Portfolio Management and Risk Analytics · PORTFOLIO MANAGEMENT: Thearles Ch River Manager...
Transcript of Portfolio Management and Risk Analytics · PORTFOLIO MANAGEMENT: Thearles Ch River Manager...
Charles River IMS Portfolio Management
and Risk Analytics
Charles River Portfolio Management and Risk Analytics
Portfolio Construction
Exposures & Sensitivities
Risk Management
Scenario Analysis
Performance & Attribution
Multi-Asset Coverage Asset Valuations Analytics & Managed Data
Foundations
Portfolio Construction, Optimization and Analysis •Analyzeaccountscontainingdifferentcurrenciesandinstruments,managedtodifferentmandates •Constructportfoliostoalignwithinvestmentguidelinesandoptimizeportfoliocomposition • ManageLiabilityDrivenInvestmentmandatesandstrategies
Analyze and Understand Exposures and Sensitivities •Viewportfolioexposuresacrossmultipledimensionsandcustomclassifications •Proposetradestobringexposuretotargetlevels,andseeexposuresadjustinreal-time •Analyzesensitivitiestorate,creditandinflationriskfactorsatportfolioandcategorylevels
Model, Measure and Manage Portfolio Risk •Decomposeriskatportfolioandcategorylevelsintosystemicandidiosynchraticrisk •ManagetotalportfolioriskusingValueatRisk(VaR),conditionalVaRandcomponentVaR •Providethefrontandmiddleofficewithasingle,consistentviewofrisk
Scenario Analysis, Stress Testing and Trend Analysis •Modelportfoliostressfactors:interestrateandFXshifts,creditspreadchanges,andinflationshocks •Leveragefactormodelstopredicthowfactorshiftsimpactthescenariobasedonfactorcovariances •Applystressfactorshiftsandvisualizeportfolioandbenchmarkimpactsoveranytimehorizon
Performance Measurement and Attribution •Viewhistoricalperformanceacrossanytimeframetoevaluateportfolioconstructiondecisions •Selectattributionmethodologybasedonbusinessneeds;applyatglobal,accountorreportlevels •Analyzeex-postrisktoverifythatinvestmentdecisionsalignwithriskmandate
Analytics, Valuations and Managed Data • Globalinstrumentandanalyticscoverageandmanagedreference,pricing,indexandbenchmarkdata •Industrystandardcomputationalmodelshelpensureaccuratevaluations •Managedpricing,benchmark,corporateactionsandreferencedataservices
Portfolio Construction
Exposures & Sensitivities
Risk Management
Scenario Analysis
Performance & Attribution
Foundations
A Complete Solution for Portfolio ManagersCharlesRiverPortfolioManagementandRiskAnalyticscombinesallofthenecessarycapabilities,data,analyticsandbenchmarksneededtoeffectivelymanagelargemulti-assetportfolios.Thesolutionprovidesassetmanagerswith:
•Portfolioconstructionandanalysis
•Ex-anteriskmodelingandex-postriskmeasurement
•Scenarioandtrendanalysis
•Performancemeasurementandattribution
•Pre-packagedworkflowsandstandardizedinterfaces
Thescalable,cloud-basedinfrastructurehelpsensurebuy-sidefirmscanhandlecomplexmulti-assetportfoliosaswellaslargebenchmarks.Nativeanalyticsandahighperformancemodelingengineallowportfoliomanagerstogenerateriskforecastsandanalyzescenariosinreal-time.
Buy-sidefirmscanreplacemultiplesystemswithasinglesolutionthatsupportsallinvestmentproductsandassetclasses,andprovidesthefrontandmiddleofficewithaconsistent,enterprise-wideviewofriskandperformance.
InstitutionalassetmanagerscanimplementtheirentireinvestmentprocessonCharlesRiverusingacommonsetofdataandanalytics,andcanincorporatethird-partyriskmodelsandbespokedatasourcestosupporttheirstrategiesandproducts.
