Space is limited!
Important! Time change for TRACK A                                Please register by April 14, 2004

The CMS BondEdge Annual 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:

1) Fixed Income portfolio managers
2) Fixed Income analysts
3) Fixed Income broker dealers
4) Fixed Income department (buyside or sellside)

You'll be able to:
  • Hear our plans for BondEdge product development and new business initiatives
  • Schedule one-on-one meetings with any of our staff to address specific issues
  • Participate in an interactive discussion panel with senior management at lunch
  • Network with your peers at our cocktail reception
  • Qualify to receive AIMR continuing education credits (1credit per workshop hour attended)

DATES AND LOCATIONS
Tuesday, April 13
Chicago		 Thursday, April 15
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.



Session Descriptions
7:30-8:30a REGISTRATION AND BREAKFAST
8:30-9:15a Keynote Address
Laurie Adami, President of CMS BondEdge
Featuring an brief recap of signicant recent enhancements, followed by a more in-depth overview of future CMS BondEdge product development plans and business initiatives.

TRACK A 		 
9:30-10:45a

Credit Risk Management: The Evolution Continues
Teri Geske, Senior Vice President, Product Development
The theory and practice of managing credit risk continues to evolve and expand. In this session, Teri will briefly summarize the dominant models for measuring default probabilities and will review the credit default swap market. We'll then do a case study on evaluating portfolio versus benchmark credit risk using the Credit Risk tools in BondEdge, including some empirical analysis of industry-specific correlation between OAS and default risk. We'll also use some information about the quality of corporate accounting and governance practices, provided by Audit Integrity, LLC, to complement the credit risk analysis.
10:45-11:00a AM BREAK
11:00a-12:15p

Case Study: Benchmark Management
Lou Gehring, Senior Vice President, BondEdge Product Manager
In this session, Lou will provide a real-world example of how the benchmark analysis tools in BondEdge can be used to identify potential sources of underperformance and to suggest opportunities to improve a portfolio's relative risk/relative return profile. The case study will highlight the Compare system, including new reports that focus on issuer-level exposures, as well as how the Tracking Error analysis quantifies the impact of potential mismatches on relative return. Lou will also show how the new benchmark-specific composite quality ratings can affect portfolio versus index comparisons and will provide an update re: the licensing of constituent data for the Lehman family of indices as well as the display of constituent data within Matrix Management.

12:15-1:45p LUNCH/Q&A PANEL
2:00-2:45p
New Time! 		BondEdge and Real-Time Portfolio Management
Sonia Dixon, Executive Vice President
 Many of our clients have expressed a desire to integrate BondEdge into their real-time trade order management and compliance processes. In this session, we'll demonstrate the newly enhanced Batch What-If feature that allows you to consider multiple trade ideas across any number of portfolios, including built-in calculators to determine the amount you need to buy or sell to achieve a targeted duration or contribution to duration for a portfolio, or to allocate a block purchase pro rata across a number of accounts. We'll also talk about automating the exchange of trade information between BondEdge and a number of OM systems, including MacGregor, Moxy and others.
2:45-3:00p PM BREAK
3:00-3:45p
New Time! 		Performance Attribution and Performance Measurement
Tom Garvey, CFA, CMA, Vice President and Manager Consulting
While Performance Attribution is critically important to all investment managers, the types of analyses required by taxable, investment grade managers can differ from those managing high yield and municipal bond portfolios. In this session, Tom will review improvements we've made to the BondEdge PART system, typically used by taxable investment grade managers, and then will turn to the recent and upcoming enhancements specifically designed for high yield and muni performance attribution, including flexible report writing, issuer-level analysis and more benchmark comparisons using the BondEdge Peformance Measurement system. Tom will also review enhancements to PART scheduled for version 5.3 and beyond, including new dimensions and depth of attribution reporting.
3:45-4:00p PM BREAK
4:00-4:45p Regulatory and Rating Agency Reporting:
Update & Product Development Discussion
Lou Gehring, Senior Vice President, BondEdge Product Manager
Insurance companies and depository institutions rely on BondEdge to complete a number of regulatory and rating agency analyses. This session will review some recent changes to these requirements, including Standard & Poors' Convexity Risk test for life insurance companies, the NY State Insurance Department's requirement for supporting documentation re: prepayment models, and GASB 40. We'll also discuss enhancements to the BondEdge Key Rate Durations analysis for insurers who are adopting S&P's Financial Products Company (FPC) model. Lou will also provide a brief overview of the Fair Valuation product from FT Interactive Data. Finally, he'll host a product development discussion regarding ways in which CMS BondEdge could be of more assistance in helping you meet regulatory, rating agency and ALM requirements.
4:00-6:00p
New Time! 		COCKTAILS Extended!

