Agenda
Session Descriptions
8:00a
Breakfast & Registration Begin
8:30-9:00a
Keynote Address
Laurie Adami, President
Hear President Laurie Adami's perspective on developments in the industry and how they are affecting product and business development plans at Interactive Data Fixed Income Analytics.
Laurie Adami, President
Hear President Laurie Adami's perspective on developments in the industry and how they are affecting product and business development plans at Interactive Data Fixed Income Analytics.
9:00-10:30a
BondEdge® Next Generation
Philippe Rasborn, Vice President, Product Development
Jeffrey Foley, Vice President & Manager, Sales & Marketing
Join us for this dynamic and interactive presentation of the next generation of BondEdge®. Given how quickly the fixed income market continues to evolve, learn how the conversion to Microsoft® .NET technology will empower BondEdge clients like never before and better enable us to deliver meaningful product enhancements in much less time. This session will focus on key benefits for improved navigation, reporting, and overall client experience. After a detailed demonstration of the major enhancements, we will utilize real-world examples to show how all these elements come together to benefit the BondEdge client.
Philippe Rasborn, Vice President, Product Development
Jeffrey Foley, Vice President & Manager, Sales & Marketing
Join us for this dynamic and interactive presentation of the next generation of BondEdge®. Given how quickly the fixed income market continues to evolve, learn how the conversion to Microsoft® .NET technology will empower BondEdge clients like never before and better enable us to deliver meaningful product enhancements in much less time. This session will focus on key benefits for improved navigation, reporting, and overall client experience. After a detailed demonstration of the major enhancements, we will utilize real-world examples to show how all these elements come together to benefit the BondEdge client.
10:30-10:45a
AM Break
TRACK A
10:45a-12:00p
Performance Attribution in BondEdge
Louis J. Gehring, Senior Vice President, BondEdge Product Manager
Robust fixed income performance attribution analytics that offer precision and maximum client-flexibility are critical in today’s increasingly sophisticated markets. Join us for this intensive case study which will begin with a brief update on the necessary index components, including key updates for BondEdge clients, then apply both a factor-based and returns-based approach to attribution analysis. In addition to discussion regarding these two often complementary approaches, this session will focus on new user-defined attribution reporting available in BondEdge this spring. The study will incorporate transactions to help best illustrate the value of intra-month attribution analysis, particularly during times of yield curve and spread volatility. Finally, we'll introduce new tools designed for clients with custom index strategies.
Louis J. Gehring, Senior Vice President, BondEdge Product Manager
Robust fixed income performance attribution analytics that offer precision and maximum client-flexibility are critical in today’s increasingly sophisticated markets. Join us for this intensive case study which will begin with a brief update on the necessary index components, including key updates for BondEdge clients, then apply both a factor-based and returns-based approach to attribution analysis. In addition to discussion regarding these two often complementary approaches, this session will focus on new user-defined attribution reporting available in BondEdge this spring. The study will incorporate transactions to help best illustrate the value of intra-month attribution analysis, particularly during times of yield curve and spread volatility. Finally, we'll introduce new tools designed for clients with custom index strategies.
12:00-1:30p
Lunchtime Guest Speaker! Mortgage Market Insights
Andrew Davidson, Founder and President, Andrew Davidson & Co., Inc.
Join us for lunch with Andrew Davidson, founder and president of Andrew Davidson & Co., Inc., a quantitative research and prepayment modeling firm. Mr. Davidson will share insights on the mortgage market, including the subprime mortgage lending crisis, from his unique perspective.
Andrew Davidson, Founder and President, Andrew Davidson & Co., Inc.
Join us for lunch with Andrew Davidson, founder and president of Andrew Davidson & Co., Inc., a quantitative research and prepayment modeling firm. Mr. Davidson will share insights on the mortgage market, including the subprime mortgage lending crisis, from his unique perspective.
1:45-3:00p
Corporate Spreads & Default Risk – Where We’ve Been, Where We Are, Where Do We Go from Here?
Teri Geske, Senior Vice President, Business & Product Development
The disruptions affecting the credit climate that began in 2007 are well known – the sub-prime debacle, ensuing liquidity crisis, SIV bail-outs, bloated bank loan inventories, bond insurers’ woes – the domino effect has been remarkable, dramatically affecting corporate credit spreads that “everyone knew” had narrowed to unsustainable levels. Now, many are forecasting a significant increase in ratings downgrades and defaults on corporate bonds in the next 12 months. In this session, we will offer a broad, historical view of corporate credit spreads, examining what has happened to spread levels and spread volatility in times of crisis and subsequent recovery, measuring the impact relative to interest rate volatility on total return. We will then focus in on a particular segment of the market, crossover credits, examining how default probabilities derived from the equity market relate to OAS’s for BBB-/BB names. We will also compare benchmark returns across different segments of the credit market. Participants will be encouraged to share their observations and help us to draw conclusions from the data.
