2006 CMS BondEdge Annual Fixed Income Workshops

Dates & Locations

Thursday, March 23
San Francisco

Wednesday, April 19
New York

Friday, April 21
Chicago

Session Descriptions

7:30-8:30a	Registration & Breakfast
8:30-9:15a	Keynote Address Laurie Adami, President of CMS BondEdge Featuring a brief recap of significant recent enhancements, followed by a more in-depth overview of future CMS BondEdge product development highlights and business initiatives.
TRACK A
9:30-11:00a	Dissecting Returns-Advances in Performance Attribution Louis Gehring, Senior Vice President, BondEdge Product Manager Performance Attribution is one of the most important topics in fixed income portfolio management today, with the market demanding more and better attribution tools in the U.S. and globally. In this session, Lou will review the two attribution methodologies available in the BondEdge system – a “factors-based” approach, where returns are explained in terms of observed changes in market conditions, and a “returns-based” method, where return differences versus a benchmark are allocated to “weighting” and “selection” decisions that reflect the manager’s primary portfolio structuring criteria. The session will use a case study to show how the factors-based and returns-based approaches complement each other, and Lou will also address the ability to include transactions within either attribution method. We invite you to bring your questions about attribution to the session.
11:00-11:15a	AM Break
11:15a-12:30p	New Developments in CMS BondEdge Benchmarking Tools Louis Gehring, Senior Vice President, BondEdge Product Manager Portfolio managers can construct in-depth "portfolio versus benchmark" comparisons in BondEdge using any of 350+ fully-replicated benchmark indices covering the investment grade, high yield, municipal, global and non-US$ markets. In this session, Lou will discuss recent and upcoming developments in benchmarking capabilities in BondEdge, including expanded capabilities in Simulations, new features in the cellular-level analysis offered in Matrix Management, reports that focus on industry and issuer-level corporate exposures and reports comparing MBS exposures by various collateral criteria. Lou will demonstrate how the benchmarking tools can be used to identify and correct potential sources of risk and identify opportunities for outperformance and will discuss new developments in obtaining constituent-level detail for tax-exempt benchmarks.
12:30-2:00p	Lunch: Q&A Panel & Wishlist Survey Don't miss the opportunity to interface directly with CMS BondEdge key senior management in an interactive setting.
2:00-2:50p	BondEdge & Municipal Markets Teri Geske, Senior Vice President, Product Development Municipal portfolio managers have unique reporting and analytical requirements. We continue to expand the features in BondEdge designed to meet the needs of managers with exclusively tax-exempt portfolios and those with taxable and tax-exempt (“blended”) holdings. In this session, Tom will review the reporting tools, index comparisons and simulation capabilities designed for managing portfolios with municipal securities. In particular, the new “Duration Beta” concept will be discussed, where managers of “blended” portfolios can express the view that durations on municipal securities are shorter than durations on comparable taxable securities, and how to capture the relationship between taxable and tax-exempt yield curve shifts in simulations. Tom will also review how BondEdge captures the unique characteristics of municipal securities, such as VRDNs, bonds with mandatory puts and pre-refunded issues, and some related enhancements coming in BondEdge version 5.50.
2:50-3:00p	PM Break
3:00-3:50p	Hands-On Training Sessions CMS BondEdge Consulting Staff By popular demand, we’re once again offering an opportunity to review specific BondEdge functionality in a small group setting with senior members of our client consulting and product development staff. The sessions will incorporate mini-tutorials as the basis for an interactive question-and-answer forum. You can choose from the following topics (or switch from one to another during the session): 1) Simulations in BondEdge, 2) BondEdge Features for Insurance Companies, or 3) BondEdge Performance Attribution Functionality.
3:50-4:00p	PM Break
4:00-6:00p	Cocktails & Hors d'oeuvres Immediately following the workshop, please join us for cocktails, hors d'oeuvres, and an opportunity to meet and socialize with your industry peers.
TRACK B
9:30-11:00a	New CMS BondEdge Fixed-Rate Prepayment Model William Burns, Ph.D., Senior Vice President and Director of Research In this session Bill will provide an in-depth look at the new fixed rate prepayment model that incorporates pool-specific collateral detail such as spread at origination, loan-to-value and FICO scores, as well as market-level information such as overall housing market activity. We’ll discuss the impact of the new model on duration, convexity and other risk measures, comparing its responsiveness to changes in interest rates versus actual data and other models from the Street. We’ll also analyze prepayment trends observed in 2005, for GNMA and conventional collateral and for Interest-only pools.
11:00-11:15a	AM Break
11:15a-12:30p	Understanding Credit Derivatives Teri Geske, Senior Vice President, Product Development The field of credit risk and credit derivatives continues to be one of the fastest growing and most innovative areas of the financial markets today. Activity in the credit derivatives market directly affects the bond market (credit default swap spread levels are now quoted alongside other bond market information in the financial press), but for many portfolio managers this is still unfamiliar territory with complex terminology that can be opaque and confusing. In this session, Teri will cover various aspects of credit derivatives to provide a fundamental understanding of the concepts and tools used in this market. We’ll review the credit default swap market and how default swap spreads affect the corporate bond market. We’ll also discuss credit default swap indices, synthetic CDOs, correlation risk, CDS of ABS, constant maturity CDS, recovery swaps and other recent developments in the field. If you’re curious about the credit derivatives market but need an explanation of the basics, this session is for you.
12:30-2:00p	Lunch: Q&A Panel & Wishlist Survey Don't miss the opportunity to interface directly with CMS BondEdge key senior management in an interactive setting.
2:00-2:50p	Prepayment Modeling: Home Equity & Other Collateral William Burns, Ph.D., Senior Vice President and Director of Research This session will extend our discussion of prepayment modeling to other collateral types. In particular, Bill will focus on CMS BondEdge’s research into prepayments on Home Equity Loan collateral, both adjustable and fixed rate, and how we plan to incorporate actual recent historical data into HEL prepayment modeling. We will also briefly review the status of our research on prepayments for CMOs backed by Alt-A versus Jumbo collateral.
2:50-3:00p	PM Break
3:00-3:50p	Key Rate Durations: Observations & Oddities Sean Tang, Ph.D., Quantitative Research Analyst This session looks more closely at one of the most useful analytical measures for assessing term structure exposure: Key rate (also known as “partial”) durations. Sean will first review the mathematics behind the key rate calculation, and will then examine some cases where key rate durations are perplexing, or perhaps even counter-intuitive. For example, we assume that the sum of the key rates should equal the overall duration – is this always true? We know why CMO IO tranches should have negative key rate durations, but why is this also true for some adjustable-rate securities? What happens to the key rate durations when you shift the par curve instead of the spot curve? We’ll examine these questions, or bring some of your own to discuss.
3:50-4:00p	PM Break
4:00-4:50p	Yield Curves: Construction & Interpretation Sean Tang, Ph.D., Quantitative Research Analyst The Yield Curve is one of the most fundamental and important concepts in fixed income analysis. All valuations, return simulations and calculations of duration, convexity and OAS depend upon the ability to model, manipulate and project the level and shape of the yield curve, for forecasting future cash flows and to determine the rate at which those cash flows will be discounted. This session will discuss different approaches to modeling yield curves, along with an examination of muni and treasury yield curve volatility. We will also discuss subtle but important nuances about yield curves, including the difference between shifting the par curve versus the spot curve to compute the option-adjusted duration of a security.
4:50-6:00p	Cocktails & Hors d'oeuvres Immediately following the workshop, please join us for cocktails, hors d'oeuvres, and an opportunity to meet and socialize with your industry peers.