CMS ANNOUNCES GENERAL RELEASE OF BONDEDGE VERSION 4.2
August 21, 2000, Los Angeles, CA
- Capital Management Sciences, a division of Data Broadcasting Corporation
(Nasdaq: DBCC), today announced the general release of version 4.2 of
its BondEdge fixed income portfolio analytics system. The latest version
offers new advanced tools for mortgage-backed security prepayment analyses,
additional global portfolio reporting features, a new model for interest
rate caps and floors, eurodollar futures and a new high yield appraisal
report for non-investment grade holdings.
Prepayment Model Scaling Tool
BondEdge now offers a modeling tool that allows clients to modify the
system’s fixed rate mortgage prepayment model, either by specifying
a global “scaling” factor or by changing individual parameters
within the model. Clients can also use this feature to create new models
for collateral types not supported by CMS. This feature gives BondEdge
users the flexibility to apply their own prepayment expectations to
mortgage-backed securities analyses or to perform sensitivity analyses
for risk management purposes, at both the security and portfolio level.
“The ability to express individual
prepayment views or stress test assumptions in the CMS model are significant
tools addressing the challenges of mortgage prepayment modeling in fixed
income management,” explained Teri Geske, senior vice president
of product development at CMS.
Global Portfolio Analysis
To meet the needs of the growing number of US portfolio managers who
invest in non-US$ fixed income securities, CMS continues to enhance
BondEdge’s global portfolio capabilities. BondEdge now offers a
flexible tool that allows a portfolio manager to assign countries and/or
currencies to “blocs”, which can then be used to view a portfolio’s
combined exposure to a group of countries and/or currencies (such as
the Eurozone countries, Latin America, Emerging Market, etc.) in a way
that meets each manager’s needs. For example, clients could create
an “Asia/Pacific Rim” country bloc that includes or excludes
Japan, group a portfolio’s European exposure to EMU vs. non-EMU
countries, and create an Emerging Market bloc consisting of their own
list of countries for that category. Clients can also create Currency
blocs that will help them to monitor a portfolio’s exchange rate
risk for currencies that tend to move together.
“We designed this feature so that
a client’s definition of country and currency blocs automatically
applies to any global index in BondEdge to which the portfolio is compared,”
Geske noted.
These Country and Currency blocs have been
incorporated into BondEdge’s Global Distributions report, which
has been revised to show the gross exposure to each currency, the effect
of any currency hedges, the net exposure after taking any hedges into
account, and the percentage of each currency in the portfolio that has
been hedged away.
The new BondEdge Country and Currency blocs are incorporated in an enhanced
Global Distributions Report. This sample portfolio shows a large exposure
to the Eurozone bloc, largely from Germany, and to the Europe-Non EMU
bloc, primarily from the UK.
Portfolio managers can also now price non-$
securities in BondEdge by specifying a spread to one of BondEdge’s
Global Government Yield Curves. This system provides term structures
for over 20 major currencies from Financial Times Information, and clients
can add their own term structures as needed.
Derivatives: New Caps and Floors Model
and Eurodollar Futures
As derivatives have become an important tool for interest rate risk
management for many institutions, CMS has expanded the BondEdge system’s
coverage of derivatives. This release offers a new model for caps and
floors and adds eurodollar futures contracts to the BondEdge database.
These enhancements augment existing capabilities, which includes Treasury
futures and an interest rate swaps model. The new caps/floors model
allows clients to create a cap, floor or collar and values the instruments
using the underlying LIBOR curve and a term structure of volatility
that is fitted from observed cap market prices. BondEdge’s new
Quasi-Monte Carlo valuation model is employed in this analysis.
High Yield Appraisal Report
Finally, this version of BondEdge includes a new High Yield Appraisal
Report for the securities in a selected portfolio that have a non-investment
grade rating from Moody’s and/or from Standard & Poor’s.
This new report allows portfolio managers to easily track exposure to
high yield bonds by industry classification and provides the yield-to-worst
and duration-to-worst measures typically used in this market.
About CMS
For over 20 years, CMS has been recognized as the leader in fixed income
analytical software. Long known for the BondEdge system, CMS is trusted
as an independent source of research, analytics and valuation tools
by over 500 institutions in the U.S. and Canada. CMS is a division of
Data Broadcasting Corporation (Nasdaq: DBCC), a leading provider of
real-time market data, stock quotes, and financial news and information
delivered via the Internet. More information on CMS is available at
www.cms-info.com. Corporate
information on DBC is available at www.dbc.com.
Contacts
Lisa Herbert
Capital Management Sciences
(310) 479-9715 ext. 5317
lisa.herbert@be.ftid.com
