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BLOOMBERG ENTERPRISE SOLUTIONS Risk Solutions Beyond the Desktop
April 19th, 2016
BEYOND THE TERMINAL
2
ENTERPRISE
SOLUTIONS
Data
Regulatory Solutions
Data MGMT
Pricing / Valuation
Reference Data
Feed: - Security Master
- Prices
- Corporate Actions
- Legal Entity
- Derived / BBG
Calculated
- Fundamentals &
Estimates
Integrate into both
proprietary & 3rd
party applications
/ systems
Vendor neutral
data management
system
Data Governance: - data cleansing
- quality control
- golden copy
creation
Full data lineage
& audit trail
Report generation
with advanced
data visualization
AGENDA
3
Pricing / Valuations
1. Independent Valuations
a. Cash Bonds
b. Derivatives & Structured Products
Regulatory Solutions
1. Liquidity Assessment
2. Fund Look-Through
INDEPENDENT VALUATIONS
4
BGN BVAL
Market Consensus Price BGN + Model Price
(when there is no active market)
INDEPENDENT VALUATIONS
5
BVAL
Market Data
Method-ology
BVAL Score
Cash Instruments Market Data
- Access to a larger pool of
contributors vs BGN
Methodology - In the absence of any direct
market observations, will look at
comparable bonds from the same
issuer, industry, credit rating etc
BVAL Score (Metadata) - Measures the relative strength of
the market inputs used
- It does this by looking at:
1. # of market participants
2. Standard deviation
INDEPENDENT VALUATIONS
6
Premium Data
• Get the Data - Volatility Surface - Curves - FX Correlation
• Benefits - Cleansed Sources, instruments, and methodologies
Valuation Tools
• Get the Tools - Calculators - Model Selection
• Benefits - Offer both standard templates and customized scripts - Risk analysis
Financial Engineers
• Get the People - Fully outsourced valuation process
• Benefits - Apply best market practice - Price challenges & audit support
More
Control
Less
Control
Derivatives & Structured Products
INDEPENDENT VALUATIONS
7
Value Proposition
1. Multi-Asset Class Coverage
2. Transparent Methodology & Results
3. Data Consistency with BBG Terminal Users
4. 24 Hour Service & Access to Financial Engineers
LQA
LIQUIDITY ASSESSMENT
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Inputs include:
- Trade volume
- Price
- Bid/Ask spread
- Price volatility
- Turnover
When there is a market When there isn’t
Trade Data
Cluster Analysis
Explanation in
next slide
LIQUIDITY ASSESSMENT
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Cluster
Analysis
LIQUIDITY ASSESSMENT
10
Outputs
Probability of selling
a certain volume at
a specific price
Expected cost of
liquidation (market
impact)
Number of days to
liquidate (TTL)
Liquidity Score
FUND LOOK-THROUGH
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Funds
Open End
Fund of Funds
ETFs
Closed End
Holdings Data
- Fund Constituents
- Weights
- Security Type
Data on 70,000 fund portfolio’s with 93,000 institutional investors, and
historical data dating back to 1999
Data is sourced directly from issuers, fund companies, custodians, stock
exchanges, public share registries, and 13F’s
OTHER SERVICES…
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● IFRS 9
− Automation of SPPI test
● Solvency II
− Data mapping for Pillar 3 rerporting
13
The BLOOMBERG PROFESSIONAL® service and BLOOMBERG Data (the “Services”) are owned and distributed by Bloomberg Finance L.P. (“BFLP”) in all jurisdictions other
than Argentina, Bermuda, China, India, Japan, and Korea (the “BLP Countries”). BFLP is a wholly owned subsidiary of Bloomberg L.P. (“BLP”). BLP provides BFLP with global
marketing and operational support and service for the Services and distributes the Services either directly or through a non-BFLP subsidiary in the BLP Countries. Certain
functionalities distributed via the Services are available only to sophisticated institutional investors and only where the necessary legal clearance has been obtained. BFLP, BLP
and their affiliates do not guarantee the accuracy of prices or information in the Services. Nothing in the Services shall constitute or be construed as an offering of financial
instruments by BFLP, BLP or their affiliates, or as investment advice or recommendations by BFLP, BLP or their affiliates of an investment strategy or whether or not to “buy”, “sell”
or “hold” an investment. Information available via the Services should not be considered as information sufficient upon which to base an investment decision. BLOOMBERG,
BLOOMBERG PROFESSIONAL, BLOOMBERG MARKETS, BLOOMBERG NEWS, BLOOMBERG ANYWHERE, BLOOMBERG TRADEBOOK, BLOOMBERG TELEVISION,
BLOOMBERG RADIO, BLOOMBERG PRESS and BLOOMBERG.COM are trademarks and service marks of BFLP, a Delaware limited partnership, or its subsidiaries.
BVAL is a service provided by Bloomberg Finance L.P. and its affiliates. BVAL valuations do not express an opinion on the future or projected value of any security and are not
research recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enter or not to enter into any other transaction involving any specific interest) or
a recommendation as to an investment or other strategy. No aspect of the BVAL valuation or other data is based on the consideration of a customer’s individual circumstances and
information available via BVAL should not be considered as information sufficient upon which to base an investment decision. You should determine on your own whether you
agree with the BVAL valuation. BVAL is offered where the necessary legal clearances have been obtained. BVAL should not be construed as tax or accounting advice. Employees
involved in the BVAL services may hold positions in the securities included in the BVAL services.
Bloomberg Finance L.P. and its affiliates, in providing the BVAL services, believe that the information it uses comes from reliable sources, but do not guarantee its accuracy.
Disclaimer:
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