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BLOOMBERG ENTERPRISE SOLUTIONS Risk Solutions Beyond the Desktop April 19 th , 2016
13

BLOOMBERG ENTERPRISE SOLUTIONS - Amazon S3 · BLOOMBERG RADIO, BLOOMBERG PRESS and BLOOMBERG.COM are trademarks and service marks of BFLP, a Delaware limited partnership, or its subsidiaries.

Apr 18, 2020

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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

    8

    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

    9

    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

    11

    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…

    12

    ● 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: