BondEdge Expands Database, MBS, Pricing Models

August 21, 2001( - CMS BondEdge has expanded its fixed income portfolio analytics system, offering plan sponsors and institutional investors additional capabilities.

BondEdge version 4.5 boasts enhancements to its Global Analytics database, including:

  • expanded sector reporting,
  • futures contracts for German Bunds and UK Gilts, and
  • the addition of JP Morgan’s Global Government Bond Index to the list of indices.

Furthemore, the system’s Currency Forward Rate Agreement model has been expanded to accommodate an exchange of any two currencies and now includes a CMS BondEdge Pricing model.

The new version also features enhancements to the CMS BondEdge Mortgage Backed Securities (MBS) prepayment model that incorporates recent market data and yield curve conditions.

High Yield Highlights

Coverage of the high yield corporate bond market has also been increased, with pricing and descriptive information now provided for a total of 3,500 high yield securities.

In addition, with the new version, corporate bonds can now be priced using a spread against the LIBOR/Swap curve, in addition to spread pricing based on the US Treasury curve.

Lastly, version 4.5 includes reverse-engineering tools for asset-backed securities and collateralized mortgage obligations that allow the system to update the database more quickly.