Bloomberg today announced that BNP Paribas has adopted the Bloomberg Agency Model (BAM) for their mortgage trading business through Bloomberg's Core Mortgage Premium (CMP) solution. These analytics are used to help support the functions of front office trading, risk management & regulatory compliance. CMP provides daily overnight analytics of Mortgage-Backed Securities (MBS) such as Specified Pools (Specs), Collateral Mortgage Obligations (CMO), and To Be Announced securities (TBA).

In addition to front office trading, CMP enables research and risk professionals to access the same mortgage functionality via desktop-based tools, including a programmatic API.  These tools give users full control over input assumptions and predictive model parameters, providing a consistent set of analytics with mortgage functionality on the Bloomberg Terminal and other Bloomberg solutions, such as the Bloomberg Indices and MARS.
“Bloomberg’s CMP solution provides us with reliable risk and attribution models, which are more important than ever in today’s market,” said Bassel Kikano, head of Agency Mortgages at BNP Paribas. “Using these models, we continue to be well-positioned to help navigate the constantly evolving mortgage market.”
Russel Parentela, Global Head of Cash Structured Products at Bloomberg, said: “We are pleased Bloomberg is able to support BNP Paribas’ mortgage strategy through their adoption of CMP solution and BAM model. We remain focused on providing our clients with flexible solutions that enable them to generate investment ideas that are supported by Bloomberg’s data and analytics alongside advanced risk management capabilities.”
CMP is accessed through Bloomberg’s Multi Asset Risk System (MARS), a comprehensive suite of risk management solutions. MARS, which is delivered on the Bloomberg Terminal and via APIs, provides risk analytics for cash and derivatives securities, from vanilla to complex and cash structured products. Bloomberg Risk solutions cover all traders and portfolio managers’ front-office needs across market risk, XVA, credit risk, collateral and SIMM among others, which are built on a common pricing library to provide consistency across client workflows.
The BAM model is used to calculate analytics for the Bloomberg US MBS Index. As part of the acquisition of Barclays Risk Analytics and Index Solutions, Bloomberg acquired this model and incorporated its successors into Bloomberg’s mortgage solutions, including CMP.