CharlesRiverhelpsinstitutionalinvestmentmanagers:
•Morereadilyunderstandriskswithasingle,enterprise-wideviewofcounterpartyexposuresandriskmetrics
•Respondfastertomarketopportunitiesandmakemoreinformedallocation,targetingandhedgingdecisions
•Increaseportfoliomanagerandanalystproductivitybyprovidingacompletesetofcapabilitiesthatstreamlinetheinvestmentprocess
•Eliminatedisparatesystemsbymanagingallproductsonasinglesolution
•Leveragethelatestcapabilitiesandriskmodelswithcloud-baseddeployment
Construct, Analyze and Optimize Multi-Asset PortfoliosCentralizedportfoliomanagementcapabilitiesprovideviewsofexposuresandholdings,soportfoliomanagerscan:
• Seetheimpactofassetallocationandde-riskingdecisions
• Constructportfoliosthatalignwithinvestmentguidelines
• Understandeventhemostcomplexcomplianceandriskguidelinesandreadilyadjustproposedallocations
Managerscanoptimizeanumberofportfolioattributesdirectlyfromtheportfoliomanagementworkspace.Attributesincludethedesiredlevelofturnover,trackingerrorranges,andthedesirednumberoftransactions.Portfolioscanbetiltedtowardspecifictargetsforanynumberofuser-definedvariablesorsecuritygroupings.Hardconstraintscanbeappliedinabsoluteterms,relativetoabenchmark,orrelativetotheinitialposition.Bothmarketneutralandunevenlong/shortstrategiescanbeoptimizedasasingleproblem,eliminatingtheneedtoperformseparateoptimizations.TheoptimizercanusefactorsderivedfrombothCharlesRiver’sstandardmodelsandthird-partymodels.
CharlesRiveralsosupportshistoricalanalysis.Portfoliomanagerscanviewhistoryintermsofholdings,and/orperformtrendanalysis.Forexample,afixedincomemanagermaywishtoseehowtheywerepositionedactivelyagainstabenchmarkintermsofexposureandduration;thisanalysiscanbeperformedviathehistoricalviewsandchartedforvisualeffect.
View portfolio characteristics by asset type and exposure versus benchmark by issuer.
Portfolio Construction
Analyze each asset type’s contribution to duration
Screenshots are for informative purposes only; no live data being used.
Construct and Manage LDI Driven StategiesLiability-DrivenInvestment(LDI)strategieshelpinsurersandpensionsmanageassetsbasedonthecashflowsrequiredtofundfutureliabilities.Thesestrategiesmayincludematchingthecashflowsofassetswiththecashflowsofliabilities,ormatchingtherisksensitivitiesofbothassetsandliabilities,sothatassetscanstillfundliabilitiesifmarketconditionschange.Thesecapabilitieshelpassetmanagersminimizeaportfolio’sliquidationriskbyensuringassetsales,interest,anddividendpaymentscorrespondwith
expectedpaymentstobeneficiaries.
TheCharlesRiverInvestmentManagementSolutions(CharlesRiverIMS)usesa“LiabilityInstrument”tostreamlinemodelingofcashflows.ThefollowingcapabilitiessupportLDIworkflows:
LIABILITY BENCHMARKS: Usersassignaliabilitybenchmarktotheirrespectivefunds.Thesebenchmarkscontaintheliabilitiesthatcorrespondtothefund.
LIABILITY MAPPING: Userscandefineliabilitiestobeeithernominalorinflation-adjusted.Inflationadjustedliabilitiescanbemodeledbasedonanimportedsetofrealand/orinflationadjustedcashflows.
FLEXIBLE ANALYTICS: Liabilityvaluationscanbeproducedrelativetoasetofactuarialcashflowsdiscountedrelativetotheappropriatecurve(e.g.,IRScurve)andspread.Userscanspecifytenorsetsensitivitiesfortheassetportfolioandtheliabilities.Thesetsfeature:
•Flexibletenordefinitions•Abilitytogenerateinterestrateandinflationsensitivitiespertenor•Abilitytolinkinterestratetoinflationsets
PORTFOLIO MANAGEMENT: TheCharlesRiverManagerWorkbenchenablesuserstoefficientlymanageaportfolioofassetsandliabilities.Portfoliomanagerscandisplayliabilitysecurities,calculateandshowfundingratios,andgeneratearangeofanalyticsbytenor,includingPV01,DV01andIE01.Thissupportsstandardhedgingandtargetingworkflows,forexample,hedgingapositionanddeterminingfundingratioimpact.
