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Abel Noser presentation to the Fixed Income Forum June 1 st ,2006

Abel Noser presentation to the Fixed Income Forum June 1 st ,2006. Peter Weiler Senior VP 646-432-4050 or pweiler@abelnoser.com. TABLE OF CONTENTS. Introduction and history of Abel Noser Drivers of measurement analysis Market and trade data challenges Methodology Client reporting

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Abel Noser presentation to the Fixed Income Forum June 1 st ,2006

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  1. Abel Noser presentation to the Fixed Income ForumJune 1st,2006 Peter Weiler Senior VP 646-432-4050 or pweiler@abelnoser.com

  2. TABLE OF CONTENTS • Introduction and history of Abel Noser • Drivers of measurement analysis • Market and trade data challenges • Methodology • Client reporting • Future of fixed income measurement

  3. INTRODUCTION AND HISTORY OF ABEL NOSER

  4. WHO WE ARE • Leading provider and pioneer of equity trade cost analysis • Firm started in 1975 and began measuring on behalf of pension funds in 1985 • Introduced fixed income product in late 2005

  5. CLIENTS • 500 global pension funds and investment manager organizations • Pension fund clients primarily wish to measure more of their allocated investment dollars • Investment manager fixed income clients are typically in a mutual fund complex with a goal of best practice and compliance

  6. DRIVERS OF MEASUREMENT • Regulatory environment • Client and prospect inquiries • Improved market and trade data • Future need for improved investment performance in a difficult period

  7. DATA CHALLENGES • Inconsistent market data reporting by bond type • Incomplete and or delayed reporting • Off exchange or derivative bond trading • Spotty volume or pricing reporting • Enormous universe of fixed income securities data-many inactive securities

  8. DATA SOURCES • Corporate bond data provided by TRACE • Treasuries and Agencies data provided by TELERATE • Municipal bond data is reported to the MSRB (Municipal Securities Rulemaking Board) • Mortgage backed and asset backed data provided by BLOOMBERG

  9. METHODOLOGY • Measure costs: • versus a single point in time: strike price • versus an average price across a span of time • Compare results to other investors’ results in specific classes of bonds • Organize information by strategy, order instructions, size of trade to gain greater insight

  10. TIMELINE OF A TRADE Markets Buy-Side Trader Sell-Side Broker Completion Markets PM Decides Execution Opens Receives Order Receives Order Closes Prev. Close Open Fills Completion Close Next Open Decision Entry Placement Multi-Day Order Decision Order First Day Order Last Day Close Cls Cls Ent Fills Ent Fills Opn Prev. Close Plcmt Completion Opn Plcmt Completion Next Open

  11. CLIENT REPORTING

  12. INVESTMENT MANAGERS

  13. PENSION FUNDS

  14. SAMPLE CLENT CLIENT FIXED INCOME

  15. SAMPLE CLIENT FIXED INCOME

  16. SAMPLE CLIENT FIXED INCOME

  17. SAMPLE CLIENT FIXED INCOME

  18. SAMPLE CLIENT FIXED INCOME

  19. FUTURE OF FIXED INCOME MEASUREMENT

  20. Translucent marketplace will slowly become more transparent. • Pension funds will increasingly measure their fixed income transactions. • Managers will use measurement for compliance purposes initially and as market data becomes more robust will use as a tool to perform pattern analysis and improve costs. • Sunshine will help save all investors money.

  21. ABEL NOSER One Battery Park Plaza New York, N.Y 10004 1-800-322-2610 www.abelnoser.com

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