The product evaluates the degree of liquidity of the securities starting from scoring and operational data provided by Bloomberg's B-Val and B-Pipe services that Client must have has a pre-requisite.

Financial instruments must be grouped by type. For each group the following parameters are defined: B-Val scoring limits (lower and upper), number of contributors (to whom make a request for quote via Bloomberg B-Pipe), minimum number of contributors to define the bond liquidity, maximum quote spread between contributors, divided between non-investment grade and investment grade bonds, minimum number of contributors whose quotation spreads have to be lower than the maximum specified ealier, in order to asses the bond liquidity.

The liquidity assessment is made at the start-up of the procedure, at the census of a new security, on request,  periodically for assessment tests. Modules for on-demand and batch evaluation are available.

Through the B-Val service, at a scheduled time, the then current bond scoring ratio is imported. On the basis of the scoring index the system reclassifies the bond (illiquid, liquid, quarantine).

If case of a quarantined security, the different contributors/broker quotes   and the rating data (S&P, Moody's) are investigated  to determine if a bond is to be considered investment grade or not-investment grade. A bond is defined as liquid if: there is a number of contributors (quoting a price) higher than the minimum defined number; if the spread is lower than the maximum defined number; if the bid/ask spread of th different contributors is lower than the defined minimum. 

After the evaluation, to each security is assigned a liquidity state: liquid bond by evaluation, illiquid bonds by evaluation, bonds that cannot be evaluated and it is possible to display those bonds where it was not possible to determine the liquidity state.

The liquidity assessment results and the informative details used for the evaluation are historicized in order to have evidence of any state change.

When WORP-GPI is integrated with WORP-Trading, WORP-Private a pre-trade filter intercept all orders concerning securities to be evaluatedm that cannot be evaluated, illiquid for retail customers and, based on the flags a set in the enter order mask: in relation to: the source of the (reccomendation, customer initiative); the rating and concentration limits and the adeguacy and appropriateness assessment, acts in block or warning mode. The WORP-Private simulator prompt any reccomandation violation due to the presence (concentration) of illiquid (or with undefined liquidity state) securities in customers' portfolios.