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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                        BlackRock, Inc.                     BlackRock Solutions
• World’s leading source of            • Assets Under Management           • Combines sophisticated risk
  intelligent information for            (AUM) of $3.560 trillion (as of     analytics and investment
  businesses and professionals           June 30, 2012)                      systems with capital markets
• Reputation for providing the         • Renowned for its disciplined        and business process expertise
  best, most accurate pricing in         investment process and            • Provides risk and advisory
  the market                             rigorous bottom-up approach to      services to 160+ clients
• Support financial and risk, legal,     risk management                   • BlackRock Solutions Aladdin®
  tax and accounting, intellectual     • Employs approximately 9,900         platform utilized to trade over
  property and science and media         people in 27 countries              $12 trillion in assets, liabilities
  markets                              • Major presence in key global        and derivatives each day
• Employs approximately 60,000           markets, including North and
  people                                 South America, Europe, Asia,
• Operates in over 100 countries         Australia and the Middle East
                                         and Africa
About BlackRock
                                        CLIENT TYPE           CLIENT REGION
                                        Dollars in billions   AUM
• Worlds largest Asset Manager                                Dollars in billions


• 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
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 Investment Platform

   •   Aladdin Risk and Investment      •   Aladdin Investment Platform
       Platform – highly scalable       •   Green Package® Risk Analysis
                                        •   Middle and Back Office Outsourcing Services
       investment management            •   Investment Accounting
       platform combining portfolio
       analysis and risk management             Financial Markets Advisory
       tools with a complete trade
                                        • Valuation/Risk Assessment
       processing platform              • Financial/Balance Sheet Strategy
                                        • Dispositions and Workouts of Distressed Assets
   •   Financial Markets Advisory -
       solves complex problems for
       financial institutions through              Customized Solutions

       unbiased financial markets       • Proprietary analytics + highly scalable investment
                                          platform + capital markets expertise
       advice and integrated project
                                        • Services tailored to best address each client’s
       execution                          challenges
                                        • Client requirements treated as though they are our
                                          own – act as an extension of the in-house team
Industry Challenges
  Globalization of Investing is driving participants farther
         and farther from home in search of yield

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



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



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



              Deep domain expertise is needed to build battle-tested
                  models and systems to properly mitigate risk
Wide Spread Relevance
 Challenges of regulatory compliance and delivering yield
     have widened the relevance for usage of analytics

                                           Institutional
                              Family
                                              Asset
                              Offices
                                            Managers
                 Corporate                                 Hedge
                 Treasuries                                Funds


     Insurance
                                                                   Banks
     Companies


                                      Fixed
    Pension                          Income                        Sovereign
  Management                                                        Wealth
                                     Derived
     Firms                                                          Funds
                                    Analytics
Solutions Overview
Turn-Key solution to help validate and manage the risk of fixed income
portfolios

• 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
Solutions Overview Continued
Use best-in-class interest rate, credit, mortgage and risk models


• 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
Additional Client Advantages
• Clients can reduce overhead
  and lower operating costs,
  as they no longer need to
  undertake these complex           “Taking these new derived
  and costly calculations           analytics could save an
• Ability for clients to increase   enormous amount of work
  staff/ personnel capacity         and expense compared to the
  by refocusing them on             investment and on-going costs
  core competencies                 associated with building and
                                    managing an analytic process
                                    in-house.”




                                                Virginie O’Shea, Post-trade
                                                Technology Analyst, Aite Group
Securities Covered & Calculated Risk Measures
Six assets classes covered initially with over 1.2 million securities:



                                                                  US Mortgage            Convertible         US Commercial
    Government
                      Agency Bonds         Corporate Bonds         Pools (Not           Debt/Preferred      Mortgage-Backed
      Bonds
                                                                   Structured)              Stock           Securities (CMBS)




Fixed Income Derived Analytics –
Security level market risk measures covered:
•   Nominal Yield                    •   ZV WAL                            •     Option-Value
•   Nominal Spread                   •   ZV Spread                         •     Option-Adjusted Duration
•   Nominal WAL                      •   Modified Duration (ZV)            •     Option-Adjusted Convexity
•   Modified Duration (Nominal)      •   ZV Maturity (Last Cash            •     Modified Duration to Worst
                                         Flow Date)
•   Nominal Maturity                                                       •     Key Rate Durations
    (Last Cash Flow Date)            •   Spread Duration
•   ZV Yield                         •   Option-Adjusted Spread
Creating the Analytics
Applications for Analytics
Leverage fixed income derived analytics for:




