Thomson Reuters Fixed Income Derived Analytics

powered by BlackRock Solutions®

Leveraging Market-Leading Capabilities New strategic partnership brings together global leaders in their respective fields

Thomson Reuters • World’s leading source of

intelligent information for businesses and professionals

• Reputation for providing the best, most accurate pricing in the market

• Support financial and risk, legal, tax and accounting, intellectual property and science and media markets

• Employs approximately 60,000 people

• Operates in over 100 countries

BlackRock, Inc. • Assets Under Management

(AUM) of $3.560 trillion (as of June 30, 2012)

• Renowned for its disciplined investment process and rigorous bottom-up approach to risk management

• Employs approximately 9,900 people in 27 countries

• Major presence in key global markets, including North and South America, Europe, Asia, Australia and the Middle East and Africa

BlackRock Solutions • Combines sophisticated risk

analytics and investment systems with capital markets and business process expertise

• Provides risk and advisory services to 160+ clients

• BlackRock Solutions Aladdin®

platform utilized to trade over $12 trillion in assets, liabilities and derivatives each day

About BlackRock

• Worlds largest Asset Manager

• At June 30, 2012, BlackRock’s

AUM was $3.560 trillion

• BlackRock serves institutional,

retail and high net worth investors

in more than 100 countries

• Products span the risk spectrum to

meet clients’ needs, including

active, enhanced and index

strategies across markets and

asset classes

CLIENT TYPE Dollars in billions

CLIENT REGION

AUM Dollars in billions

About BlackRock Solutions

• The BlackRock Solutions platform is currently used to analyze and

process approximately $12 trillion in assets, liabilities and derivatives

as of June 30, 2012

• Uniquely positioned to address the risk management needs of

financial institutions and institutional investors

• Combination of proprietary risk analytics and investment systems with

the financial markets and business process expertise that comes from

being a part of one of the largest capital markets participants

About BlackRock Solutions

• Two primary lines of business:

• Aladdin Risk and Investment

Platform – highly scalable

investment management

platform combining portfolio

analysis and risk management

tools with a complete trade

processing platform

• Financial Markets Advisory -

solves complex problems for

financial institutions through

unbiased financial markets

advice and integrated project

execution

• Aladdin Investment Platform

• Green Package® Risk Analysis

• Middle and Back Office Outsourcing Services

• Investment Accounting

Aladdin Investment Platform

• Valuation/Risk Assessment

• Financial/Balance Sheet Strategy

• Dispositions and Workouts of Distressed Assets

Financial Markets Advisory

• Proprietary analytics + highly scalable investment platform + capital markets expertise

• Services tailored to best address each client’s challenges

• Client requirements treated as though they are our own – act as an extension of the in-house team

Customized Solutions

Industry Challenges

Globalization of Investing is driving participants farther

and farther from home in search of yield

Deep domain expertise is needed to build battle-tested models and systems to properly mitigate risk

Building proprietary systems is costly, time consuming and a drain on resources

Opens participants up to the scrutiny of their investors, boards and regulators

They are investing in Fixed Income Securities that may not be simply vanilla, rather more exotic securities

Wide Spread Relevance

Challenges of regulatory compliance and delivering yield

have widened the relevance for usage of analytics

Fixed

Income

Derived

Analytics

Institutional

Asset

Managers

Family

Offices

Corporate

Treasuries

Pension

Management

Firms

Insurance

Companies

Hedge

Funds

Sovereign

Wealth

Funds

Banks

Solutions Overview

• New analytics are battled-tested by

BlackRock and are used to help

manage over $3.5 trillion in AUM

• Analytics are sourced from BlackRock

Solutions’ premier investment

management system Aladdin

• Distributed via Thomson Reuters

DataScope Select and Thomson

Reuters DataScope Onsite platforms

• New analytics utilize Thomson Reuters

Fixed Income Terms and Conditions,

and Evaluated Pricing and leverage

BlackRock Solutions’ proprietary fixed

income models

Turn-Key solution to help validate and manage the risk of fixed income

portfolios

Solutions Overview Continued

• Utilize the same models and

methodology BlackRock and their

clients use every day

• Benefit from unmatched accuracy

and data quality that is created

from the “virtual feedback loop” of

analysis and control to

continuously enhance the quality of

the fixed income derived analytics

• Utilize analytics to measure and

assess security risks with the

confidence that these are the same

analytics used by BlackRock and

its clients

Use best-in-class interest rate, credit, mortgage and risk models

Additional Client Advantages

• Clients can reduce overhead

and lower operating costs,

as they no longer need to

undertake these complex

and costly calculations

• Ability for clients to increase

staff/ personnel capacity

by refocusing them on

core competencies

“Taking these new derived

analytics could save an

enormous amount of work

and expense compared to the

investment and on-going costs

associated with building and

managing an analytic process

in-house.”

