Bloomberg. Wealth Management. John Bridge, CFA

Transcription

1 Bloomberg Wealth Management Solutions John Bridge, CFA

2 AGENDA 1 ECONOMIC IMPROVEMENT 2 FIXED INCOME TRADING 3 FIXED INCOME VALUATION FOR STRUCTURED ASSETS 4 PORTFOLIO RISK MANAGEMENT

3 1 ECONOMIC IMPROVEMENT Changes in the housing market, debt and savings rates, as well as borrowing and lending liquidity have altered the wealth management landscape. They are now showing signs of improvement

4 Housing Market Turn? New Home Sales Case Shiller 10 city housing price index Existing Home Sales First increase in housing prices since June 2006

5 Consumer Debt and Personal Savings Consumer debt has dropped for the first time since 1992 Personal Savings are at an all time high.

6 Overnight Index Swap OIS spread hovered around 8 basis points from 2001 to July of Spread hit an all time high of 364 basis points on 10/10/08. We are now below 30 basis points Lending liquidity between banks is improving

7 2 FIXED INCOME TRADING Find bonds that have been issued or trade under the various rescue programs so that you can take advantage of government sponsored guarantees and meet due diligence requirements by ensuring that you are quoted a fair price.

8 Bloomberg Bailout and Rescue Program Transparency Menu

9 TARP and Temporary Liquidity Guarantee Bonds

10 Live Execution for FDIC Guaranteed Bonds

11 MSRB and TRACE reporting

12 3 FIXED INCOME VALUATION The potential overhaul of regulatory oversight is heightening the awareness and importance of fiduciary responsibility. Proper and detailed valuation methods for structured products are critical to due diligence. Bloomberg has the proper tools that you need to value MBS and structured notes so that you meet or exceed these requirements.

13 RMBS structured pay down without loss assumptions Historical Constant Default rate is 12.98, loss severity is

14 RMBS structured pay down with loss Model losses using 13% annual default rate, and a 30% severity. assumptions 2A1 loses 2.12% with first loss in March A2 loses 23.35% with first loss date in June 2011 Reasonable default and severity assumptions produce very different return results.

15 Perform loss analysis by varying loss assumptions for subsets of your collateral. In this case, we are using days delinquent. Super Yield Table stratifies the collateral

16 CMBS Advanced Scenarios Select all loans with a debt service coverage ratio < 1.2. Resulting loans with a debt service coverage ratio < 1.2.

17 CMBS Advanced Scenarios Three independent loan groups with custom loss assumptions

18 CMBS Advanced Scenarios Structure Pay down

19 Bloomberg s Structured Notes Menu Structure, price, and search for equity, fx, interest rate structured notes.

20 Capital Protected Structured Note

21 4 The potential overhaul of regulatory oversight is heightening the awareness and importance of fiduciary responsibility. Proper and detailed valuation methods for structured products are critical to due diligence. Bloomberg has the proper tools that you need to value MBS and structured notes so that you meet or exceed these requirements.

22 Portfolio Slice and Dice

23 Portfolio Slice and Dice Industry and Single Security Breakdown

24 Portfolio Slice and Dice Distribution

25 Key Rate Duration Industry Breakdown

26 Key Rate Duration Single Security Breakdown

27 Value at Risk Industry Breakdown

28 Value at Risk Industry Breakdown

29 Questions?