Charles River Integrating Yield Book Analytics to Synchronize Fixed Income Holdings and Analytics

New Interface to Go Beyond Beginning-of-Day Batch Processing With Intraday Execution and Real-Time Single Security Updates

BURLINGTON, MA, LONDON, MELBOURNE and SINGAPORE, October 25, 2005 — Charles River Development today announced that testing has begun on a new interface with The Yield Bookâ fixed income analytical system that synchronizes The Yield Book’s analytics with current holdings to increase the accuracy and efficiency by which a fund manager can execute fixed income investment strategies. The firms’ new XML API interface links the analytics engine of The Yield Book with the Charles River Investment Management System (Charles River IMS) to synchronize analytics and portfolio holdings on both systems at all times, even as executions occur intraday.

Charles River is the leading provider of front- and middle-office fixed income systems to the global investment management community and its Charles River IMS provides complete trade cycle support including tools for portfolio modeling, FIX executions and allocations, compliance monitoring, and trade settlement. The Yield Book Inc., a wholly owned subsidiary of Citigroup, is a leading provider of fixed income portfolio analytics software.

"This interface is another example of our real-time data integration strategy which provides desktop-level integration between core applications," said Rick Enfield, director of product management at Charles River Development. "Because the systems maintain synchronization of all relevant data as executions occur, fixed income managers can truly leverage the strengths of each system. For example, managers can easily utilize the Citigroup prepayment model when conducting portfolio analysis in Charles River IMS to insure that all mortgage analytics reflect consistent Yield Book model results. In addition, managers can be confident that results obtained from running Yield Book analytic models against portfolio holdings held in The Yield Book accurately reflect recent portfolio position changes due to trade activity in Charles River IMS."

"We are excited to provide the Yield Book customer base with access to our analytics via the Charles River Investment Management System. We expect customers to appreciate this new, seamless interface that enables them to obtain risk and value measures on their fixed income portfolios in real time," said Tom Klaffky, CEO of The Yield Book Inc.

"Clean, accurate data is critical to any effective system implementation, and is often the largest challenge in the implementation process. This interface is an out-of-the-box solution that streamlines the integration process, resulting in accurate analytic data from the start – right from The Yield Book. In addition, it provides a reliable mechanism for maintaining that data throughout the day as events occur," said Enfield.

The Yield Book analytic engine calculates consistent yield, risk, and return measures for a broad spectrum of bonds, enabling users to perform analysis on portfolios comprising a wide range of fixed income security types, including those for Emerging and International markets. The standardized Charles River IMS / Yield Book interface will be available in the Version 8 series release of Charles River IMS and the two firms have agreed to support it ongoing.

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