the Runs Manager (RUNZ) function (including both pricing and dealer AXES), single dealer offering pages, and more.

QMGR: Consolidates various indications of pricing and liquidity across multiple asset classes to provide transparency to your trading activity for a single security. The sources of information feeding into QMGR include quotes mined from the Bloomberg Message (MSG) function and the Runs Manager (RUNZ).

BVAL:Bloomberg's BVAL Price analytic provides transparent and highly defensible prices across the for a variety of fixed-income securities including government, agency, corporate bonds, mortgage backed, and municipal bonds. The key to BVAL's methodology is its real-time access to market observations. In addition to sophisticated algorithms used for prices,

Tip: BVAL assigns a Score which can provide insight into a bond’s liquidity.

Single Security Analytics

Yield Analysis for Treasuries, Agencies, Corporates and Floating Rate Securities.

YAS - GovernmentsYAS consolidates the BLOOMBERG PROFESSIONAL® service yield analysis functions onto a single screen and allows you to price a fixed income security based on custom inputs, including spreads to a benchmark issue or benchmark curve. You can calculate yields using various market conventions, day types, and compounding methods.

YAS - CorporatesYAS consolidates the BLOOMBERG PROFESSIONAL® service yield analysis functions onto a single screen and allows you to price a fixed income security based on custom inputs, including spreads to a benchmark issue or benchmark curve. You can calculate yields using various market conventions, day types, and compounding methods.

YA - FloatersYA consolidates the BLOOMBERG PROFESSIONAL® service yield analysis functions onto a single screen and allows you to price a fixed income security based on custom inputs, including in the case of floating rate securities discount margin (DM).

OAS – Callable BondsOAS1 allows you to calculate the values for the early redemption features of a government or corporate bond, so you can make relative value judgments based on credit risk. You can create custom credit curves and determine the implied volatility assumptions that the market uses to price bonds with redemption provisions.

FPA Carry CalculationsFPA allows you to analyze the purchase of a selected fixed income security with borrowed funds using forward pricing, so you can calculate and communicate the terms of a sell/buyback or buy/sellback deal. A security's forward price derives its value from determining the repo rate, which is the spread between a bond's yield and the short-term cost of financing the bond.

FIHZBloomberg’s Horizon Analysis allows you to value the expected total return of a selected bond, swap, or butterfly over a specific time horizon, based on your expectations regarding reinvestment rates and changes in yield. FIHZ allows you to measure the historical or predicted future performance of a bond, swap, or butterfly, using your own assumptions regarding dates and rates.

FISABloomberg’s scenario analysis allows you to compare and analyze the profit/loss and percentage return of a selected bond, swap, or butterfly under different scenarios based on changes in specific yields, dates, reinvestment rates, or specified curve shifts.

BAMR:BAMR displays the amortized or accreted value of a bond to a specific workout date so you can use this value in your investment strategy decision.

Portfolio Analytics

Fixed Income Portfolio Scenario, Cash Flow and Risk Tools

PRTU:The Portfolio Administration screen, which is the default screen for PRTU, allows you to create, share, and manage portfolios, portfolio groups, benchmarks, and strategies that you have created or that have been shared with you.

PORT:PORT empowers you to gain deeper insight into your portfolios by providing the tools to understand the structure of your portfolios, analyze your positions and active bets, and explain the drivers of historical performance and potential sources of future risk. PORT provides a streamlined workflow that includes intraday performance monitoring, fundamental characteristics, historical performance attribution, ex-ante tracking error, scenario analysis, and portfolio optimization.

PORT CASH FLOW:The Characteristics tab allows you to analyze the fundamental characteristics of your portfolio. For fixed income portfolios, you can see your portfolio's duration, credit quality, yield, and spread to evaluate the core structure of your investments. You can also analyze your portfolio's tenors on the yield curve, observe projected cash flows for your portfolio,

PORT:Portfolio Holdings Breakdown and graphing capabilities.

Bloomberg Excel Tools

XLTP: Sample Templates

XLTPBloomberg XLTP, Excel Template Library provides hundreds of excel templates used by customer to analysis fundamental, market and economic data allowing the creation of proprietary spreadsheets with individual customized analysis. Tip: Use the Search Box on the top left to find individual template of interest.