SCENARIO ANALYSIS:CharlesRiverScenarioAnalysissupportstheabilitytoshiftthemarketfactorsthatarerelevanttoliabilities(e.g.,interestrates,inflationandspreads).User-specifiedshiftsareappliedtoallrelevantcurves,liability,andassetattributesinordertoobtainascenariospecificsetofvaluations,analyticsandcashflows.
Fromafundmanagementperspectivethisallowsaportfoliomanagerto:
•Viewfundingandhedgeratiossubjecttovariouseconomicenvironments•Performcashladderanalysisrelativetotheirliabilities•Analyzechangesinvaluationsandsensitivitiessubjecttoregimechanges
Forstresstesting,liabilitiescanbeproxiedorusedinfactorscenariosiffactorexposuresareavailable.
COMPLIANCE MONITORING: Compliancerulescanbebasedonportfoliolevelanalytics,tenors,andfundingratio.
Liability Driven
Investing
Analyze and Understand Exposures and SensitivitiesPortfoliomanagers,complianceofficers,andriskmanagerscancalculate,manage,andmonitorriskacrosstheentireinvestmentlifecycle.Assessmentsofportfolio,market,andsectorriskarecalculatedusingasingle,consistentsetofdata,eliminatingthepotentialforconflictingorquestionableresults.
Managerscanviewportfolioexposuresacrossmultipledimensionsandcustomclassifications,proposetradestobringexposuretotargetlevels,andseeexposuresadjustinreal-time.Tradescanthenbegeneratedandroutedtotheappropriatetradingdesk.Thesolutionletsmanagersandanalysts:
• Analyzesensitivitiestorate,creditandinflationriskfactorsatportfolioandcategorylevels
• Proposechangesandanalyzeresultsofde-riskingdecisionspre-trade
• Modelandhedgeportfoliosusingthelatestmarketdata
• Optionallyincorporatebespokeand3rdpartyanalytics
• Utilizeindustry-standardderivativevaluationmodels
Aggregate account exposures by key rate duration and compare current exposures to benchmark.
Exposures & Sensitivities
Screenshots are for informative purposes only; no live data being used.
Assess Forward Looking RiskCharlesRiverimplementsthreeex-anteriskmeasuresthathelpmanagersassessforward-lookingriskandadjusttheirportfoliosaccordingly:
VALUE AT RISK (VaR)useshistoricalsimulationtocalculatetheworstcaselossoveragiventimeperiodthatwon’tbeexceededwithagivenlevelofconfidence.
CONDITIONAL VaR,orexpectedshortfall,quantifiesthepotentiallossoncetheVaRthresholdhasbeenexceeded.
COMPONENT VaRletsportfoliomanagersquicklyvisualizehowmuchaparticularsector,categoryorsecurityaddsorsubtractstotheiroverallVaRsotheycanreduceorhedgethoseexposures.
Adjustmentsareimmediatelyreflected,helpingmanagersvalidatetheirdecisionandunderstandportfolio-levelimpacts.Historicalsimulationisarobust,non-parametricmethodforcalculatingVaRthatmakesnoassumptionsabouttheunderlyingdistributionofriskfactorsorreturns.VaRcalculationscanincorporateeitherexponentialdecaytoweightrecentdatamoreheavily,orstressedconditionstoproducerealisticworst-caseforecasts.Replacementsecuritiescanbeutilizedtoaccountformissingdata.
CharlesRiveralsosupportsriskforecastsbasedonfactormodels,includingprojectedvolatility,trackingerror,andbeta.FirmscanutilizeCharlesRiver’sproprietaryfactormodelbasedonPrincipalComponentsAnalysis(PCA),orincorporatein-houseandthirdpartymodels.
Instrument Type VaR Simulation Inputs
Equities Individual securities’ historical returns, including corporate actions
ETFs, Mutual Funds and other basket securities
Either the baskets’ historical returns or the look-through returns of the underlying instruments
Fixed Income and Derivatives Delta-Gamma method: Utilizes sensitivities to risk factors such as yield curves
VaR simulation engine inputs by asset class.
