BST Awards 2022: Best buy-side evaluated pricing service—Bloomberg

Overview

Bloomberg’s evaluated pricing service, BVAL, utilizes more than 100 million pieces of data every day to supply evaluated pricing for over 2.7 million securities across all fixed-income asset classes. BVAL delivers pricing for Bloomberg’s fixed-income indices by providing credible, defensible and transparent valuations. BVAL pricing is available on the Bloomberg Terminal or as an enterprise datafeed. Clients have access to 11 global pricing snapshots across government, supranational, agency and corporate (GSAC) bonds, securitized products, municipals and curves daily.

What problem does it address?  

BVAL combines human markets experience with rigorous computational approaches to provide its clients with reliable, transparent pricing. It derives its pricing from direct observations, a one-to-one match of the same position identifier, observable comparables and a match of characteristics of the positions where market information is available. Bloomberg’s valuations are also supported by the BVAL Score, a proprietary measure showing the relative amount and consistency of market data used to generate each evaluated price.

Secret sauce 

Core to BVAL pricing is the transparency around how each price valuation is produced, detailing every step in the process with insight into the data inputs and methodologies used, allowing clients to understand how pricing valuations are derived. BVAL delivers a combination of explainable prices and quick turnarounds for the pricing challenges clients might have.

Recent milestones

• Provided a direct observation pricing source within the Bloomberg environment so new clients can obtain BVAL’s pricing through their delivery method of choice
• Enhanced evaluator workflow and challenge process by reducing manual processes and improving the user interface, resulting in a 40% reduction in average response times for resolving clients’ requests.
• Brought international securitized product pricing completely in-house and expanded coverage by 30% to positions previously not priced.

Future objectives 

• Further enhancements to recently launched price transparency data solution, underpinned by BVAL, to help clients assess whether a market quote is “readily available” under SEC Rule 2a-5.
• Building a pricing residual function enabling additional pricing adjustments to be applied to a cohort of bonds to improve quality for agency securities.
• Improving commercial mortgage-backed securities (CMBSs) pricing by incorporating Kroll Bond Rating Agency (KBRA) loan information into BVAL’s pricing, and making KBRA information available on the Terminal.

Why they won

Bloomberg maintains its consistent run of form in the Buy-Side Technology Awards by taking home the best buy-side evaluated pricing service, thanks to its ubiquitous BVAL service covering 2.7 million fixed-income securities. Evaluated pricing services consist of more than pure pricing metrics―they need to provide transparency around how those prices were extrapolated, especially when it comes to thinly traded or Level 3 assets where market prices are hard to come by. This is where Bloomberg excels through its team of experts who are on hand to explain assumptions and methodologies to clients if and when they need to challenge prices.