confidential bondedge solutions, an interactive data company gioa 2012 annual conference bondedge...
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Confidential BondEdge Solutions, an Interactive Data company
GIOA 2012 Annual ConferenceBondEdge Solutions Review
Presented by Louis Gehring, BondEdge Solutions
March 21, 2012
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BondEdge Solutions is a niche provider of fixed income analytics to institutional investors
Leading provider of fixed income portfolio analytics to institutional investors
Over 30 years expertise
Client base includes more than 400 investment managers, banks, insurance companies, state and local government agencies, brokerage firms, depository institutions, and pension funds
BondEdge® can be implemented through an easy to support SaaS OnDemand model
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Security Price YTW OAD OAC Price YTW OAD OAC Price YTW OAD OACFHLB 1.25% FEB 2017 100.13 0.78 1.88 -1.51 98.93 1.48 2.91 -1.57 -1.20 0.70 1.03 -0.06U.S. TSY 1.50% DEC 2013 102.45 0.22 1.89 0.02 102.02 0.37 1.77 0.02 -0.43 0.15 -0.12 0.00
Actual Evolution of Two Securities with Nearly Equal Option-Adjusted Durationas of January 31, 2012
As of January 31, 2012 As of March 16, 2012 Change
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Why Analytics Matter?
Notation:
OAC: Option Adjusted Convexity
YTW: Yield to WorstOAD: Option-Adjusted Duration
Similar initial OAD Price changes weredramatically different
Explanation: Negative convexity due to the presence of a call option
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BondEdge provides analytics and data that are mission critical to the investment process
Comprehensive fixed income security coverage, including over 2.8 million bonds, including a structured finance library of over 16,000 CMO, ABS, and CMBS deals
Robust option adjusted fixed income risk measures, including effective and spread duration, convexity, option adjusted spread, and key rate durations
Single and multi-factor term structure models, option model, prepayment models for fixed and adjustable rate RMBS collateral
Credit analytics, including probability of default estimates for corporate bonds
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Portfolio Reporting
Portfolio Holdings Analysis and Allocation Exposure Reports and Graphs
Market and Book Value Reporting
Portfolio vs. Benchmark Comparisons
Portfolio Alerts for significant events such as corporate actions (calls/pre-refunding) and credit rating upgrades, downgrades, watch lists
Pre and Post Trade Compliance Reporting
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Forward Looking and Proposed Trade Analysis
Total return and book value scenario analysis, given parallel and non-parallel interest rate shocks, credit spread and mortgage spread shifts
Cash flow projections for current and simulated interest rate environment
Portfolio “What-If” Analysis to review market and book value effects of trades being considered by the user, with links to leading trade order systems
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Portfolio versus Benchmark Comparisons
Overall 350 indices from leading fixed income benchmarks, including Barclays Capital®, Bank of America Merrill Lynch®, Citigroup®, S&P®
Standard and custom reports to view relative allocations versus benchmark for ratings, sector, maturity, and duration exposures
Contribution to Duration Exposure Analysis, based upon effective duration, spread duration, key rate durations
Scenario Analysis and Tracking Error reports
Fixed Income Performance Attribution for portfolios and benchmarks that provide term structure, credit spread, and issue level analysis
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BondEdge Database Coverage
US Treasury Bills, Bonds, Notes and Strips
US Federal Agency Debt
High Grade Corporate Bonds
High Yield Corporate Bonds
TBA Mortgages/Generic Mortgages
Agency Government Sponsor Enterprises (GSEs) Pass-through MBS
CMOs
CMBS
ABS
Inflation Indexed Securities
Money Market Instruments
Municipal Securities
Emerging Market Debt
Non$ Debt (Sovereign, Supranational, Corporate)
Futures
Fixed Rate Preferred Stock
ETF Library
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BondEdge SolutionsAdditional Information
Please visit our table in the Exhibition Hall
Interactive Data Website: www.interactivedata.com
Contact Tony Armedilla, Senior Sales Coordinator, BondEdge Solutions: (310) 664-2524 or [email protected]
For BondEdge clients, please contact your BondEdge client service representative, (310) 479-9715
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Limitations
This presentation is provided for informational purposes only and contains proprietary information of BondEdge Solutions and/or its affiliates, and is not to be published, reproduced, copied, or disclosed without the express written consent of BondEdge Solutions. The information contained in this presentation is subject to change without notice and does not constitute any form of warranty, representation, or undertaking. Nothing herein should in any way be deemed to alter the legal rights and obligations contained in agreements between BondEdge Solutions and / or its affiliates and their clients relating to any of the products or services described herein.
BondEdge Solutions makes no warranties whatsoever, either express or implied, as to merchantability, fitness for a particular purpose, or any other matter. Without limiting the foregoing, BondEdge Solutions makes no representation or warranty that any data or information (including, but not limited to, evaluations) supplied to or by it are complete or free from errors, omissions, or defects. Nothing contained herein should be construed as legal, accounting or investment advice or be relied upon as such.
Interactive DataSM is either registered service mark or service mark of Interactive Data Corporation in the United States or other countries. BondEdge® is either a registered trademark or a trademark of Interactive Data Corporation in the United States or other countries. Other products, services, or company names mentioned herein are the property of, and may be the service mark or trademark of, their respective owners.
© 2012 Interactive Data Corporation
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