A Bloomberg Professional Services Offering

LQA facilitates regulatory compliance and enhances risk management and investment processes:• Estimate liquidation cost and horizon at position level• Compare liquidity analytics across asset classes and global coverage using consistent output•	Customizable model to allow firm-specific views to be incorporated, along with Scenario
and Stress testing

LQA Single Security and comparative sector liquidity metrics.

Customizable liquidity analytics
Fully configurable liquidity model (sample values shown below).
Customizable inputs
Security levelStress/scenario analysis• Market Depth ($7.543mm)• Market Depth (x 0.75)• Average Transaction Cost (0.08% of price)• Avg Transaction Cost (x 1.25)• Volatility (2.3%)• Volatility (x 1.5)

Transaction specificConfidence level• Position Size ($2.45mm)• 70th centile• Liquidation Cost (<0.15%)• Time (<2 days)

Proxy security data

Liquidity

Bloomberg’s award winning solution for Liquidity Assessment (LQA) provides objective quantitativeevaluation of market liquidity across multiple asset classes.

Content & Data Solutions

Bloomberg Liquidity
Assessment (LQA)

Bloomberg Liquidity Assessment (LQA)

Model output
Transaction level

Relative liquidity• Liquidation Cost (0.16%)• Liquidity Score (72)

• Liquidation Horizon (1.3 days)• Sector Score (61, U.S. High Yield)• Time to Cash (3 days)• LQC (round trip trade cost)Stress/scenario results• Liquidation Cost (0.19%)

Regulatory output• Liquidation Horizon (1.7 days)• SEC22e4 (MLI)• Time to Cash (4 days)• AIFMD (2-7 days)• EBA Prudent Valuation:– Market Price Uncertainty AVA– Close-Out Cost AVA

Uncertainty metrics• Liquidation Cost (0.12%)• Liquidation Horizon (0.9 days)– Concentrated Position AVA Price

LQA lient configurable model allows the evaluation of historical and hypothetical scenarios.

Global coverage• Government, Supranational, Agency and Corporate bonds (180,000)• Municipal bonds (920,000)• Global equities and ETFs (70,000)• Securitized Products (ABS/MBS) (1,440,000)• TBA securities (300)• Secondary market Loans (4,600)• Preferred Stock (4,500)• Listed Equity Index Derivatives (1,620,000)
Data driven approach
Marking to Market — LQA leverages a robust financial dataset coupled with a big-data framework toensure the relevant factors influencing liquidity are considered. This unique approach allows for liquidity
estimation even for instruments with limited trading activity. Detailed quality assurance processes
combined with a granular back-testing framework ensure the model output matches expectations.
Customization of input parameters enables the calculation of user-specific scenarios.

Workflow• Available via Enterprise Data-Feed• BLP API for programmatic connectivity via (for example) Python, R, C++• Dedicated Excel API• Terminal functionality:– LQA <GO> for single security and sector comparison– LQAP <GO> for portfolio liquidity profiling– LQA scores available on PORT <GO>, SRCH <GO> and IMGR <GO>
Comprehensive documentation is available to clients including implementation guidance,stress testing calibration and detailed model methodology papers.

Integrated enterprise risk management
Measurement of market liquidity is a central component of a robust enterprise risk management
framework. Bloomberg’s data-driven approach to measure liquidity provides reliable and consistententerprise-wide analytics to facilitate integration into the full trade lifecycle, spanning both ex-anteand ex-post use cases.

Lifecycle

Trade

Pre-trade (cost focus)
Investment strategists, portfolio managers & traders

Post-trade (governance focus)
Risk managers & controllers

Task
Investment
research

Investment
modelsPortfolio
construction& optimization

Portfolio risk
& analytics

Trading
supportRegulatory& investment
reporting

Use case
Liquidity metrics
trend analysis:• Decreasing
market depth• Increasing costs• R elative Liquidity
Comparisonusing absolutemeasures• A verage costof funding(collateral repos)• E stablishingtrading mandates• O ptimizing
basket selection• M inimizing
alpha loss due
to trading costs• P re-positioning
ahead of asset
rotation• M inimizing
redemption cost

• E stablishingrisk limits• Early warning
indicators• Liquidity
Adjusted VaR• Ex-Ante analysis• Collateralmanagement• Benchmarking• Profiling• Transfer pricing• Look throughtransparency• Regulatorycompliance• Internal
governance• Investor relations(retail, fund of fund,institutional)• PRIIPs & MiFID IIsupport

Bloomberg for enterprise
To succeed today, financial institutions must respond to challenges that are not addressed bytraditional approaches. They require world-class solutions that integrate people, processes,
information and technology for the front office, middle office and operations. Bloomberg
partners with these institutions to protect and capitalize on data, manage risk, delivertransparency and control costs. Through enterprise-level expertise and three decades ofdeep industry experience, Bloomberg creates real value through the use of innovativetechnology that turns data into a strategic asset.

Learn more
Learn more about how we can help your firm automate its data needs.
Visit bloomberg.com/liquidity or reach us at eprise@bloomberg.net.

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