MiFID Data Set 3 is the Augeos solution to support the risk assessment concerning illiquid financial instruments, particularly referring to bonds. MiFID Data Set 3 allows the intermediary to obtain correct and transparent data for its clients, by analyzing the entire portfolio with an indicator representing the degree of difficulty for the investor to sell within a reasonable time and at significantly prices.
Value Added Data Feed is part of the regulatory framework of CONSOB guidelines. It is, basically, the interpretative guidelines related to the application of the MiFID Level 3, with particular reference to illiquid financial products, and resulting risks of:
Each index is estimated with a specific assessment (LRI for liquidity risk, Z-spread for credit risk, VaR for market risk) . In this set is also available the Fair Value Plus of the instrument, together with relevant market data useful for a correct evaluation (Term Structures Plus and other Risk Indicators).
Each product comes with his minimum information set, under the form of an evaluation sheet, so that customers can reasonably understand the nature and characteristics of the financial instrument..
Besides the competitive advantages derived by accuracy of instruments used and methodology rigor, MiFID 3 Data Set offers many benefits:
MiFID 3 Data Set provides Evaluation Sheets for each financial instrument in the portfolio. It contains a brief description of the instrument, a customizable profile summary that analyzes all risk factors in a clear and understandable language.
A compendium of high quality information, the result of a deep knowledge of financial instruments, based on SIX Telekurs data refined by Augeos competence. A standardized framework that makes easy immediate comparison between financial instruments.
MiFID Data Set 3 monitors the portfolio and now produces an evaluation sheet, updated daily, deep but concise for each instrument, with the details, but expressed in an understandable way to a non-professional investor.
Z-Spread - For the identification of Credit Risk for the individual bond is proposed the synthetic indicator Z-Spread. This identifies the spread that, when applied to the risk-free yield curve, used to discount cash flows, returns the market price of the bond itself.
H-Var - MiFID Data Set 3 conveys the Value at Risk historical simulation approach to integrating the instruments. A proven methodology and recognized as the most objective and independent of the basic assumptions of the model.
Fair Value Plus - Value of the theoretical price of a bond. The service provides values calculated both with risk-free curve that with credit spread adjusted. Types of bonds managed by the service are extensive and range from simple Zero Coupon bonds to indexed securities with different types of optionality, Cap and Floor, and early redemption clauses. The supply can be daily, monthly or simply every six months, depending on customer needs.
Risk Indicators Plus - Classical risk indicators to support the assessment of financial instruments riskiness, such as IRR, duration, and historical volatility.
Term Structures Plus - Calculation and delivery of everyday yield rates, divided by sector and credit, computed starting by bonds prices.