Regulations require more detailed disclosures and stricter risk measurement.
Bloomberg’s evaluated pricing service, BVAL, provides accurate and defensible pricing of fixed income and derivatives instruments for mutual funds, money managers, hedge funds, internal pricing groups, auditors, and regulators. Whether the priority is quality, coverage or independence, BVAL consistently augments transparency with high-quality data for the front, middle office and operations via the Bloomberg Professional® service and an enterprise feed.
Read the full story around the Risk & Regulation round table series: The implementation of transparency.
Quality. Coverage. Transparency. Independence.
Out of the millions of securities that exist, most are thinly traded and difficult to price. Traditionally, a few broker quotes were sufficient to justify value. Regulators now understand the need to increase rigor and transparency when establishing fair and independent asset evaluations.
The entire enterprise benefits from the consistency of Bloomberg’s high-quality data when front, middle office and operations all work with the same information. Risk committees will appreciate BVAL’s ability to not only provide defensible pricing but also to help identify, measure, monitor and manage valuation uncertainties particularly during volatile conditions. Accounting teams can expect to see market data inputs for exactly how prices are derived. And senior executives will obtain a greater sense of control over their valuations through the transparency BVAL provides, easing concerns about valuation defensibility.
Faster Pricing for Fixed Income and Derivatives Instruments
BVAL draws on Bloomberg’s industry leading reference data and yield calculators to price more than 2.5 million securities daily. Utilizing only the highest quality market contributors—including TRACE, MSRB, exchanges and broker quotes—this pricing data is further filtered, cleansed and verified for ongoing quality and consistency. The entire process is overseen by capital market experts who monitor the final pricing result and provide exceptional customer service. BVAL provides extensive coverage for fixed income and derivatives instruments.
BVAL Fixed Income
200,000+ Government, Supranational, Agency and Corporate (GSAC) bonds
1,000,000 U.S. Municipal bonds
1,230,000 Securitized structures (ABS/MBS)
Valuations include the BVAL score, a proprietary measure of the relative amount and consistency of market data used to generate an evaluated price
BVAL for Government, Supranational, Agency and Corporate Bonds
The sheer range of global asset classes and bond structures in this category can be daunting. With pricing derived using Bloomberg’s systematic approach, BVAL covers a broad range of global asset classes and bond structures in more than 35 countries, including fixed- and floating-rate bonds as well as a variety of other bond structures:
Caps and floors
BVAL for Municipals
Bonds issued by U.S. municipalities pose a pricing challenge because of the large number of unique instruments and the fact that many issuers are not rated, making comparisons difficult. While municipal bonds are typically priced using data from direct observations or curves drawn from observed comparables, BVAL compares a string of qualities and characteristics, including ratings, call protection and AMT eligibility, among numerous other factors. As a result of this granularity, BVAL constructs more than 60,000 pricing curves to choose from, ensuring the best fit for any municipal bond.
BVAL for Securitized Products
Given the scope of the securitized market, the range of factors that affect pricing and the heightened regulatory scrutiny of this sector, pricing methodologies must be thorough and justifiable. BVAL employs Bloomberg’s extensive securities database to group mortgages based on fundamental characteristics, including underlying collateral, structural features and risk profile. Then, it models cash flows, gathers direct observations from many sources, and applies sophisticated algorithms and observed market data to those cash flows to calculate valuations. This methodical, logical approach enables BVAL to price each mortgage security according to its unique characteristics and behaviors, rather than through wide-ranging aggregations that lack the necessary precision and granularity.
The size, trade volume and complexity of the derivatives market present unique challenges that have intensified regulatory scrutiny and introduced reputational risk. BVAL Derivatives helps firms meet these challenges by combining vast amounts of high-quality market data with precise calibration to provide credible, transparent and defensible valuations across a broad spectrum of derivatives and structured notes. These unbiased, independent valuations are delivered through the BVAL Derivatives single-point data feed, ensuring:
Asset Class and Product Coverage
Data and Model Transparency
High-Quality Data and Techniques
Interest Rate, Inflation, Equity, Foreign Exchange, Commodity, Credit and Hybrids
Vanilla OTC Derivatives, such as Swaps, Options and Forwards
Structured Notes and Exotic Derivatives