Space is limited!
Please register by April 29, 2005


The 2005 Annual CMS BondEdge Fixed Income Workshops are right around the corner! Join us to discuss current issues in fixed income analysis and learn about the latest BondEdge developments. This year's Annual Fixed Income Workshops will be presented in two tracks, and will cover fixed income theory as well as practical applications of various BondEdge features. Select sessions of interest to you from either Track A or Track B - switch back and forth to hear the presentations that best meet your needs.

Designed for:

  • Fixed Income portfolio managers
  • Fixed Income analysts
  • Fixed Income broker dealers

    You'll be able to:
  • Hear our BondEdge product development plans and new business initiatives
  • Schedule one-on-one meetings with CMS BondEdge staff to address specific issues
  • Participate in an interactive discussion panel with senior management at lunch
  • Qualify to receive AIMR continuing education credits (1 credit per workshop hour attended)
  • Attend our hands-on session for more in-depth learning
    - Municipal Features - Simulations in BondEdge
    - Cashflow Testing - Batch What-if (new!)

DATES AND LOCATIONS

Thursday, April 7
Los Angeles

Tuesday, May 3
Chicago

 Thursday, May 5
New York
Hotel specifics will be sent to you upon confirmation of your registration.

AGENDA
For detailed session descriptions, click on the topic of your choice below.

Agenda


Session Descriptions
7:30-8:30a REGISTRATION AND 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 		 
9:30-10:45a
New Time!

Indexation Case Study
Lou Gehring, Senior Vice President, BondEdge Product Manager
BondEdge now offers over 250 benchmark indices (investment grade, high yield, municipal, global and non-US$), along with “Portfolio A vs. B” comparisons for managers with highly customized total return benchmarks. In this session, Lou will demonstrate practical applications of the various “portfolio versus benchmark" analysis in BondEdge. We’ll begin with an overview of the different index “families” in BondEdge and how we replicate each type. Then, using a case study, Lou will demonstrate how analytics in Compare, Matrix Management and Tracking Error can be used together to identify and correct potential sources of risk and identify opportunities for outperformance. We’ll clearly demonstrate how some recently enhanced Compare reports and expanded capabilities in Matrix Management can help you in your day-to-day portfolio versus index management process.
10:45-11:00a AM BREAK
11:00a-12:15p
New Time!

Performance Attribution
Lou 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 developments in the field of attribution and will focus on recent enhancements we’ve made to the methodology in the BondEdge PART attribution system. The session will use a “real world” case study to show how PART categorizes and explains return differences versus a benchmark for all types of securities, including derivatives. Lou will then address upcoming enhancements to PART, including a transactions-based alternative, as well as an entirely different approach to attribution (referred to as sector-based or returns-based attribution), often used by European portfolio managers, high yield managers as well as some domestic core managers, that focuses on weighting and selection within user-defined categories of return. We invite you to bring your questions about attribution to the session.
12:15-1:30p LUNCH/Q&A PANEL
1:45-2:50p
New Time!

BondEdge: Improving the Client’s Experience
Sonia Dixon, Executive Vice President
Tom Garvey, CFA, CMA, Senior Vice President and Manager Consulting
 Many of our clients now manage hundreds of portfolios in BondEdge and rely on information from BondEdge to supply far-reaching, mission-critical reporting and risk management systems in their organizations. This requires automation, and in this session, Sonia and Tom will discuss new ways of automating and scheduling BondEdge data updates and portfolio imports, including new command line functionality. They will also review upcoming and recently released features for managing and reporting on multiple portfolios simultaneously, including a preview of the newly re-designed Policy reports and Batch What-if capabilities, and will give an update regarding our integration with Trade Order Management system vendors. 

2:50-3:00p PM BREAK
3:00-3:50p
 Credit Risk & Credit Derivatives
Teri Geske, Senior Vice President, Product Development
The field of credit risk management continues to evolve at a rapid pace. In this session, Teri will focus on the relationship between the corporate bond market, the credit derivatives market and credit risk theory. We’ll review the credit default swap market and how default swap spreads affect the corporate bond market. Using reports from the BondEdge Credit Risk module, we’ll examine how theoretical default probabilities correlate with corporate bond OAS’s and how this may be used for portfolio versus benchmark comparisons and relative value analysis in the investment grade and high yield markets. We’ll also analyze default probabilities and OAS at the industry level over time. Finally, we’ll look at some of the latest developments in this field.
3:50-4:00p PM BREAK
4:00-4:50p

TIPS: Understanding Inflation-Protected Securities
Teri Geske, Senior Vice President, Product Development
The TIPS market continues to grow and many of our clients now include TIPS in their portfolios. For those who are relatively new to this market, this session will review TIPS issuance and performance in the U.S. and globally. We’ll then look at the mechanics of these securities using the BondEdge TIPS model, and will discuss how to analyze TIPS, including the concepts of an implied inflation forecast and “yield beta”. We’ll also examine TIPS in BondEdge simulations and cash flow forecasting.
4:00-6:00p
New Time!
COCKTAILS
For those not planning to attend either the TIPS or Batch What-if training session, please join your industry peers and CMS BondEdge staff for cocktails.