Virginie O’Shea, Post-trade

Technology Analyst, Aite Group

Securities Covered & Calculated Risk Measures

Government Bonds

Agency Bonds Corporate Bonds US Mortgage

Pools (Not Structured)

Convertible Debt/Preferred

Stock

US Commercial Mortgage-Backed Securities (CMBS)

Six assets classes covered initially with over 1.2 million securities:

• Nominal Yield

• Nominal Spread

• Nominal WAL

• Modified Duration (Nominal)

• Nominal Maturity

(Last Cash Flow Date)

• ZV Yield

• ZV WAL

• ZV Spread

• Modified Duration (ZV)

• ZV Maturity (Last Cash

Flow Date)

• Spread Duration

• Option-Adjusted Spread

• Option-Value

• Option-Adjusted Duration

• Option-Adjusted Convexity

• Modified Duration to Worst

• Key Rate Durations

Fixed Income Derived Analytics –

Security level market risk measures covered:

Creating the Analytics

Applications for Analytics

• As an input into internal performance reporting and analysis process. Essentially, the analytics enrich data as an input into reporting tools

Performance & Attribution

• To support the risk and compliance function, providing the middle office with: • An external secondary source to perform regular valuation and

analysis of portfolios

• The ability to validate duration tolerances and shocks to the yield curve and provide insight into the risk and sensitivities of portfolio to interest rate movements

Risk & Compliance

Leverage fixed income derived analytics for:

Best-in-Class Analytics

“Customers should feel confident that they

have the most accurate view of the securities

and instruments they hold...since these are the

same derived analytics that BlackRock and

our clients use to manage their portfolios.”

Robert Goldstein

Senior Managing Director, Head of BlackRock’s

Institutional Business and BlackRock Solution

Appendix

Additional slides if needed

Reference Data–Fixed Income

FULL SUPPORT

For the life cycle of the bond

GLOBAL FIXED

INCOME COVERAGE

• Governments

• Semi-Governments

(Agencies)

• Corporates

• Supranationals

• Certificate of Deposits

• Commercial Paper

• Eurobonds

• Convertibles

• Asset-Backed

Securities (ABS,

RMBS)

GLOBAL COVERAGE Breadth and Depth

• Access to over 5.6 million active and

retired securities

• Terms and conditions for over 1.3 million

US taxable fixed income securities,

• 200,000 loan facilities, 2.3 million US

municipal securities(1.2m live), non

agency

• CMO’s, Asset Backed securities and

450,000 international bonds spanning all

asset subtypes

• Over 175 proprietary analytics providing

a full view on each fixed-income

instrument daily – including duration,

convexity, OAS analytics and yield

calculations

• Global ratings data from over 20 top

agencies including S&P, Moody’s, Fitch,

ICMA and Dominion Bond Ratings

Service, and key regional agencies in

Asia such as JCR

BREADTH

• Global Government/Corporate and

US Municipal bonds

• Call, Put, Sink, Extended, Coupon

and Capitalization Schedules data.

• Government/corporate and CMO/ABS

instruments

• Coupon schedules: Retrieve past,

present and future coupon rates, rate

changes and associated dates for

DEPTH

• Duration, Spread, Yield,

Discount Margin,

• Prepayment Model,

Prepayment Speed

• Bankruptcy flags

• Call refunding dates, Call final price

• Amortization Type

Reference Data–Equities

GLOBAL COVERAGE Breadth and Depth

• Global terms and conditions

• Global equities coverage including: Equities (stocks, ADRs,

GDRs), Warrants (equity, index, basket), Funds (exchange-

listed, ETF, NAV), Indices, Options,

• Options on Futures, Futures, Money and FX (forwards and

swaps)

• More than 3.2m securities worldwide:

• Equities 300,000

• Warrants 745,000

• Indices 28,000

• Funds 87,000

• Options 880,000

• Options on Futures 865,000

• Futures 250,000

• Money 57,000

Depth of Content

Issuer

Name

Description

Cross Reference Codes

Places of Listing

Ratings (both long and short)

Thomson Reuters Pricing Service

• Thomson Reuters unbiased & independent global information provider

• Comprehensive coverage of all financial instruments in all markets

• Thomson Reuters Pricing Service staffed by 115+ fixed income professionals

• Vast dealer contribution network

• Direct access to Thomson Reuters evaluation staff for price challenges

• Complete transparency on pricing methodology

• Accurate data measured by stringent quality control metrics

• Flexible and scalable delivery platform – Thomson Reuters DataScope Select

• Constant development and investment in Thomson Reuters Pricing Service

Evaluated Pricing Services

• Evaluates over 2.6 million fixed income and derivatives securities on a

daily basis servicing thousands of clients worldwide

• Specializing in “harder to value” securities that other vendors cannot price

• CLO’s, Derivatives and Structured Notes are priced per client requests – we are

currently valuing over 30,000 CLOs and derivatives daily

• Has over 150 evaluators positioned globally plus over 4,500 support staff

• Evaluators have real market experience (e.g. trading, research etc)

• Specialist by asset class

• Access to 21,000 live price contributions and trader contacts in the market

• Evaluators have tools to use these for quality and audit purposes

• Offers the best in class customer service – regional helpdesk, direct access

to evaluators

• Pricing Specialists and Evaluation staff on hand to discuss pricing methodology,

challenges and price discrepancies