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

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Abel Noser presentation to the Fixed Income Forum June 1st,2006 Peter Weiler Senior VP 646-432-4050 or pweiler_at_abelnoser.com TABLE OF CONTENTS Introduction and ... – PowerPoint PPT presentation

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


1
Abel Noser presentation to the Fixed Income
Forum June 1st,2006
  • Peter Weiler Senior VP
  • 646-432-4050 or pweiler_at_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
Next Open
Open
Fills
Completion
Close
Decision
Entry
Placement
Multi-Day Order
Decision
Order First Day
Cls
Order Last Day Close
Cls
Ent
Fills
Ent
Fills
Opn
Prev. Close
Next Open
Plcmt
Completion
Opn
Plcmt
Completion
11
CLIENT REPORTING
12
INVESTMENT MANAGERS
13
(No Transcript)
14
PENSION FUNDS
15
SAMPLE CLENT CLIENT FIXED INCOME
16
SAMPLE CLIENT FIXED INCOME
17
SAMPLE CLIENT FIXED INCOME
18
SAMPLE CLIENT FIXED INCOME
19
SAMPLE CLIENT FIXED INCOME
20
FUTURE OF FIXED INCOME MEASUREMENT
21
  • 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.

22
ABEL NOSER
  • One Battery Park Plaza
  • New York, N.Y 10004
  • 1-800-322-2610
  • www.abelnoser.com
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