Bloomberg Pricing & Regulatory Solutions

v v

時価評価サービス

2

Usage Guidelines

This box will not be visible in Slide Show mode or when printed.

Slide Description: Divider Slide

Heading: Arial 66 pt

Usage: This slide type can be used as an section divider to better organize chapters of content within a presentation or deliver a key message

WHY VALUATIONS ARE RELEVANT?

規制: より詳細で包括的な情報開示の必要性

— 規制 (例 IFRS 13)

— 財務報告

— 監査

ボラティリティ

— オペレーショナル・リスク – データの質及び一貫性

— リスク管理

— 風評リスク

BVAL CASH

BVAL Overview

BVAL （Bloomberg評価サービス）:

— BVAL Cash: 対象は225万銘柄（債券）

— BVAL OTC デリバティブ & 仕組商品 – フロー・エキゾチック

信頼性、透明性、立証性のある時価評価

高度に自動化及びアルゴリズム化されたプロセス

— 規律のある手法

— 一貫性があり信頼性の高い評価価格の提供

数千のデータソース

プライスチャレンジ：BVAL 専任のヘルプデスクの設置： 評価担当

者へ直接質問可能

データフィード及び端末経由で参照可能

Coverage of cash securities

GSAC MUNICIPALS MORTGAGE

- 米国債

- 国際・政府機関債

- マネーマーケット

- ソブリン

- 社債

- CB

- 新興国債

- シンジケートローン

- 仕組み債

- 米国地方債（投資適格）

- 米国地方債（ハイイールド）

TBA Mortgage Pools

- MBS 固定プール

- ARMS& SBAプール

- CMBS

- CMOs

- CMO デリバティブ・ス

トリップ債

- 消費者ABS

- 国際ABS

BVAL CASH – BVLI<GO>

BVAL CASH – Transparency screen

BVAL CASH – Transparency screen

BVAL CASH – Transparency screen

BVAL OTC DERIVATIVES AND

STRUCTURED PRODUCTS

BVAL OTC DERIVATIVES - OVERVIEW

OTC デリバティブ及び仕組商品の独立性のある評価サービス

アセットクラス及びプロダクトカバレージ: フロー物、エキゾチック物 （Bloombergの計算機能 + DLIB + 内部データとの連携）

高品質のデータ: Golden Copy data の活用 (専用のプレミアムデータ)

髙い専門性: BVAL は32名のファイナンシャルエンジニアを抱え 価格のディスピュート解決をサポート及びP/Lに関する説明を提供

監査に耐えうる評価: モデルとデータの透明性 (End of Dayと日中のスナップショットに基づいた評価)

広範囲なサービス: CVA/DVA, VAR,ストレステスト, Key Rate Risk calculation and reporting

標準的なOTCデリバティブ商品

• スワップ： IRS, ベーシス, 通貨、アモチ、キャンセラブル、エクイティ（単一及びバスケット）、商品、FX、インデックス、単一バリアンス及びボラティリティ • オプション: プレインバニラ（ヨーロピアン、アメリカン、バミューダン）、

クロスカレンシー、スワプション、ストラドル、第一世代のエギゾチック（バイナリー、バリアー、アジアン、ルックバック） • フォワード: FX, 株式およびその他の資産クラス • クレジット: CDS インデックス、シングルネーム、nth-デフォルトスワップ、クレジットバスケットスワップ •インフレーション：ゼロクーポン・インフレーションスワップ、YOYスワップ、YOYオプション

Bespoke 及び 仕組み債

•金利/インンフレーションアセットクラス: レンジアクルーアル、リバース/

キャップドフローター、ＣＭＳストラクチャードスワップ、スプレッドスワップ、トリガースワップ、TARNS, コーラブルスノーボール、コーラブルラチェット、スラチャードインフレーションノート • 株式、ＦＸ、コモディティ: 相関スワップ、バリアンススワップ、レンジアクルーアル/コリドー、フォワードスタートバリアー、バリアー/クリケット/カスタムバスケットストラクチャー • クレジット: CDSオプション、コーラブル/プッタブル, CDS スワプション、スプレッドオプション、シングルトランシェCDOs、 マルチトランシェCDOs •ハイブリッド

COVERAGE OF DERIVATIVES INSTRUMENTS

BVAL OTC DERIVATIVES – PORTFOLIO TOOL

権限を与えられたユーザーは、保有ポートフォリオから様々な検索基準で参照したいポジションを検索できます。データはPDFやエクセルの形で取り出すことが可能です。

権限を与えられたユーザーは、取引のサマリーや市場価値、リスク指標などをBVPM画面を通してご覧いただけます。対応した分析機能上にデータを再現してご覧いただく事も可能です。

