Definition of the field YAS_RISK for bonds on Bloomberg terminal

Question

The Bloomberg terminal has the following definition for the field YAS_RISK (SP190): "Indicates the price sensitivity given shifts in interest rates." It does not specify, however, what currency is used for the price change, and in which units the interest rate is measured (basis points?).

Also, I don't have much experience with bonds, so I'm not sure if the change in interest rates refers to a change in the yield of the bond.

Answer 1

I think it might be helpful to give an example here. So lets say you would want to estimate your PnL for a bond using the yield change and use YAS_RISK to retrieve your DV01 for a specific nominal.

• Assuming nominal of 1,000,000
• Yield change: Lets use a realtime field for yield change RT_YLD_CHG_NET_1D This is in percentage

To get the DV01 for your nominal of 1,000,000 using the YAS_RISK you simple take 1,000,000*BDP("security", "YAS_RISK")/10000

If you want the PnL based on the yield change you multiply (-100)*RT_YLD_CHG_NET_1D("security") by your DV01 abovce (-100 comes from converting pct to Bps and negative sign if long, if short 100).

Answer 2

I learned that I can contact Bloomberg Help Desk and got an answer from there: YAS_RISK is DV01/100, where DV01 is the dollar price change resulting from a one-basis-point change in yield.

YAS_RISK is given in the currency of the bond, because DV01/100 is a percentage of the face value, and the face value is given in the currency of the bond.

Please correct me if I misunderstood something.

Answer 3

I've only got the same documentation as you but I'd say YAS_RISK is a rate of change per 100 bp interest rate change, i.e. the unit is percent which makes sense given that most bonds are quoted in percent on par.

Change in interest rates refers to the consensus benchmark rates at comparable duration (by default). Details can be set up using YASD <GO>.