Understand Risk in a Historical Context PortfoliomanagerscanmonitorchangesinhistoricalVaRandex-postriskmetricsovertimeandanalyzetheevolutionoftheirportfoliousingtrendanalysis.Thisprovidesinsightintowhetherchangestorisklevelswereanticipatedanddesired,orwhethertheywerearesultofincreasedriskexposuresthatshouldhavebeenmanagedandreduced.Thedisplaysarealsoactionable,sode-riskingactivitiescanbecarriedoutandreflectedinrealtime.
Risk Management
Component VaR displays how much a particular sector or category impacts overall VaR.
Screenshots are for informative purposes only; no live data being used.
Model Historical and Hypothetical Stress ScenariosCharlesRiver’sScenarioAnalysiscapabilitiesareusedtomodelportfolioimpactsofoneormorestressfactors,includinginterestrateandFXshifts,creditspreadchanges,inflationshocks,andequitymarketmovements.
STRESS TESTINGappliesscenariosmandatedbyregulatoryauthoritiestomodelpotentialoutcomesandgaugeworst-casedrawdown.
HYPOTHETICAL SCENARIO ANALYSISallowsmanagerstoconstructandapplyaplausiblescenariobasedontheirportfolio’sriskexposures,reflectingthefullimpactofunderlyinginstruments,includingderivatives,andtakingintoaccountallportfolioandcashevents.
HORIZON ANALYSIS appliesshiftsandthendisplaysportfolioperformanceoverahorizontermrangingfromdaystoyears,basedonareinvestmentrateforanycashflowsreceived,includingcouponpayments,maturities,andcallable/puttablebondsthatwouldbecalled/putwithinthatterm.
Instrument Type Methodology
Fixed rate bonds Interest rate shift is applied to the spot curve and credit shift to OAS.
Floating rate bonds Interest rate shift is applied to both the index and the discount curve, and credit shift to OAS.
Inflation linked bondsInterest rate shift is applied to discount curve and credit shift to OAS. Inflation shift is applied to either an inflation swap curve or a constant inflation rate assumption.
Mortgages and other asset-backed instruments
Scenario analysis is performed using the Yield Book calculation engine, via real-time integration.
Interest rate swapsEach leg of a swap can be shifted independently, including accrual and discount curves. Credit shifts do not apply.
Bond futuresInterest rate shift is applied to the yield curve. Credit shifts do not apply. Daily mark-to-market is ignored for horizon analysis; cheapest-to-deliver bond is assumed to remain unchanged throughout the life of the future.
Interest rate futuresInterest rate shift is applied to the yield curve. Credit shifts do not apply. Daily mark-to-market is ignored for horizon analysis; futures are converted to cash at the futures’ expiration date, including any gain/loss on the contract.
Bond and interest rate options
Interest rate shift is applied to the underlying future.
Forward rate agreementsInterest rate shift is applied to the yield curve. Credit shifts do not apply. For horizon analysis rate of return calculations, fair value is centered on 100.
Currency futures and forwards
FX shifts are applied to the FX forward curves.
The following methodologies are applied when evaluating scenarios:
Details of portfolio impact of stressed scenarios, broken down by sector.
Scenario Analysis
Screenshots are for informative purposes only; no live data being used.
Measure Portfolio Performance and AttributionPortfoliomanagerscanviewhistoricalportfolioperformanceacrossanytimeframeandunderstandtheportfolioconstructionandassetselectiondecisionsresponsibleforthatperformance.Userscanchangeperformanceorattributionsettingsontheflyandrundifferentanalysesforthesameaccountacrossassettypes,downtotheindividualsecuritylevel.Performanceresultscanbeconvertedtoanycurrencyandcustombenchmarkscanbecreatedbyimportingandblendingcategory-orconstituent-levelindices.