BVALは全てのヒストリカルデータ（価格、リスク指標等）をサーバーに保存するので、ブルームバーグのGP,HP, HS等の一般的な端末機能を通してデータをご覧いただけます。

DERIVATIVES DATA &

ANALYTICS

BVAL CURVES

DDA & CURVES DATA

Derivatives Data & Analytics

— BVOL: Implied Volatility (株式, FX, コモディティ, 金利)

— Curves: 金利, CDS, Forward

— コリレーション

BVAL Curves

— 投資適格及び ハイイールド 業種のカーブ

— 投資適格発行体別カーブ

— Government and Agency Issuer curves

マイナス金利下での時価評価

評価関連データ

BVAL デリバティブ

— プレミアム金利ボラティリティデータ（ゴールデンコピー）を使用したスワプションの評価

— 欧州のマイナス金利環境での実績

— ファイナンシャルエンジニアの直接サポート

金利データ

— ノーマルボラティリティ

— BVALで利用しているプレミアムデータをDDA契約で提供

— Cap/Floor, ATM, OTM

v v

REGULATORY SOLUTIONS

18

Usage Guidelines

This box will not be visible in Slide Show mode or when printed.

Slide Description: Divider Slide

Heading: Arial 66 pt

Usage: This slide type can be used as an section divider to better organize chapters of content within a presentation or deliver a key message

FAIR VALUE HIERARCHY LEVELING

20

FAIR VALUE LEVELING AND ACCOUNTING DISCLOSURE

• Reporting entities subject to IFRS or US GAAP have the obligation to understand and to disclose the pricing methodologies that drive the valuations used for their portfolios.

• Regulation explicitly requires a market-based price where available rather than an entity-specific price.

• Further refines the ‘three level’ valuation hierarchy originally specified in FAS 157, placing an emphasis on observability and valuation techniques.

ASC820 and IFRS 13

• Facilitates clients in responding to the accounting requirements set forth by ASC 820 and IFRS 13 .

• Provides an objective, consistent and defensible data solution for many of the regulatory and accounting issues facing our clients today, such as accounting disclosure and valuation control, by exposing the underlying market data used in the Bloomberg Valuation Service (BVAL) pricing models.

Regulatory Transparency Fields

• Allows clients to customize and store their own rules to determine fair value leveling results, either 1, 2 or 3, at a certain point in time, while aligning with BVAL’s high quality, independent price.

• Saves considerable effort by allowing fair value leveling decisions to be made consistently and defensibly using the same customized rules over time.

Fair Value Hierarchy Leveling Tool

REGULATORY TRANSPARANCY FIELDS

21

FAIR VALUE HIERARCHY LEVELING TOOL

22

LIQUIDITY COVERAGE RATIO

(BASEL III – LCR)

BASEL III: LIQUIDITY COVERAGE RATIO (LCR)

24

• As a response to the 2008 financial crises the G20 launched an overhaul of banking regulation, known as Basel III. In addition to changes in capital requirements and the introduction of a leverage ratio, Basel III introduces new liquidity requirements: the Net Stable Funding Ratio (NSFR) and the Liquidity Coverage Ratio (LCR).

What is the International Framework for Liquidity Risk Measurement1?

• The LCR promotes the short-term resilience of the liquidity risk profile of banks by ensuring banks have an adequate stock of unencumbered High-Quality Liquid Assets (HQLA) that can be converted easily and immediately in private markets into cash with limited loss of value to meet their liquidity needs for a 30 calendar day liquidity stress scenario. LCR Calculation = (HQLAs / Total Net Cash Outflows 30-Day Stress Period) >= 100%

• LCR was introduced on 1 January 2015 in most juristictions3 with a gradual phase of the minimum requirements.

What is the purpose of the LCR2?

• Robust data set consisting of new HQLA fields and existing reference data defines the universe of HQLA eligible securities (we cover both fixed income and equities).

• Sophisticated rules engine employed to determine the applicable level of HQLA eligibility.

• New HQLA specific fields provide relevant and valuable data points intended to assist clients in making an informed determination of HQLA eligibility.