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




                          • To support the risk and compliance function, providing
                            the middle office with:
        Risk &             • An external secondary source to perform regular valuation and
                             analysis of portfolios
      Compliance           • 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
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
         GLOBAL COVERAGE                                         FULL SUPPORT
          Breadth and Depth                                For the life cycle of the bond


• Access to over 5.6 million active and       GLOBAL FIXED                BREADTH
  retired securities                          INCOME COVERAGE             • Global Government/Corporate and
                                                                            US Municipal bonds
• Terms and conditions for over 1.3 million   • Governments
                                                                          • Call, Put, Sink, Extended, Coupon
  US taxable fixed income securities,         • Semi-Governments            and Capitalization Schedules data.
                                                (Agencies)
                                                                          • Government/corporate and CMO/ABS
• 200,000 loan facilities, 2.3 million US     • Corporates                  instruments
  municipal securities(1.2m live), non
                                              • Supranationals            • Coupon schedules: Retrieve past,
  agency
                                              • Certificate of Deposits     present and future coupon rates, rate
                                                                            changes and associated dates for
• CMO’s, Asset Backed securities and          • Commercial Paper
  450,000 international bonds spanning all
                                              • Eurobonds
  asset subtypes
                                              • Convertibles              DEPTH
• Over 175 proprietary analytics providing    • Asset-Backed              • Duration, Spread, Yield,
  a full view on each fixed-income              Securities (ABS,            Discount Margin,
  instrument daily – including duration,        RMBS)                     • Prepayment Model,
  convexity, OAS analytics and yield                                        Prepayment Speed
  calculations
                                                                          • Bankruptcy flags

• Global ratings data from over 20 top                                    • Call refunding dates, Call final price
  agencies including S&P, Moody’s, Fitch,                                 • Amortization Type
  ICMA and Dominion Bond Ratings
  Service, and key regional agencies in
  Asia such as JCR
Reference Data–Equities
                                          GLOBAL COVERAGE
                                           Breadth and Depth


 • Global terms and conditions
                                                                     Depth of Content
 • Global equities coverage including: Equities (stocks, ADRs,
   GDRs), Warrants (equity, index, basket), Funds (exchange-
   listed, ETF, NAV), Indices, Options,
                                                                 Issuer
 • Options on Futures, Futures, Money and FX (forwards and       Name
   swaps)
                                                                 Description
 • More than 3.2m securities worldwide:
                                                                 Cross Reference Codes
       • Equities 300,000                                        Places of Listing
       • Warrants 745,000                                        Ratings (both long and short)
       • Indices 28,000
       • Funds 87,000
       • Options 880,000
       • Options on Futures 865,000
       • Futures 250,000
       • Money 57,000
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

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Fixed Income Derived Analytics Powered By BlackRock Solutions