Managerscan:
• Measureperformanceusingeithertime-weightedormoney-weightedmethodologies,configurableattheaccountlevel
• Calculatemultiplereturntypes,includingcapital,income,base,local,currency,grossand net
• Rollupperformancetoanylevel,includingmultiplenestedclassifications,totalportfolio/benchmark,accountgroupsandcomposites
• Choosetheattributionmethodologythatbestsupportstheirbusinessneeds,andconfigurethemethodologyatglobalsystem,account,orreportlevels
Attributionmethodologiesandmajorcapabilitiesinclude:
• Dailyattributionbyassetstyle,includingcurrency,fixedincomeroll,duration,convexityandspreadeffects
• Rollupattributionstomultipleclassificationlevelsforeachsecurity,includingdomicile(region,country,currency)andsector(industryorsub-sector)
• Automatedrule-basedworkflowsforcompositeconstructionandmaintenance
• Extensiveaudittrailreducesthird-partyverificationcosts
• EquityattributionmethodsincludeBrinson-Hood-Beebower,Brinson-Fachlerand Karnosky-Singer
• FixedincomeattributionmethodsincludevanBreukelenandTimLord-styledbreakdowns(income,roll,duration,convexity,spreadallocationandselection,currency)
Risk- adjusted performance measures can be viewed at account and position levels.
Understand Risk-Adjusted Performance Performanceriskanalysisquantifieshowmuchriskwasrequiredtoachievehistoricalportfolioreturns.Thisenablesportfoliomanagerstoensuretheirrisk/returnratioalignswiththeirriskguidelinesandInvestmentPolicyStatementsandprovidesvisibilityintohowcloselytheytracktheirbenchmark.Supportedriskmeasuresinclude:
ABSOLUTE AND RELATIVE SUMMARY RISK MEASURES:alpha,beta,Sharperatio,TreynorratioandSortinoratio
EX-POST RISK MEASURES: beta,informationratio,trackingerror,volatilityandvariance
Performance & Attribution
Screenshots are for informative purposes only; no live data being used.
Global Multi-Asset Coverage TheCharlesRiverDataServiceprovidesmanagedreferenceandpricingdatatosupportbroadanddeepglobalcoverageacrossallassetclasses.Frequentupdateshelpensurethatnewinstrumentsaremadeavailabletoassetmanagersonatimelybasis.
Consistent and Accurate Asset ValuationsCharlesRiverprovidesahighlyperformantanalyticsengine;managedreference,benchmarkandpricingdata;extensiveglobalinstrumentcoverage;andindustrystandardcomputationalmodelsforaccurate,real-timevaluationsofallinstruments.
Firmscanstoreandcomparemultiplereference,analytics,andpricingsuppliersandsourcestomeettheparticularvaluationrequirementsoftheirinvestmentprocessandproductmix.CharlesRivermaintainsalways-currentmappingsfor1000+dataelementstosupportover120typesofbondsglobally.Continuousvalidationhelpsensurethataccruedinterestandcriticalanalyticsarecalculatedcorrectly.
•GlobalGovernment:Over100jurisdictions/sovereigns•SecuritizedProducts:MBS,ABS,CMBSandCMOs•TreasuryandSwapcurve-basedanalytics,swapcurvesin14currencies•Corporate:GlobalInvestmentGrade,HighYield,andBankLoans•StructuredProducts:FixedRate,FloatingRate,Fixed-to-Float,Stepped,PIK,Callable•Municipals:Comprehensivestatecoverage•InflationLinked:Over20countries•Currencies:SpotandForwardsfor174basecurrencies•Futuresforover3200commodities
Fixed Income, Currencies and Commodities (FICC)
•CommonStock,Closed-EndFunds,ETFs,ADRs,REITs,ConvertibleBonds•DevelopedandEmergingMarketsin160countriesand72currenciesEquities
•ExchangeTraded-BondFutures,InterestRateFutures,CurrencyFutures,EquityIndexFutures,OptionsonFutures,EquityOptionsandEquityIndexOptions•OTCRateandCredit-InterestRateSwaps,InflationSwaps,AssetSwaps,FRAs,Caps/Floors,Swaptions,CDS,CDX/iTraxx,TRS-Bond,CDS/CDXSwaptions•OTCOther-TRS-Equity,Variance/VolatilitySwaps,FXForwards,FXOptions,CommoditySwaps
Derivatives
Multi-Asset Coverage
Asset Valuations
Analytics & ValuationsCharlesRiversupportsbothnativelycalculatedandthird-partyanalyticsforbonds,derivatives,mortgages,andasset-backedsecurities.Nativelycalculatedanalyticsarecompatiblewithmajorindexanalyticsacrossallassettypessuchthatcomparisonstobenchmarkscanbeperformedaccurately.Thiseliminatestheneedforexternalindex-provideranalyticssystems.However,externalanalyticscanbeimported,andselectivelymixedandvalidated.