Bloomberg’s HQLA Solution

1. “Basel III: International framework for liquidity risk measurement, standards and monitoring” - http://www.bis.org/publ/bcbs188.pdf

2. “Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools”, Part 1, Sections I and II - http://www.bis.org/publ/bcbs238.htm

3. Japan LCR reporting starts on 1 Apr 2015

バーゼルⅢ ：流動性リスク計測の国際的枠組み

25

• 2007 年に始まったグローバル金融危機では、多くの銀行が十分な資本を持ちながら流動性の確保が十分でないために、短期金融市場の混乱とともに資金繰りに困難を生じることとなった。その反省に基づき、バーゼル銀行監督委員会（BCBS）などの国際機関は対策チームを組むなどして 初めて定量的な流動性規制が課されることになった。: 安定調達比率 (Net Stable Funding Ratio – NSFR)および流動性カバレッジ比率(Liquidity Coverage Ratio – LCR)がこれにあたる。

バーゼルⅢの流動性規制1

• 安定調達比率は、長期（満期１年以上）の融資等の流動性が低く、売却が困難な資産（分母：所要安定調達額。オフバランスシートを含む）を安定的な調達（自己資本・負債）によってカバーすることを求めるもの。

• NSFR = (利用可能な安定調達額（資本＋預金・市場性調達の一部）/ (所要安定調達額) >= 100%

• 2018年から実施予定

安定調達比率 (NSFR)2

• LCRは、銀行に「30日間継続するストレス状況下で流出する資金」を賄うことのできる、「高品質な流動資産」を確保させることを目的としたもの

• 適格流動資産とは、「①ストレス時においても大きく減価することなしに換金できる資産（『高品質な流動資産』）であって②換金に係る障害が無いもの

• LCR = (高品質適格流動資産) / (30日間のネット資金流出) >= 100%

• 2015年から実施

流動性カバレッジ比率 (LCR)3

1. “Basel III: International framework for liquidity risk measurement、standards and monitoring” - http://www.bis.org/publ/bcbs188.pdf

2. “Basel III: The Net Stable Funding Ratio”、I。Introduction & II。Definition - http://www.bis.org/publ/bcbs271.pdf

3. “Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools”、Part 1、Sections I and II -

http://www.bis.org/publ/bcbs238.htm

ブルームバーグHQLAソリューションの概要

26

• お客様の規制関連報告業務向けに新規データ項目を開発しました。

• 新規項目は、パー・セキュリティーとバルクファイルどちらでもご利用いただけます。

• 下記3種類のモジュールにてご提供致します。

* GSAC = 政府、国際機関、政府機関、社債

HQLA 分類

• 米国、ヨーロッパ、カナダ、日本、オーストラリア、バーゼルIIIでのHQLAが特定できる13のHQLA項目や米国流動性レポーティング用の5Gアセットカテゴリ

• 31の 証券マスタ、派生データ、価格データ、クレジットリスク項目

• 対象アセット: GSAC*、 モーゲージ・プール、資産担保証券、消費者ABS、米国地方債

流動性の証明

• 「流動性があり容易に

換金性がある」ことや「市場があり大きな取引ボリュームがあること」を判断するための6 の追加債券項目

• 対象アセット: GSAC*、 モーゲージプール(TBA)、 資産担保証券、消費者ABS、米国地方債(TBA)

中央銀行適格担保

• 中央銀行関連の3つの新規バルク項目

• 10つの中央銀行に対応

• 貸出制度毎のヘアカット率を提供

• 対象アセット: GSAC*、 モーゲージ・プール、資産担保証券、消費者ABS、米国地方債

規制当局 項目

株式

GSA

C

プール

AB

S

米国地方債

北米

US HQLA 米国基準レベル分け

HQLA FR2052A Eligible Asset Class Designation

HQLA カナダ基準レベル分け

欧州等 HQLA EU 基準レベル分け

アジア HQLA 日本基準レベル分け

HQLA 豪州基準レベル分け

全地域

HQLA Basel III レベル分け

HQLA 主要指数フラッグ N/A N/A N/A N/A

HQLA 30日価格騰落率 (3)

OECD 加盟国

OECD 主要リスク所在国

全地域 “流動性があり容易に換金性がある”要件 (6) - - - -

全地域

中央銀行 指定適格担保 N/A

中央銀行 準適格担保 N/A

中央銀行適格担保ヘアカット率 N/A

27

HQLA: カバー範囲

* GSAC = 政府、国際機関、政府機関、社債

CENTRAL BANK ELIGIBILITY

28

• Central Banks provide liquidity to the financial system by accepting collateral from financial institutions.

