KTier™ Historical Benchmark Case Study

Historical benchmarking of 3 x HY Indexes in 2014 with index information dated from December 29th, 2006. Target platform is leading Performance Risk and Analytics System (PRAS)

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Challenges

• Volume of data
• Indexes set up as portfolios in PRAS
• Index re-balancing
• Differing accrued income and coupon treatment
• Defaults
• Index Provider versus PRAS SMF differences
• 2008 & 2009 global financial crisis

Metrics

• Index Universe
  • US High Yield Index
  • US High Yield Constrained Index
  • US Cash Pay High Yield Constrained Index

• Required daily index holdings and prices updated on PRAS via KTier™
  • Daily Positions
  • Daily Prices  >4 million prices
  • UDIs  >1000 user defined instruments
  • 7.75 Years  > 11.5 million positions
  • US High Yield Index/US High Yield Constrained Index = 1800 to 2300 securities
  • US Cash Pay High Yield Constrained Index= 1300 to 1800 securities

• Bulk updates to PRAS through KTier™ of
  • Historical positions
  • Prices
  • Sectors

• Historical validation of performance returns via KTier™

• Return tolerance level checking for
  • Monthly
  • Yearly
  • Rolling since inception periods

• Out of tolerance periods dissected via KTier™ tools
  • Investigation -> Outlier identification
  • Analysis –> Root cause
  • Testing –> Solution determination
• Utilize Knowledge Tier™ to effect adjustments  (see Table Appendix)
• Develop ongoing index maintenance processes built on KTier™ capabilities

‘Mission Impossible’

without the POWER of KTIER™

Bulk Loads

• Bulk updates to PRAS through KTier™ of historical positions, prices and sectors
  • Automated File Transformation per required pre-defined formats
  • Automated File Delivery
  • Customizable Date Ranges to fit allowable parameters
  • Automated Delivery of Upload results back to KTier™

Validation / Comparisons & Identification Of Discrepancies

• Historical Performance Validation through KTier’s Comparison Functionality
  • Total level performance check of periodic returns
  • Security level performance check  on both
    • an absolute and
    • relative basis

• Total level reconciliation of
  • Market Value
  • Accrued Income
  • Positions
  • Counts

• Individual security comparisons of
  • Market Value
  • Accrued Income
  • Positions
  • Prices

Making Adjustments Within Point To Bring Results In Line With Index

• Exception Management and Implementation through KTier’s features
  • On-demand upload of
    • Holdings
    • Pricing
    • Accrued Interest
  • Security
    • Override
    • Mapping
    • User Defined Instrument Implementation
  • Default Pricing
  • Capability to Define Upload Preferences and Rules

Client Results Achieved

• Historical benchmarking delivered in 2014 with index information dated from December 29th 2006.

• Implementation of an ongoing production process to ensure integrity of data through the use of KTier’s value-added Performance functionalities and the Middle Office Command and Control power of Knowledge Dashboard™.

• Empowerment of the Front Office with Performance Knowledge they can trust.