Teri Geske, Senior Vice President, Business & Product Development
The disruptions affecting the credit climate that began in 2007 are well known – the sub-prime debacle, ensuing liquidity crisis, SIV bail-outs, bloated bank loan inventories, bond insurers’ woes – the domino effect has been remarkable, dramatically affecting corporate credit spreads that “everyone knew” had narrowed to unsustainable levels. Now, many are forecasting a significant increase in ratings downgrades and defaults on corporate bonds in the next 12 months. In this session, we will offer a broad, historical view of corporate credit spreads, examining what has happened to spread levels and spread volatility in times of crisis and subsequent recovery, measuring the impact relative to interest rate volatility on total return. We will then focus in on a particular segment of the market, crossover credits, examining how default probabilities derived from the equity market relate to OAS’s for BBB-/BB names. We will also compare benchmark returns across different segments of the credit market. Participants will be encouraged to share their observations and help us to draw conclusions from the data.
3:00-3:15p
PM Break
3:15-4:30p
Private Wealth Management Trends & BondEdge Applications
David Lampert, Manager, Consulting
While continued growth in the high net worth market has created tremendous opportunities for investment managers, it also presents significant challenges regarding how best to effectively manage dozens, and often hundreds, of portfolios. Join us to discover how clients are currently using BondEdge to help more efficiently manage large numbers of portfolios. Learn more about the steps and tools available that help streamline the investment process for high net worth managers. Key functionality reviewed will include a compliance feature to identify portfolios outside of guidelines, the ability to quickly scan for troubled bonds, and examples of how best to compare multiple portfolios to indices and/or models. The session will also highlight sample presentation material for clients and prospects that can help provide high net worth managers with a competitive advantage. We’ll conclude with a discussion of BondEdge Next Generation enhancements and additional projects under development, such as the addition of equities and processing time enhancements.
David Lampert, Manager, Consulting
While continued growth in the high net worth market has created tremendous opportunities for investment managers, it also presents significant challenges regarding how best to effectively manage dozens, and often hundreds, of portfolios. Join us to discover how clients are currently using BondEdge to help more efficiently manage large numbers of portfolios. Learn more about the steps and tools available that help streamline the investment process for high net worth managers. Key functionality reviewed will include a compliance feature to identify portfolios outside of guidelines, the ability to quickly scan for troubled bonds, and examples of how best to compare multiple portfolios to indices and/or models. The session will also highlight sample presentation material for clients and prospects that can help provide high net worth managers with a competitive advantage. We’ll conclude with a discussion of BondEdge Next Generation enhancements and additional projects under development, such as the addition of equities and processing time enhancements.
4:30-5:30p
Cocktails & Hors d'oeuvres
Immediately following the workshop, please join us for cocktails, hors d'oeuvres, and an opportunity to meet and socialize with BondEdge staff and your industry peers.
Immediately following the workshop, please join us for cocktails, hors d'oeuvres, and an opportunity to meet and socialize with BondEdge staff and your industry peers.
TRACK B
10:45a-12:00p
Quantitative Modeling Enhancements
William Burns, Ph.D., Senior Vice President and Director of Research
Several important enhancements to the analytical models within BondEdge, driven in part by turmoil in securitized debt markets such as the subprime lending crisis, have now been fully integrated. Join us for an in-depth review of changes made to our fixed rate prepayment model, the inclusion of credit trigger and loss modeling functionality, assimilation of advance call announcement information, enhanced processing time for structured deals, and the addition of interest rate swap indices for use in immunization hedging strategies. In addition, learn about exciting upcoming enhancements that will provide clients with maximum flexibility as we prepare BondEdge to accept 3rd party prepayment models as well as cash flow engines for structured securities.
William Burns, Ph.D., Senior Vice President and Director of Research
Several important enhancements to the analytical models within BondEdge, driven in part by turmoil in securitized debt markets such as the subprime lending crisis, have now been fully integrated. Join us for an in-depth review of changes made to our fixed rate prepayment model, the inclusion of credit trigger and loss modeling functionality, assimilation of advance call announcement information, enhanced processing time for structured deals, and the addition of interest rate swap indices for use in immunization hedging strategies. In addition, learn about exciting upcoming enhancements that will provide clients with maximum flexibility as we prepare BondEdge to accept 3rd party prepayment models as well as cash flow engines for structured securities.