• A set of rules governing the eligibility of the collateral is maintained and updated by the different central banks on a daily basis, this can be either a definite list of securities or asset level guidance on securities that are accepted as collateral.

What are Central Bank Eligible Assets

• Collateral frameworks have changed significantly over the past years, more modifications are yet to come.

• Various styles of collateral frameworks are currently available on the market – not only in terms of eligible asset types, but also other dimensions such as eligibility across lending facilities, haircut policies, collateral management (earmarked or in a pool), etc.

Industrial Challenges

• A central data depository with broad coverage of assets include both fixed income and equities.

• Data fields provide details to distinguish banks with implicit versus explicit security lists. This transparency makes it easier for the client to conduct additional analysis if necessary. Updates of central banks explicit rules are captured on a daily basis.

• Sophisticated rules engine used to determine the applicable haircut of a single security accepted by different central banks.

Bloomberg’s Central Bank Eligibility Solution

1. BIS Markets Committee Publications No. 6 “Central bank collateral frameworks and practices ” - http://www.bis.org/publ/mktc06.pdf

中央銀行適格担保

29

• ブルームバーグは各中央銀行の対象証券や関連ヘアカット率を特定するための貸出制度を算出するロジックを開発しました。

• 指定適格担保対象証券一覧又は準適格担保のガイダンスは各中央銀行が提供します。

対象中央銀行 指定適格担保

準適格担保

ﾍｱｶｯﾄ率

1 United States Federal Reserve (FRB)

2 European Central Bank (ECB)

3 Bank of England (BOE)

4 Swiss National Bank (SNB)

5 Riksbank (RIKS)

6 Bank of Canada (BOC)

7 Bank of Japan (BOJ)

8 Bank of Korea (BOK)

9 Hong Kong Monetary Authority (HKMA)

10 Reserve Bank of Australia (RBA)

LIQUIDITY ASSESSMENT TOOL (LQA)

Liquidity

MIFID

FRTB

LCR

CLAR

RRP

SEC 22e-4

Volcker Rule

Margin Period of Risk

LCR requires “liquid and readily marketable”

determination in addition to HQLA

classification

SEC Liquidity Risk Management Program

requires relative liquidity classification by

time to liquidation bucketing

Firms need a holistic approach to

liquidity, using a methodology

across jurisdictions, regulations

and asset classes to produce

consistent and reproducible

outcomes across the firm

Liquidity has become omnipresent in regulatory requirements: liquidity is now

an input as well as an output of many regulatory requirements.

31

LIQUIDITY ASSESSMENT TOOL (LQA)

The overall model is based on three components:

LQA MODEL OVERVIEW

Market Impact model

• We estimate price shift from a fair value given a specific volume

• Calibration can be extended to every asset class

Machine Learning Engine

• Problem : A lack of trade data gives < 100% coverage

• Solution : Cluster Analysis is used to identify comparable assets

Rich Market Data + Sophisticated Analytics

• Reactive to market conditions

• Leverage multiple sources of transaction data

32

LQA ILLUSTRATION: IBM CORP -- IBM 1 7/8 2022

• Price impact for selling 1% of AMT is -0.307 (USD) with uncertainty (st.dev.) of 0.210. The probability of execution at the bid is 47.61%.

• The max volume can be executed, with market impact not bigger than 0.31%, is 8.70 MM (USD).

• Given max volume and accepted market impact, the time to liquidation is 1.15 days (under linearity assumption in this release).

All values in local currency

Comparable: Top 5 Cluster Members

Price Distributions by Volume # of trades on cluster : 469 # of trades on target : 31

Probability of liquidating at the BVAL bid (or better) Distances in Cluster (# of member s5)

(BLUE are from the same issuer)

VolumeNew

PriceImpact Uncertnty

Prob of selling

at bid or higher

TTL for

MI < 0.31

MPU

Price

MPU

AVA

CC

AVA

CP

AVA

total

AVA

500,000 93.65 -0.16 0.11 88.20% 0.06 93.50 0.01 0.00 0.00 0.01

1,000,000 93.63 -0.18 0.12 82.48% 0.11 93.47 0.04 0.00 0.00 0.02

5,000,000 93.56 -0.25 0.17 59.68% 0.57 93.34 0.18 0.00 0.00 0.09

10,000,000 93.50 -0.31 0.21 47.61% 1.15 93.23 0.28 0.01 0.00 0.14

20,000,000 93.42 -0.39 0.26 36.50% 2.30 93.09 0.43 0.09 0.00 0.21

50,000,000 93.27 -0.54 0.37 25.12% 5.74 92.80 0.71 0.25 0.00 0.36

33

LQA: LIQUIDITY SCORE EXPLAINED

• Liquidity score synthesizes estimated security level liquidity

• Simulates a standard volume SELL, and account for :

