CMS Announces Pre-Release of BondEdge v4.2.

Business Editors & High-Tech Writers

LOS ANGELES--(BUSINESS WIRE)--June 21, 2000

Capital Management Sciences, a division of Data Broadcasting Corp. (Nasdaq:DBCC), today announced the pre-release of version 4.2 of the BondEdge fixed income portfolio analytics system.

This version offers new advanced tools for mortgage-backed security prepayment analyses, additional global portfolio reporting features, a new model for interest rate caps ands floors and a new high-yield appraisal report for non-investment grade holdings.

User Scaling of CMS Prepayment Models

BondEdge now offers an advanced Prepayment Model Scaling tool that allows clients to modify individual parameters within the system's fixed-rate mortgage prepayment model, and to specify new models for user-defined collateral types. This feature gives BondEdge users the flexibility to apply their own prepayment expectations to mortgage-backed securities analyses.

Scaling the CMS default parameters upward or downward also allows risk managers to perform sensitivity analysis with respect to key prepayment assumptions and to stress test the results of the CMS model at both the security and portfolio level.

"Mortgage prepayment modeling is a constant challenge in fixed income management and our clients want the flexibility to either express their own views on prepayments or stress test the assumptions in the CMS model," explained Teri Geske, senior vice president of product development at CMS.

Global Portfolio Management

To meet the needs of the growing number of U.S. portfolio managers who invest in non-U.S.$ fixed-income securities, CMS continues to enhance BondEdge's multicurrency features. BondEdge now offers a flexible tool that allows clients to assign countries and/or currencies to Blocs.

This allows managers to view a portfolio's exposure not only by individual countries, but also in terms of combined exposure to a bloc or region of countries, such as the Eurozone or Latin America, in a way that meets each firm's needs.

For example, clients could define an "Asia/Pacific Rim" bloc to include or exclude Japan, separate a portfolio's European exposure into EMU vs. non-EMU countries, and create an Emerging Market bloc consisting of their own list of countries in that category. Since certain currencies tend to move together, clients can also create Currency blocs that will help them to monitor a portfolio's exchange rate risk.

"We designed this feature so that the client's definition of a country or currency bloc also applies to any global index in BondEdge to which the portfolio is compared," Geske noted.

These Country and Currency blocs have been incorporated into BondEdge's Global Distributions report. This report has been revised to show the gross exposure to each currency, the effect of any currency hedges, the net exposure after taking any hedges into account, and the percentage of each currency in the portfolio that has been hedged away.

Global portfolio managers can also now price non-$ securities in BondEdge by specifying a spread (in basis points) to one of BondEdge's Global Government Yield Curves. This system provides term structures for the major currencies from Financial Times Information, and clients can add their own term structures as needed.

New Caps and Floors Model

Derivatives have become an important part of fixed income portfolios at many institutions particularly at insurance companies, banks and other financial services firms that use these instruments for interest rate risk management. With this release, BondEdge offers a new model for caps and floors, enhancing the system's derivatives capabilities.

The new model allows clients to create a cap, floor or collar, and the new cap/floor pricing model computes a price based on the underlying LIBOR curve and a term structure of volatility that is fitted from observed cap market prices. BondEdge's new Quasi-Monte Carlo valuation model is employed in this analysis.

High-Yield Appraisal Report

Finally, this version of BondEdge includes a new High Yield Appraisal Report, showing all securities in a selected portfolio that have a noninvestment grade rating from Moody's and/or from Standard & Poor's. This new report allows portfolio managers to easily track exposure to high-yield bonds by industry classification and provides the yield-to-worst and duration-to-worst measures typically used in this market.

About CMS

For over 20 years, CMS has been recognized as the leader in fixed income analytical software. Long known for the BondEdge system, CMS is trusted as an independent source of research, analytics and valuation tools by over 500 institutional investment firms.

CMS is a division of Data Broadcasting, a leading provider of real-time market data, stock quotes, and financial news and information delivered via the Internet. More information on CMS is available at www.cms-info.com. Corporate information on DBC is available at www.dbc.com.