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

Transcription

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

2 BEYOND THE TERMINAL Reference Data Feed: - Security Master - Prices - Corporate Actions - Legal Entity - Derived / BBG Calculated - Fundamentals & Estimates Integrate into both proprietary & 3 rd party applications / systems Pricing / Valuation Data ENTERPRISE SOLUTIONS Data MGMT Regulatory Solutions 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 2

3 AGENDA Pricing / Valuations 1. Independent Valuations a. Cash Bonds b. Derivatives & Structured Products Regulatory Solutions 1. Liquidity Assessment 2. Fund Look-Through 3

4 INDEPENDENT VALUATIONS BGN BVAL Market Consensus Price BGN + Model Price (when there is no active market) 4

5 INDEPENDENT VALUATIONS Cash Instruments Market Data Method -ology BVAL BVAL Score 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 5

6 INDEPENDENT VALUATIONS Derivatives & Structured Products 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 6

7 INDEPENDENT VALUATIONS Value Proposition 1. Multi-Asset Class Coverage 2. Transparent Methodology & Results 3. Data Consistency with BBG Terminal Users Hour Service & Access to Financial Engineers 7

8 LIQUIDITY ASSESSMENT When there is a market When there isn t Trade Data LQA Cluster Analysis Inputs include: - Trade volume - Price - Bid/Ask spread - Price volatility - Turnover Explanation in next slide 8

9 LIQUIDITY ASSESSMENT Cluster Analysis 9

10 LIQUIDITY ASSESSMENT 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 10

11 FUND LOOK-THROUGH 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 11

12 OTHER SERVICES IFRS 9 Automation of SPPI test Solvency II Data mapping for Pillar 3 rerporting 12

13 Disclaimer: 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. 13