Category Analytic(s)Trade-level Price, yield, accrued interest, projected cash flows, factor, spread to benchmark
Sensitivities Duration, modified duration, convexity, DV01, mortgage-specific sensitivities
Derivative-related Option greeks, credit DV01, inflation DV01, par swap rate
Advanced Option adjusted spreads, I-spread, Z-spread, fair value, spread duration, spread convexity, key rate durations
Native analytics calculated using the embedded analytics engine.
Instrument Type Methodology
Bonds1-factor Hull-White modelBlack Karasinski with configurable volatility and mean reversion parameters
OptionsBlack Scholes or binomial tree for European optionsBinomial tree for American or Bermudan optionsDividend yield or projected discrete dividends
CDS Basket1-factor Gaussian copula for homogeneous basketsNormal copula for non-homogeneous baskets
CDS Index TrancheMonte CarloFast Fourier TransformRecursion method
Swaptions Black model with lognormal volatility
Inflation Swaps Accruing on inflation swap curves, discounting on LIBOR/Swap or OIS
Interest Rate SwapsDiscounted cash flows with different principal exchange conventions Supporting different accrual (forward) and discount curves – e.g., accrual on LIBOR/Swap and discount on OIS
Variance & Volatility Swaps Discounted cash flows, Heston, and Options Portfolio Replicating methods
Representative technologies utilized to calculate analytics.
MORTGAGE PASS-THROUGH SECURITIES AND TBA’S: Trade-timeanalyticsandmortgagedurationandconvexityarecalculatednatively.CharlesRiverprovidesaninternallydevelopedmodelthatusessecuritycharacteristics,suchasWALAandWAC,andmortgageratescenariostoestimatefutureprepaymentrates.
ASSET-BACKED SECURITIES: InstrumentcoverageincludesRMBSandCMBS,agencyandnon-agencyCMOs,fixedandadjustableratemortgages,TBAsandotherasset-backedsecurities.Moresophisticatedpre-paymentmodelsaresupportedinCharlesRiverviatheintegratedYieldBookanalytics.Forexample,theCitiMortgagePrepaymentmodelincorporatesover12factors,includingaveragecreditscore,turnovereffects,refinancing,andloan-to-value.SupportedinterestratemodelsincludeLIBOR-Market,2-factorskewand1-factorsinglevolatility.
Usersalsohavethecapabilitytorecalculateanalyticsforspecificcomponentsoftheirportfoliosshouldunderlyingmarketactivitydictate.Analyticsarecalculatedusingindustrystandardmethodologies,andnewmethods(e.g.,dual-curvestripping)areaddedwhenindustrybestpracticeschange.
Analytics
CHARLES RIVER DEVELOPMENT, A STATE STREET COMPANY Investment firms, asset owners, wealth managers, hedge funds and insurers in more than 30 countries rely on Charles River’s front and middle office investment management platform to manage more than US$30 Trillion in assets. Together with State Street’s middle and back office capabilities, Charles River’s software technology forms the foundation of State Street AlphaSM. The Charles River Investment Management Solution (Charles River IMS) is designed to automate and simplify the institutional investment process across asset classes, from portfolio management and risk analytics through trading and post-trade settlement, with integrated compliance and managed data throughout. Charles River’s growing partner ecosystem enables clients to seamlessly access external data and analytics, applications and liquidity venues that support the unique demands of their product and asset class mix. Headquartered in Burlington, Massachusetts, we serve clients globally with more than 975 employees in 12 regional offices. (Statistics as of October 2019)
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Charles River Development - A State Street Company is a wholly owned business of State Street Corporation (incorporated inMassachusetts).
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