BondEdge - Version 5.60
May, 2007

Enhanced Reporting and Analytics
Expanded Securities Data & Capabilities
Performance Attribution (PART)

Enhanced Reporting and Analytics

Mortgage-Backed Security Analytics

As the turmoil in the RMBS market continues to challenge investors, we have taken a number of steps to provide enhanced analytical capabilities in this area:

• Credit triggers for sub-prime/Alt-A deals (Q2 ‘08)
• Loss Modeling(Q2 ‘08) – The new “Performance” tab also has a section for inputting a forward-looking default rate and loss-severity assumption.
• Incorporating Recent Historical Prepayment Speeds (Q2 ‘08)

Enhanced Analytics for Callable Bonds

• Call Announcements (Q2 ‘08) – We have added a new Call Announce tab on the Security Calculator screen to show when a Call Announcement has been made for a Corporate, Agency or Municipal bond.
• Discrete or Continuous Call Schedule (Q2 ‘08) – the Option features tab on the Private Placement and Municipal bond models have been enhanced to allow you to specify whether a call schedule is Discrete or Continuous for your locally modeled bonds. This distinction allows BondEdge to more precisely measure the option-adjusted duration of these securities and is used in conjunction with the Call Announce data in computing analytical measures and in Simulations.

Liability-Driven Investing Optimization with Interest Rate Futures and Swaps (Q2 ‘08) – Investment managers who use BondEdge to manage LDI strategies for plan sponsors and other clients can now use the LDI Optimizer to construct optimal portfolio structures that include Interest Rate Swaps and/or Futures contracts.

Credit Default Swap Analytics (Q2 ‘08) – BondEdge now incorporates the spread duration of CDS in the Tracking Error with Correlations analysis, so that the Tracking Error attributable to Sector/Quality mismatches between the portfolio and benchmark will be affected by CDS exposure, and in the Spread Duration calculated on the Advanced Risk Measures report, found under the Portfolio Simulations menu.

Municipal Analytics Enhancements (Q1 ‘07) – We have added more features for managing portfolios that include municipal bonds, including more security descriptive data, an enhanced Muni Holdings report and a new Muni Distributions item in the custom Report Writer, a revised sector logic to match the main Muni index providers’ sectors and the addition of pre-refundings to the Portfolio Alerts report. And! we now offer the Lehman Muni indices constructed from constituent level data.

Adjustable Rate Home Equity Loan Prepay Model (Q1 ‘07) – We have released a new prepayment model for ABS deals backed by Adjustable Rate HELs. Prepayment projections from our new Adjustable HEL prepayment model are based on five major components: the first reset date, turnover, interest rate-driven prepayment, defaults and credit curing.

New Total Return Simulation Tools (Q1 ‘07) – The Specified Scenario and Compare Probability-Weighted Return simulations have been significantly upgraded, giving you the flexibility to input spread changes at the industry and ticker-symbol level for corporate bonds, with similar features for other sectors.

Basket of Securities as Single Holding in Portfolio (Q1 ‘07) – The ability to add a portfolio as a separate holding into another portfolio, e.g., for clients who hold mutual funds or ETFs within a portfolio, or if you have created a replicating strategy involving two or more securities that you wish to add to a portfolio.

Muni “Duration Beta” (Q1 ‘06) – Managers of taxable and tax-exempt portfolios can now reflect the relationship between changes in the muni yield curve and the taxable market. In a portfolio containing both taxables and tax-exempts, the duration of tax-exempt securities will be adjusted by a user-defined beta to “gross down” the duration of the munis relative to the taxables.

Expanded Securities Data & Modeling Capabilities

Creating Interest Rate Swaps, CDS and FRNs via Import (Q2 ‘08) – You can now use the standard BondEdge Portfolio Import file to create Interest Rate Swaps, Credit Default Swaps and Floating Rate Notes (FRNs). This feature allows you to set up these instruments automatically by providing the necessary descriptive and contractual data in the standard (generic) import file.

TBA CUSIPs (Q1 ‘07) – TBA Mortgage CUSIPs have been added to the BondEdge database, allowing you to use the industry-standard TBA CUSIP in your portfolio holdings.

Performance Attribution (PART)

Factor-Based, Issue-Level Attribution Reports (Q2 ‘08) – We are pleased to introduce a new reporting capability in the Factor-Based Attribution system that allows you to build customized reports showing the various sources of return for the individual issues in your portfolios, including Income Return, Paydown Effect, Sector/Quality Effect, etc. These reports, which complement the existing Selection Effect report, can include both Absolute (raw, unweighted) return categories as well as “Contribution to Return” values.

Portfolio managers who are measured against a custom-weighted benchmark modeled in BondEdge can now use that benchmark in a Factor-based Peformance Attribution analysis.

• Custom Indices in PART (Q1 '07) – As an increasing number of portfolios are managed against a custom-weighted blend of two or more indices and you can now run Factors-based Performance Attribution analyses using these weighted indices. The weighted indices created for Compare, Indices or Policy reports are now shown in the list of Indices available in Factors-based PART, as long as all of the underlying index components are available on the PART index list.