TRACK B
  
9:30-10:45a
New Time! 		MBS & Structured Finance: Prepayment Modeling & Market Trends
William Burns, PhD, Senior Vice President and Director of Research
This session will focus on recent experience and new trends in the market for MBS and structured securities (CMOs and ABS). We’ll examine recent data on actual prepayment patterns and will evaluate the performance of the CMS BondEdge prepayment model using a variety of criteria. We’ll then discuss new MBS models in BondEdge, including a Hybrid ARM prepayment model, and models for 10-year and 20-year fixed rate collateral. We’ll also review our current research that incorporates new factors in prepayment modeling, including housing market activity, credit scores and other variables. The session will also include an update regarding improvements in our reverse-engineering efforts for structured securities.
10:45-11:00a AM BREAK
11:00a-12:15p
New Time! 		Hands-On Training Sessions
CMS BondEdge Consulting Staff
Prompted by surveys from past workshops, we’re offering this opportunity to review specific BondEdge functionality in a small group setting with senior members of our client consulting staff. We’ll have mini-tutorials focusing on (1) Simulations in BondEdge, (2) Cash Flow Testing & Book Value Analytics and (3) Features for Municipal portfolios where you can ask questions and address your particular needs. You can also request a different topic during the pre-registration process.
12:15-1:30p LUNCH
1:45-2:50p
New Time! 		Volatility, Correlations & Market Risk Factors
Teri Geske, Senior Vice President, Product Development
 The behavior of, and relationships between, key market risk factors are critical to fixed income portfolio performance and risk management, both to assess current market levels relative to historical averages, and to analyze whether or not the conventional wisdom about trends and relationships holds true. In this session, we’ll examine the volatility of interest rates, corporate and MBS spreads over the past 10 years, and the correlations among these factors. We’ll also look at the distribution and volatility of OAS across quality rating categories and industries, and will examine the volatility of returns of various benchmark indices. This empirical study can raise some interesting questions, and we’ll invite the attendees to discuss possible interpretations of the results.
2:50-3:00p PM BREAK
3:00-3:50p Quantitative Aspects of Factor-Based Performance Attribution
Wensong Chu, PhD, Senior Quantitative Analyst
William Burns, PhD, Senior Vice President and Director of Research
Our clients often ask us for a detailed explanation of the mathematics behind the BondEdge Performance Attribution model. As a follow-on to the morning session on attribution, Bill will review the specific formulas used to determine each of the return categories in the attribution analysis, including a discussion of the recently released OAS-based methodology used to decompose a bond’s price return into various effects. We will then describe the mathematical approach developed by CMS BondEdge to measure the actual changes in spreads experienced by different fixed income “peer groups”, based on attributes such as sector, quality and currency. This will be an enlightening session for those who want to understand the nuts and bolts of the BondEdge attribution methodology.
3:50-4:00p PM BREAK
4:00-4:50p Hands-On Training Session:
Batch What-If
Sonia Dixon, Executive Vice President
In response to popular demand from those interested in pre-trade analysis suppport for multiple portfolio, this mini-tutorial on Batch What-if has been added in Chicago and New York workshops.
4:00-6:00p
New Time!
COCKTAILS
For those not planning to attend either the TIPS or Batch What-if training session, please join your industry peers and CMS BondEdge staff for cocktails.

REGISTRATION		  
On-line: Click here
Phone: Contact Tony Armedilla at (310) 479-9715, ext. 2524
Fax: Print and fax registration form to (310) 479-6333
Please register by April 29, 2005.

FEE POLICY		  
Single-User Client Sites and Prospective Clients: The workshop, materials, and lunch are provided free-of-charge to the first attendee from each company. Additional attendees will be charged $150.

Clients with Multiple BondEdge Users: One person for each paid BondEdge key may attend free-of-charge, up to three (3) people. Additional attendees will be charged $150 each.

CANCELLATION POLICY
Avoid being billed for the workshop: Please notify CMS BondEdge at least 3 business days prior to the date of the workshop you have registered to attend.

TRAVEL/HOTEL DETAILS 
Hotel specifics will be sent to you upon confirmation of your registration.

ATTIRE		  
Business casual attire.
Top


Copyright © 2005 CMS BondEdge, an Interactive Data division.