12:00-1:30p
Lunchtime Guest Speaker! Mortgage Market Insights
Andrew Davidson, Founder and President, Andrew Davidson & Co., Inc.
Join us for lunch with Andrew Davidson, founder and president of Andrew Davidson & Co., Inc., a quantitative research and prepayment modeling firm. Mr. Davidson will share insights on the mortgage market, including the subprime mortgage lending crisis, from his unique perspective.
Andrew Davidson, Founder and President, Andrew Davidson & Co., Inc.
Join us for lunch with Andrew Davidson, founder and president of Andrew Davidson & Co., Inc., a quantitative research and prepayment modeling firm. Mr. Davidson will share insights on the mortgage market, including the subprime mortgage lending crisis, from his unique perspective.
1:45-3:00p
Liability-Driven Investing in BondEdge
Louis J. Gehring, Senior Vice President, BondEdge Product Manager
Deficits in defined benefit pension funds have led to recent legislation and accounting rule changes globally. These recent developments have led to an increase in the use of liability-driven investment strategies. Our firm began 30 years ago offering software to assist fixed income managers with dedication (immunization and cashflow matching) strategies. In the most recent movement toward liability-driven investing, derivatives play an increased role. Join us for a discussion of the BondEdge liability-driven investing offering, with a review of the diagnostic and optimization tools. We will review the more recent product enhancements including the integration of key rate duration as a measure of yield curve exposure and greater flexibility for integrating derivatives into the analysis.
Louis J. Gehring, Senior Vice President, BondEdge Product Manager
Deficits in defined benefit pension funds have led to recent legislation and accounting rule changes globally. These recent developments have led to an increase in the use of liability-driven investment strategies. Our firm began 30 years ago offering software to assist fixed income managers with dedication (immunization and cashflow matching) strategies. In the most recent movement toward liability-driven investing, derivatives play an increased role. Join us for a discussion of the BondEdge liability-driven investing offering, with a review of the diagnostic and optimization tools. We will review the more recent product enhancements including the integration of key rate duration as a measure of yield curve exposure and greater flexibility for integrating derivatives into the analysis.
3:00-3:15p
PM Break
3:15-4:30p
Derivatives in Portfolios – Measuring the Impact
Teri Geske, Senior Vice President, Business & Product Development
Derivatives are becoming quite commonplace in all types of investment portfolios for a variety of reasons: as a part of LDI strategies, to meet core+ total return objectives, for insurance companies’ portfolio risk management and as a part of absolute return strategies. While many practitioners have a basic understanding of a derivative’s stand-alone characteristics, there are important portfolio considerations that may not be readily apparent when combining derivatives with other assets. In this session, we will review the types of derivatives covered in BondEdge, then we'll focus on Futures, Interest Rate Swaps and Credit Default Swaps, using real world examples to understand portfolio characteristics and behavior when derivatives are involved.
Teri Geske, Senior Vice President, Business & Product Development
Derivatives are becoming quite commonplace in all types of investment portfolios for a variety of reasons: as a part of LDI strategies, to meet core+ total return objectives, for insurance companies’ portfolio risk management and as a part of absolute return strategies. While many practitioners have a basic understanding of a derivative’s stand-alone characteristics, there are important portfolio considerations that may not be readily apparent when combining derivatives with other assets. In this session, we will review the types of derivatives covered in BondEdge, then we'll focus on Futures, Interest Rate Swaps and Credit Default Swaps, using real world examples to understand portfolio characteristics and behavior when derivatives are involved.
4:30-5:30p
Cocktails & Hors d'oeuvres
Immediately following the workshop, please join us for cocktails, hors d'oeuvres, and an opportunity to meet and socialize with BondEdge staff and your industry peers.
Immediately following the workshop, please join us for cocktails, hors d'oeuvres, and an opportunity to meet and socialize with BondEdge staff and your industry peers.
TRACK C
10:45a-12:00p
Risk Measure Solutions for the Front, Middle, and Back Office: Analytix DirectSM Case Studies
Jeffrey Foley, Vice President & Manager, Sales & Marketing
Continued risk management trends towards centralization and consistency of mission-critical investment information have helped fuel the development of a software-independent deployment of BondEdge analytic risk measures, Analytix DirectSM. Measures range from OAS and convexity to key rate durations. Join us for a case study review of real-world Analytix Direct applications that focuses on some of the various benefits firms today are already realizing. Discussion will highlight firms that are providing private wealth statements with a competitive advantage, data warehousing within a master trust environment, feeding high-end bond-level analytics such as key rate durations into 3rd party applications, and integrating time series data into VaR models.
