CMS ANNOUNCES PRE-RELEASE OF BONDEDGE
V4.2
Los Angeles, CA, June 21, 2000
- Capital Management Sciences, a division of Data Broadcasting Corporation
(Nasdaq: DBCC), today announced the pre-release of version 4.2 of the
BondEdge fixed income portfolio analytics system. This 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 and a new high yield appraisal report for non-investment
grade holdings.
User Scaling of CMS Prepayment Models
BondEdge now offers an advanced Prepayment Model Scaling tool that allows
clients to modify individual parameters within the system’s fixed
rate mortgage prepayment model, and to specify new models for user-defined
collateral types. This feature gives BondEdge users the flexibility
to apply their own prepayment expectations to mortgage-backed securities
analyses. Scaling the CMS default parameters upward or downward also
allows risk managers to perform sensitivity analysis with respect to
key prepayment assumptions and to stress test the results of the CMS
model at both the security and portfolio level.
“Mortgage prepayment modeling is a
constant challenge in fixed income management and our clients want the
flexibility to either express their own views on prepayments or stress
test the assumptions in the CMS model,” explained Teri Geske, senior
vice president of product development at CMS.
Global Portfolio Management
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 multi-currency features. BondEdge now offers a flexible
tool that allows clients to assign countries and/or currencies to Blocs.
This allows managers to view a portfolio’s exposure not only by
individual countries, but also in terms of combined exposure to a bloc
or region of countries, such as the Eurozone or Latin America, in a
way that meets each firm’s needs. For example, clients could define
an “Asia/ Pacific Rim” bloc to include or exclude Japan, separate
a portfolio’s European exposure into EMU vs. non-EMU countries,
and create an Emerging Market bloc consisting of their own list of countries
in that category. Since certain currencies tend to move together, clients
can also create Currency blocs that will help them to monitor a portfolio’s
exchange rate risk.
“We designed this feature so that
the client’s definition of a country or currency bloc also 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. This
report 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.
Global portfolio managers can also now
price non-$ securities in BondEdge by specifying a spread (in basis
points) to one of BondEdge’s Global Government Yield Curves. This
system provides term structures for the major currencies from Financial
Times Information, and clients can add their own term structures as
needed.
New Caps and Floors Model
Derivatives have become an important part of fixed income portfolios
at many institutions particularly at insurance companies, banks and
other financial services firms that use these instruments for interest
rate risk management. With this release, BondEdge offers a new model
for caps and floors, enhancing the system’s derivatives capabilities.
The new model allows clients to create a cap, floor or collar, and the
new cap/floor pricing model computes a price based on 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, showing all 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 institutional investment firms. 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
Lorraine DiBacco
Capital Management Sciences
(310) 479-9715 ext. 5302
ldibacco@cms.dbc.com
