The bank will be using Bloomberg’s core mortgage premium (CMP) solution in order to support trading, risk management and regulatory compliance.

CMP provides daily overnight analytics of mortgage-backed securities including specified pools or Specs, collateral mortgage obligations (CMOs) and to be announced securities (TBAs).

CMP is available through Bloomberg’s multi-asset risk system (MARS).

MARS is delivered on the Bloomberg terminal and via application programming interfaces (APIs) and provides risk analytics for cash and derivatives.

BNP Paribas head of agency mortgages Bassel Kikano says: “Bloomberg’s CMP solution provides us with reliable risk and attribution models, which are more important than ever in today’s market.

“Using these models, we continue to be well positioned to help navigate the constantly evolving mortgage market.”

Bloomberg global head of cash structured products Russel Parentela says: “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.”