• Average market impact (𝐼 𝑖) • Historical standard deviation of market impact (𝜎𝐼𝑖

)

• Calculates the liquidity for every security included in the solution

• 𝑙𝑖 = 𝑓 𝐼 𝑖 , 𝜎𝐼𝑖

• To define the final score :

• We bucket 𝑙𝑖 in quantiles and generate an score 𝐿 where 𝐿 = 1, … , 100

• 𝐿 = 100 (highly liquid) is attributed to securities having 𝑙𝑖 from 99𝑡ℎquantile to 100𝑡ℎ etc

73

100

1 Less liquid

Highly liquid

34

LQA: TERMINAL FUNCTION LQA<GO>

35

VOLCKER RULE – COVERED FUNDS

VOLCKER RULE: COVERED FUNDS

37

• Under the Volcker rule, a banking entity is prohibited from owning or sponsoring a “covered fund” which includes:

• hedge and private equity funds that rely on Section 3(c)(1) or Section 3(c)(7) exemptions from Investment Company Act

• similar funds defined as “commodity pools” and foreign funds that would meet the definition of hedge or private equity fund

What is a covered fund?

• Bloomberg’s Covered Fund Tool has coverage of Securitizations (including Non-Agency RMBS, CMBS, Consumer ABS, and CDOs), Collateralized Loan Obligations, Covered Bonds and Foreign Listed Securities.

• For all above product types a dedicated Bloomberg terminal screen is developed which displays key information most relevant to Front Office personal for Pre-Trade screening. In addition, a Daily File is distributed including additional fields most relevant to Back Office personal for the purposes of monitoring compliance and risk reporting.

Bloomberg Covered Funds solution

38

Indicative Covered Fund

Indicates whether a tranche is part of a deal that is a covered fund as per the Volker Rule of the Dodd Frank Act, solely based on

language contained in the prospectus. Self reported covered funds return "Y" while self reported Volcker compliant deals return "N",

other possible returns are "N/A" where the document doesn't address the rule.

Indicative Investment

Company Act

Exemption

Returns the relevant Investment Company Act exemption the issuer has stated it is relying on, solely based on language contained in

the prospectus. Possible returns are "3(c)7", "3(c)1", "3(c)(5)", "3(c)(11)", "3(c)(3)", "3a-7", "3a-6“, “3(c)1 & 3(c)7”, "Other than 3(c)7 and

3(c)1", "N/A“.

Covered Fund Exclusion

Type

Returns the relevant exclusion to Covered Funds as defined by the Volcker Rule. For 100% loan, it will return "Loan Securitization”,

other possible returns are "N/A“.

Indicative Ownership

Interest

Indicates whether a tranche constitutes an ownership interest in a covered fund as per the Volker Rule of the Dodd Frank Act, solely

based on language contained in the prospectus. Self reported ownership interests return "Y" while self reported non-ownership interests

return "N". Possible values are "Y", "N", "N/A“.

Volcker Language

Indicator

Returns pre-enumerated language a security's prospectus contains as to its Volcker compliance. Possible returns are "Not a Covered

Fund", "Intends to Comply", "No Assurance", "No Mention (pre 2014)“, “No Mention (post 2013)”, "N/A" or "Not Researched" if the

Prospectus has not been reviewed.

Securities Basket

Indicator

Specifies whether a security has a securities basket available to purchase securities, regardless of the balance of the securities basket.

Returns "Y", "N", or "Conditional" solely based on prospectus language.

Multiple Offering Flag Indicates whether the security has linked bonds with alternate forms (i.e. 144A, RegS, etc.). Possible values are "Y", "N", "N/A“.

SEC Registered Security Indicates whether the relevant tranche is registered under the Securities Act of 1933. Possible values are "Y", "N", "N/A“.

Reg S Flag Indicates if the security is eligible for trading exemption under rule Reg S. Possible values are "Y", "N", "N/A“.

144A Flag Indicates if the security is eligible for trading exemption under rule 144a as per its initial public offering. Possible values are "Y", "N", "N/A“.

Accredited Investor Flag Indicates if the security is issued under Reg D and is available only to those investors who meet certain financial requirements. Returns a

Y or N.