TRACK B
9:30-10:45a MBS: Prepayment Modeling and Market Trends
William Burns, PhD, Senior Vice President and Director of Research
2003 was a challenging year for MBS investors, including record-breaking prepayments followed by an unprecedented back-up in interest rates. With the persistence of a steep yield curve, and the threat of extension risk, hybrid ARMs have emerged as a popular investment alternative. In this session, Bill will first review what happened in 2003, and will discuss emerging trends for 2004. The second part of the presentation will focus on the new CMS BondEdge Hybrid ARM prepayment model, and our plans to release updated models for 10 and 20 year collateral.
10:45-11:00a AM BREAK
11:00a-12:15p Market Correlations - Analysis, Trends and Anomalies
Teri Geske, Senior Vice President, Product Development
The behavior of, and relationships between, key market risk factors are critical to fixed income portfolio performance. In this session, we'll examine the volatility of interest rates, corporate and MBS spreads, and the correlations among these factors. We'll also look at the distribution and volatility of OAS across quality rating categories and sectors, and will analyze the volatility of returns of various benchmark indices. This empirical study can raise some interesting questions, and we'll discuss possible interpretations of the results.
12:15-1:45p LUNCH
2:00-2:45p 2-Factor Term Structure Models
William Burns, PhD, Senior Vice President and Director of Research
Ken Fan , PhD, Vice President of Quantitative Research
A term structure model governs the evolution of possible future interest rates and is therefore the fundamental building block of fixed income valuation. In this session we will review the general framework for constructing a two-factor term structure model. The session will address how to calibrate a two-factor model, how the term structure of volatility is characterized, and the advantages, disadvantages and trade-offs compared to a one-factor model.
2:45-3:00p PM BREAK
3:00-3:45p Developments in Structured Securities
Jeff Foley, Vice President, Sales
As the structured securities landscape continues to evolve, this session will review some of the new opportunities and risks for investors in CMOs, ABS, CMBS and CDOs. We'll talk about the credit issues facing ABS investors and we'll show step-by-step how CDOs are created and why the role of the collateral manager is so important with these issues. We'll also update you on the coverage of structured securities in BondEdge as our reverse-engineering capabilities continue to grow.
3:45-4:00p PM BREAK
4:00-4:45p Derivatives and Exotics in BondEdge
Josef Kirkland, Vice President, Consulting
 BondEdge now covers a wide array of derivatives, from interest rate swaps to caps/floors, swaptions and OTC options. This session is designed for attendees who have derivatives in their portfolios and want a review of the capabilities in BondEdge, and for those who do not yet use derivatives but want to learn more. We will review the types of derivatives models and risk measures in BondEdge, including the "greeks", and will show how derivatives affect overall portfolio measures. The session will also cover the new model for fixed-to-floating rate/floating-to-fixed rate, callable, amortizing securities, to be released in BondEdge in June 2004, that will allow you to create some of the more exotic structures seen in fixed income securities.
4:00-6:00p
New Time! 		COCKTAILS Extended!

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 6, 2004.

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: To 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.
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