  • 1. Thomson Reuters Fixed Income Derived Analytics powered by BlackRock Solutions®
  • 2. Leveraging Market-Leading Capabilities New strategic partnership brings together global leaders in their respective fields Thomson Reuters BlackRock, Inc. BlackRock Solutions • World’s leading source of • Assets Under Management • Combines sophisticated risk intelligent information for (AUM) of $3.560 trillion (as of analytics and investment businesses and professionals June 30, 2012) systems with capital markets • Reputation for providing the • Renowned for its disciplined and business process expertise best, most accurate pricing in investment process and • Provides risk and advisory the market rigorous bottom-up approach to services to 160+ clients • Support financial and risk, legal, risk management • BlackRock Solutions Aladdin® tax and accounting, intellectual • Employs approximately 9,900 platform utilized to trade over property and science and media people in 27 countries $12 trillion in assets, liabilities markets • Major presence in key global and derivatives each day • Employs approximately 60,000 markets, including North and people South America, Europe, Asia, • Operates in over 100 countries Australia and the Middle East and Africa
  • 3. About BlackRock CLIENT TYPE CLIENT REGION Dollars in billions AUM • Worlds largest Asset Manager Dollars in billions • 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
  • 4. 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
  • 5. About BlackRock Solutions • Two primary lines of business: Aladdin Investment Platform • Aladdin Risk and Investment • Aladdin Investment Platform Platform – highly scalable • Green Package® Risk Analysis • Middle and Back Office Outsourcing Services investment management • Investment Accounting platform combining portfolio analysis and risk management Financial Markets Advisory tools with a complete trade • Valuation/Risk Assessment processing platform • Financial/Balance Sheet Strategy • Dispositions and Workouts of Distressed Assets • Financial Markets Advisory - solves complex problems for financial institutions through Customized Solutions unbiased financial markets • Proprietary analytics + highly scalable investment platform + capital markets expertise advice and integrated project • Services tailored to best address each client’s execution challenges • Client requirements treated as though they are our own – act as an extension of the in-house team
  • 6. Industry Challenges Globalization of Investing is driving participants farther and farther from home in search of yield They are investing in Fixed Income Securities that may not be simply vanilla, rather more exotic securities Opens participants up to the scrutiny of their investors, boards and regulators Building proprietary systems is costly, time consuming and a drain on resources Deep domain expertise is needed to build battle-tested models and systems to properly mitigate risk
  • 7. Wide Spread Relevance Challenges of regulatory compliance and delivering yield have widened the relevance for usage of analytics Institutional Family Asset Offices Managers Corporate Hedge Treasuries Funds Insurance Banks Companies Fixed Pension Income Sovereign Management Wealth Derived Firms Funds Analytics
  • 8. Solutions Overview Turn-Key solution to help validate and manage the risk of fixed income portfolios • 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
  • 9. Solutions Overview Continued Use best-in-class interest rate, credit, mortgage and risk models • 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
  • 10. Additional Client Advantages • Clients can reduce overhead and lower operating costs, as they no longer need to undertake these complex “Taking these new derived and costly calculations analytics could save an • Ability for clients to increase enormous amount of work staff/ personnel capacity and expense compared to the by refocusing them on investment and on-going costs core competencies associated with building and managing an analytic process in-house.” Virginie O’Shea, Post-trade Technology Analyst, Aite Group
  • 11. Securities Covered & Calculated Risk Measures Six assets classes covered initially with over 1.2 million securities: US Mortgage Convertible US Commercial Government Agency Bonds Corporate Bonds Pools (Not Debt/Preferred Mortgage-Backed Bonds Structured) Stock Securities (CMBS) Fixed Income Derived Analytics – Security level market risk measures covered: • Nominal Yield • ZV WAL • Option-Value • Nominal Spread • ZV Spread • Option-Adjusted Duration • Nominal WAL • Modified Duration (ZV) • Option-Adjusted Convexity • Modified Duration (Nominal) • ZV Maturity (Last Cash • Modified Duration to Worst Flow Date) • Nominal Maturity • Key Rate Durations (Last Cash Flow Date) • Spread Duration • ZV Yield • Option-Adjusted Spread
  • 13. Applications for Analytics Leverage fixed income derived analytics for: Performance & • As an input into internal performance reporting and analysis process. Essentially, the analytics enrich Attribution data as an input into reporting tools • To support the risk and compliance function, providing the middle office with: Risk & • An external secondary source to perform regular valuation and analysis of portfolios Compliance • 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
  • 14. 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
  • 16. Reference Data–Fixed Income GLOBAL COVERAGE FULL SUPPORT Breadth and Depth For the life cycle of the bond • Access to over 5.6 million active and GLOBAL FIXED BREADTH retired securities INCOME COVERAGE • Global Government/Corporate and US Municipal bonds • Terms and conditions for over 1.3 million • Governments • Call, Put, Sink, Extended, Coupon US taxable fixed income securities, • Semi-Governments and Capitalization Schedules data. (Agencies) • Government/corporate and CMO/ABS • 200,000 loan facilities, 2.3 million US • Corporates instruments municipal securities(1.2m live), non • Supranationals • Coupon schedules: Retrieve past, agency • Certificate of Deposits present and future coupon rates, rate changes and associated dates for • CMO’s, Asset Backed securities and • Commercial Paper 450,000 international bonds spanning all • Eurobonds asset subtypes • Convertibles DEPTH • Over 175 proprietary analytics providing • Asset-Backed • Duration, Spread, Yield, a full view on each fixed-income Securities (ABS, Discount Margin, instrument daily – including duration, RMBS) • Prepayment Model, convexity, OAS analytics and yield Prepayment Speed calculations • Bankruptcy flags • Global ratings data from over 20 top • Call refunding dates, Call final price agencies including S&P, Moody’s, Fitch, • Amortization Type ICMA and Dominion Bond Ratings Service, and key regional agencies in Asia such as JCR
  • 17. Reference Data–Equities GLOBAL COVERAGE Breadth and Depth • Global terms and conditions Depth of Content • Global equities coverage including: Equities (stocks, ADRs, GDRs), Warrants (equity, index, basket), Funds (exchange- listed, ETF, NAV), Indices, Options, Issuer • Options on Futures, Futures, Money and FX (forwards and Name swaps) Description • More than 3.2m securities worldwide: Cross Reference Codes • Equities 300,000 Places of Listing • Warrants 745,000 Ratings (both long and short) • Indices 28,000 • Funds 87,000 • Options 880,000 • Options on Futures 865,000 • Futures 250,000 • Money 57,000
  • 18. 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
  • 19. 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