In addition to the fields above, the following fields will be available in the Daily File distributed via FTP to subscribed clients:

General additional fields Securitization specific fields CLO specific fields

• 3C7 Indicator • Collateral Type • Re-securitized Flag • Deal Original Face Value

• Prospectus Availability • Mortgage Original Amount (Tranche) • Synthetic Flag • Deal Current Face Value

• Deal Type • Mortgage Deal Original Value • Tranche Original Face Value • CLO Collateral Type

• Type of Security • Mortgage Deal Current Value • Tranche Current Face Value • CLO Tranche Type

• Current Amount Outstanding • CLO As Of Date

COVERED FUNDS : BLOOMBERG SOLUTION The following fields are displayed on a dedicated Terminal Screen and the Daily File to subscribed clients.

39

COVERED FUNDS: TERMINAL SCREEN VCF<GO>

SOLUTIONS IN DEVELOPMENT

COLLATERAL TAGGING

41

• Better capitalized banks and a more robust financial system has been one of the primary objectives of regulators globally following the 2008 financial crisis, aiming to reduce the risk of bank failures, contagion risk and bank bailouts.

• As a result of the crisis, regulators across the globe started imposing more strict margin and collateral requirements on OTC Derivative transactions and collateral application for capital risk mitigation. Regulators mandated the development of standards that set out the levels and types of collateral as well as segregation arrangements required to ensure timely and accurate separation of such collateral.

• US and Europe have been at the forefront of this initiative with the finalization of initial and variation margin requirements (finalized in December 2015 and expected to come into force early summer 2016).

What is Collateral Tagging

• Maintenance of multiple rules based on the different national regulatory frameworks the client operates under, i.e. Europe, US, Japan, etc.

• Margin and collateral frameworks have evolved significantly in the past few years with an expectation this will continue into the near future. Regulators are expected to (re)align their thinking which will require continued maintenance and monitoring of collateral classification.

• Existing regulation highlights the need for a level of standardized interpretation of the requirements to produce an accurate and consistent classifications of collateral.

What is the challenge?

• The Bloomberg Collateral Tagging Solution will provide clients with an efficient channel to determine collateral eligibility for non centrally cleared OTC derivatives across various global regimes.

• It provides the market place with a consistent methodology for collateral valuation and estimation eliminating subjective interpretation by the clients collateral management and risk management department.

• Provides a flexible infrastructure that leverages Bloomberg’s extensive data coverage to provide up to date and precise tagging of securities (~3mln securities covered).

Bloomberg Proposed Collateral Tagging Solution

LOOK THROUGH

42

• Financial institutions have the regulatory obligation to perform a ‘look through’ in investments in funds for compliance and risk purposes.

• Under the Solvency II regulation (in force as of 1 January 2016) insurance companies must perform a look through in determining their Pillar 1 minimum Solvency Capital Requirement (SCR) for different asset risks (e.g. spread risk).

• Capital and liquidity regulations require banks to perform look through to the ultimate underlying of investment funds to determine their credit and market risk exposure.

What is look through

• Performing a look through is a complex exercise as funds can invest in multiple other funds (fund of funds) in more than one layer of reinvestments, funds can be synthetic in nature creating potentially counterparty risk.

• For financial companies, even if the data can be obtained with sufficient granularity and quality, the amount of data can grow exponentially with fund of funds in play, creating significant challenges in terms of control of data and data management in general.

What is the challenge?

• The solution determines, after multiple look troughs until the ultimate underlying security is identified, a bulk field that contains the constituents of the ultimate underlying’s of the fund and the reference data of those holdings.

• The Bloomberg solution provides extensive coverage for fund look through with timely and extensive reference data.

Bloomberg Proposed Collateral look through

LOOK THROUGH: COMPREHNSIVE DATA SET

43

• Bloomberg is the leading data source for

shareholder and debt holder ownership

information. Our database contains

transactions and positions data from over

70,000 unique fund portfolios, 93,000

institutional investors and 444,000 insiders

from 179 countries. Ownership data is

displayed at the individual, issuer, investing

institution, 13F and fund level. Our history for

all of these is available dating back to 1999.

• Our data is sourced directly from issuers,

fund companies, custodians, stock

exchanges, public share registries, 13Fs and

individual stakeholder filings to provide

comprehensive ownership profiles of over

50,000 listed companies globally. We provide

ownership details for 58,000 equity securities

and 527,000 fixed income securities.