Abel Noser presentation to the Fixed Income Forum

June 1st,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

• Future of fixed income measurement

INTRODUCTION AND HISTORY OF ABEL NOSER

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

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

DRIVERS OF MEASUREMENT

• Regulatory environment

• Client and prospect inquiries

• Improved market and trade data

• Future need for improved investment performance in a difficult period

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

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

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

TIMELINE OF A TRADE

Prev. Close Next Open

Decision

Opn

Ent

Plcmt

Fills

Completion

ClsOrder First Day

Opn

Ent

Plcmt

Fills

Completion

ClsOrder Last Day Close

Multi-Day Order

PM DecidesMarkets Opens

Buy-Side Trader

Receives Order

Sell-Side Broker

Receives OrderExecution

Completion Markets Closes

Prev. Close Next OpenDecision Open Entry Placement Fills Completion Close

CLIENT REPORTING

INVESTMENT MANAGERS

PENSION FUNDS

SAMPLE CLENT CLIENT FIXED INCOME

SAMPLE CLIENT FIXED INCOME

SAMPLE CLIENT FIXED INCOME

SAMPLE CLIENT FIXED INCOME

SAMPLE CLIENT FIXED INCOME

FUTURE OF FIXED INCOME MEASUREMENT

• 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.

ABEL NOSER

One Battery Park Plaza

New York, N.Y 10004

1-800-322-2610

www.abelnoser.com