Investors in fixed income and derivatives face a complex set of challenges. Due to changes in marketplace dynamics and regulatory mandates, robust pricing solutions are critical for investors in fixed income and derivatives.
From buy-side and sell-side trading desks to compliance, pricing and accounting teams, the need is more acute than ever for thinly-traded instruments with little or no observable liquidity.
Bloomberg is uniquely positioned to combine data, analytics and trading workflow to support price discovery, execution and regulatory reporting. Our pricing solutions leverage these strengths so we can offer specific pricing sources to fulfill your needs.
With global regulators demanding ever more detailed disclosures and stricter risk measurement, meaningful transparency is critical. 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 your priority is quality, coverage or independence, BVAL consistently augments transparency with high-quality data for the front, middle office and operations via the Bloomberg Terminal and an enterprise feed.
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, including pricing the Bloomberg Barclays Indices, the global market leader in fixed income indexing.
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:
- Financial Expertise
- Asset Class and Product Coverage
- Data and Model Transparency
- High-Quality Data and Techniques
- Market Snapshots
Valuations for a comprehensive range of underlying asset classes and instruments are provided via an enterprise data feed and through the Bloomberg Terminal. Coverage includes:
- Interest Rate, Inflation, Equity, Foreign Exchange, Commodity, Credit and Hybrids
- Vanilla OTC Derivatives, such as Swaps, Options and Forwards
- Structured Notes and Exotic Derivatives
BVAL’s fixed income solution includes broad bond market coverage that spans:
- 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
Inside Reference Data Award Recipient “Best Evaluated Prices Service Provider”: Bloomberg
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 municipal AAA Curves
More transparent. More robust. More often. Your AAA curves, refined.
AAA
BVAL’s Municipal AAA Curves use real-time trades and contributed sources to reflect movement in the Municipal market as it is happening. Our AAA curves are monitored on an hourly basis by BVAL’s team of municipal evaluators.
Transparent
The production of our curves relies heavily on sophisticated modeling techniques that normalizes credit differences of eligible AAA-rated credits, removes outlier trades and contributed levels, intelligently seeks corroboration within the data sources, and leverages BVAL’s proprietary curve building techniques.
Robust
AAA now allows you to select from two of our brand new municipal curves:
AAA Callable Curve: BVAL’s AAA Callable curve is a standard market scale with non-call yields up to year 10 and callable yields thereafter. This curves assumes a normalized 5% coupon and is plotted yield to worst.
AAA Baseline Curve: BVAL’s AAA baseline curve normalizes callable bonds using BVAL’s expected redemption date (BERD) and is used for BVAL pricing. This curves assumes a normalized 5% coupon and is plotted yield to worst.
More often
BVAL’s municipal AAA curves are produced hourly (9:00 am — 4:00 EST) and is available on the Terminal shortly after each hour.
Learn more: BVAL AAA Curves Methodology
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:
- Callable
- Step-coupon
- Caps and floors
- Inflation-linked
- Strips
- Convertible
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.
Real-time pricing. Executable quotations.
Pre-trade price transparency is valuable for both buy and sell-side traders, as well as for compliance and price verification. Composite Bloomberg Bond Trader (CBBT) is a composite price based on the most relevant executable quotations on FIT, Bloomberg’s Fixed Income Trading platform. Its aim is to indicate where clients can reasonably expect to execute on the platform during trading hours, and prices are updated as dealer levels change.
Broader coverage. Greater independence.
No matter what your trading style, Bloomberg data and pricing engines can support it, helping you make markets in more bonds with less effort, generate dealer runs and execute voice trades. In addition to pricing derived from executable trades, Bloomberg offers multiple solutions for intra-day indicative pricing:
- Bloomberg Generic prices (BGN) are a single-security composite derived from electronic dealer contribution. Both executable and indicative levels are considered.
- The Bloomberg Benchmark Magenta Line (BMRK) is a market-calibrated price based on reported trades, electronic dealer contributions, terms and conditions data and comparable securities. The result is broader coverage than BGN and a degree of independence from dealer levels.