This new model is integrated with BTCA, Bloomberg’s multi-asset transaction cost analysis tool, significantly enhancing the solution to deliver pre- and post-trade intelligence. “The product provides us with trusted pre-trade price discovery and an automatic connection to post-trade analysis that ensures a valuable feedback loop for our traders to inform their trading decisions.” “Reliable pre-trade data for fixed-income is scarce, which makes price discovery and proving best execution a challenge,” explained Jan-Theo Varkevisser, Global Head of Fixed Income Trading, PGGM. PGGM, a Bloomberg Transaction Cost Analysis (BTCA) solution customer, partnered with Bloomberg’s trading quant research team to beta test Bloomberg’s new pre-trade TCA function.

These include: side and size of the order, the real-time Composite Bloomberg Bond Trader (CBBT) bid-ask spread, the amount outstanding, the rating and currency of the bond, and an additional overlay with the bond’s age, term, and time to maturity. The model has been calibrated based on five years of historical trade information, proprietary to Bloomberg taking a variety of factors into account. Clients can also run scenario analysis by customizing their views on the bond spread and rating, which results in different cost, probability, and volume in potential trading outcomes. In addition to assessing trade costs, clients can analyze daily executable volume and probability of execution to better inform their trading and portfolio construction decisions. The new model provides pre-trade analysis for investment grade and high yield corporate and sovereign bonds across the globe and offers a liquidity tree across various order sizes.

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