Green Package^®

Green Package^® portfolio risk management and compliance reports allow institutional investors to analyze and manage risk across asset classes without having to face constant data and processing challenges. BlackRock Solutions models portfolios from the bottom-up, allowing clients to view risk sensitivities at all levels, from the individual security to the overall enterprise or balance sheet. Green Package reports aggregate all risk exposures by asset type, country, sector, and portfolio. Benchmarks and/or liabilities are also modeled at the individual security level, which eliminates model risk and allows detailed comparisons of portfolios versus benchmarks.

Available Reports Include:

Fixed Income

• Interest rate and yield curve risk
• Spread & liquidity risk
• Sector breakdown and comparisons
• Corporate credit risk
• Mortgage prepayment and credit risk
• Structured product surveillance reports
• Horizon analysis

Equity

• Fundamental characteristics
• Equity style factor analysis
• Sector/industry breakdown and comparison
• Market capitalization breakdown

Multi-Asset

• Country/currency exposures
• Consolidated issuer exposures
• Ex ante tracking error/VaR
• Stress testing
• Portfolio compliance monitoring

Clients receive access to PortfolioRiskTools, an interactive platform for monitoring and managing portfolio risk.  This tool leverages quality controlled analytics output from the Green Package reports to provide users with an interactive environment for conducting a range of customized "on-the-fly" analyses.  Available analyses include:

• Scenario P&L – Return-based on a single set of explicitly defined shocks
• Historical VaR/Tracking Error – Return distribution using a time series of historical shocks
• Analytical VaR/Tracking Error – Standard deviation of return distribution using recent history to predict possible future shocks
• Detailed decomposition of risk across fixed income and equity factors