Bloomberg Wealth Management Solutions John Bridge, CFA.

BloombergWealth Management

SolutionsJohn Bridge, CFA

ECONOMIC IMPROVEMENT

FIXED INCOME TRADING

FIXED INCOME VALUATION FOR STRUCTURED ASSETS

PORTFOLIO RISK MANAGEMENT

AGENDA11

2

3

4

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

Fixed Income Trading Fixed Income Valuation Portfolio Risk Management

1

ECONOMIC IMPROVEMENT

Economic Improvement

Housing Market Turn?

Case Shiller 10 city housing price index

New Home Sales

Existing Home Sales

Fixed Income Trading Fixed Income Valuation Portfolio Risk ManagementEconomic Improvement

First increase in housing prices since June 2006

Consumer Debt and Personal Savings

Consumer debt has dropped for the first time since 1992

Personal Savings are at an all time high.


Overnight Index Swap

Lending liquidity between banks is improving


OIS spread hovered around 8 basis points from 2001 to July of 2008.

Spread hit an all time high of 364 basis points on 10/10/08.

We are now below 30 basis points

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.

2

FIXED INCOME TRADING

Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation

Bloomberg Bailout and Rescue Program Transparency Menu


TARP and Temporary Liquidity Guarantee Bonds


Live Execution for FDIC Guaranteed Bonds


MSRB and TRACE reporting


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.

3

FIXED INCOME VALUATION


RMBS structured pay down without loss assumptions

Historical Constant Default rate is 12.98, loss severity is 27.18.


RMBS structured pay down with loss assumptionsModel

losses using 13% annual default rate, and a 30% severity.

2A1 loses 2.12% with first loss in March 2013.

2A2 loses 23.35% with first loss date in June 2011

Reasonable default and severity assumptions produce very different return results.


“Super Yield Table” stratifies the collateral


Perform loss analysis by varying loss assumptions for subsets of your collateral. In this case, we are using days delinquent.


Select all loans with a debt service coverage ratio < 1.2.

Resulting loans with a debt service coverage ratio < 1.2.

CMBS Advanced Scenarios


CMBS Advanced Scenarios

Three independent loan groups with custom loss assumptions


CMBS Advanced ScenariosStructure Pay down

Bloomberg’s Structured Notes Menu

Structure, price, and search for equity, fx, interest rate structured notes.


“Capital Protected” Structured Note


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.

4

Portfolio Risk Management



Portfolio Slice and Dice


Portfolio Slice and DiceIndustry and Single Security Breakdown


Portfolio Slice and DiceDistribution

Key Rate DurationIndustry Breakdown



Key Rate DurationSingle Security Breakdown


Value at RiskIndustry Breakdown


Value at RiskIndustry Breakdown

Questions?

Portfolio Risk ManagementFixed Income ValuationFixed Income TradingEconomic Improvement

Date post:	27-Dec-2015
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Bloomberg Wealth Management Solutions John Bridge, CFA.

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