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Putnam Investments selects Bloomberg Core Mortgage Premium solution

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Putnam Investments has selected Bloomberg’s Core Mortgage Premium (CMP) solution to support portfolio modelling and strategy for the firm’s mortgage funds. CMP, using the Bloomberg Agency Prepayment Model (BAM), provides daily overnight analytics of Mortgage Backed Securities (MBS), Collateral Mortgage Obligations (CMO), To Be Authorised securities (TBA), and Custom mortgage securities.

 
CMP is accessed via 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.

CMP also enables front office trading, 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 Barclays Indices and MARS.

Brian Lenhardt, Chief Operating Officer, Investments at Putnam says: “In today’s market, it is more important than ever to have flexible and reliable tools that help generate investment results. Using the Bloomberg BAM model, which is fully integrated with the Bloomberg Terminal, enables us to continue to provide our clients with the performance and value they expect from Putnam.”

Russel Parentela, Global Head of Cash Structured Products at Bloomberg, says: “We are pleased that Putnam Investments has chosen CMP and our BAM model to support their mortgage strategy. Firms are looking for more ways to generate returns, and their ability to customise the BAM model, supported by Bloomberg’s data and analytics, delivers a comprehensive mortgage solution to help clients generate investment ideas, and benefit from improved decision-making and advanced risk management capabilities.”

The BAM model is used to calculate analytics for the Bloomberg Barclays US MBS Index. As part of the acquisition of Barclays Risk Analytics and Index Solutions (BRAIS), Bloomberg acquired this model and incorporated its successors into Bloomberg’s mortgage solutions.

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