Jeffrey Foley, Vice President & Manager, Sales & Marketing
Continued risk management trends towards centralization and consistency of mission-critical investment information have helped fuel the development of a software-independent deployment of BondEdge analytic risk measures, Analytix DirectSM. Measures range from OAS and convexity to key rate durations. Join us for a case study review of real-world Analytix Direct applications that focuses on some of the various benefits firms today are already realizing. Discussion will highlight firms that are providing private wealth statements with a competitive advantage, data warehousing within a master trust environment, feeding high-end bond-level analytics such as key rate durations into 3rd party applications, and integrating time series data into VaR models.
12:00-1:30p
Lunchtime Guest Speaker! Mortgage Market Insights
Andrew Davidson, Founder and President, Andrew Davidson & Co., Inc.
Join us for lunch with Andrew Davidson, founder and president of Andrew Davidson & Co., Inc., a quantitative research and prepayment modeling firm. Mr. Davidson will share insights on the mortgage market, including the subprime mortgage lending crisis, from his unique perspective.
Andrew Davidson, Founder and President, Andrew Davidson & Co., Inc.
Join us for lunch with Andrew Davidson, founder and president of Andrew Davidson & Co., Inc., a quantitative research and prepayment modeling firm. Mr. Davidson will share insights on the mortgage market, including the subprime mortgage lending crisis, from his unique perspective.
1:45-3:00p
Quantitative Modeling Enhancements
William Burns, Ph.D., Senior Vice President and Director of Research
Several important enhancements to the analytical models within BondEdge, driven in part by turmoil in securitized debt markets such as the subprime lending crisis, have now been fully integrated. Join us for an in-depth review of changes made to our fixed rate prepayment model, the inclusion of credit trigger and loss modeling functionality, assimilation of advance call announcement information, enhanced processing time for structured deals, and the addition of interest rate swap indices for use in immunization hedging strategies. In addition, learn about exciting upcoming enhancements that will provide clients with maximum flexibility as we prepare BondEdge to accept 3rd party prepayment models as well as cash flow engines for structured securities.
William Burns, Ph.D., Senior Vice President and Director of Research
Several important enhancements to the analytical models within BondEdge, driven in part by turmoil in securitized debt markets such as the subprime lending crisis, have now been fully integrated. Join us for an in-depth review of changes made to our fixed rate prepayment model, the inclusion of credit trigger and loss modeling functionality, assimilation of advance call announcement information, enhanced processing time for structured deals, and the addition of interest rate swap indices for use in immunization hedging strategies. In addition, learn about exciting upcoming enhancements that will provide clients with maximum flexibility as we prepare BondEdge to accept 3rd party prepayment models as well as cash flow engines for structured securities.
3:00-3:15p
PM Break
3:15-4:30p
Performance Attribution in BondEdge
Louis J. Gehring, Senior Vice President, BondEdge Product Manager
Robust fixed income performance attribution analytics that offer precision and maximum client-flexibility are critical in today’s increasingly sophisticated markets. Join us for this intensive case study which will begin with a brief update on the necessary index components, including key updates for BondEdge clients, then apply both a factor-based and returns-based approach to attribution analysis. In addition to discussion regarding these two often complementary approaches, this session will focus on new user-defined attribution reporting available in BondEdge this spring. The study will incorporate transactions to help best illustrate the value of intra-month attribution analysis, particularly during times of yield curve and spread volatility. Finally, we'll introduce new tools designed for clients with custom index strategies.
Louis J. Gehring, Senior Vice President, BondEdge Product Manager
Robust fixed income performance attribution analytics that offer precision and maximum client-flexibility are critical in today’s increasingly sophisticated markets. Join us for this intensive case study which will begin with a brief update on the necessary index components, including key updates for BondEdge clients, then apply both a factor-based and returns-based approach to attribution analysis. In addition to discussion regarding these two often complementary approaches, this session will focus on new user-defined attribution reporting available in BondEdge this spring. The study will incorporate transactions to help best illustrate the value of intra-month attribution analysis, particularly during times of yield curve and spread volatility. Finally, we'll introduce new tools designed for clients with custom index strategies.
4:30-5:30p
Cocktails & Hors d'oeuvres
Immediately following the workshop, please join us for cocktails, hors d'oeuvres, and an opportunity to meet and socialize with BondEdge staff and your industry peers.
Immediately following the workshop, please join us for cocktails, hors d'oeuvres, and an opportunity to meet and socialize with BondEdge staff and your industry peers.