Version 3.3 of BarraOne includes three major new features to enhance its risk modeling and performance attribution capabilities, as well as other key enhancements in the areas of analytics, workflow and automation.
Major BarraOne 3.3 Features
- Factor-based equity performance attribution is now available for all 59 equity markets covered in BarraOne. Users can now complete the investment management feedback loop and better understand if the factor bets they made at the beginning of the period are aligned with the sources of return at the end of the period. Over six years of history is available, with daily data going back to January 1, 2003.
- BarraOne now more precisely models structured credit products such as ABS, CMOs, CMBS, and REMICs through the integration of the INTEX deal cashflow library with Barra's prepayment models. Users can now integrate deals with complex cashflow waterfall rules into a common factor risk analysis framework, in addition to computing traditional VaR and sensitivity analysis. A full revaluation option is available in Stress Testing.
- Enhancements to Monte Carlo VaR simulations allow users to configure the responsiveness of the model by adjusting the half-life, and to better capture the risk dynamics at shorter horizons of 1 to 10 days. Daily factor returns are used to generate a responsive covariance matrix at the time of the analysis (overnight processing is not required). Risk at different horizons can be compared to support capital preservation analysis, regulatory risk reporting, or strategic portfolio positioning.
Key Analytics and Workflow Enhancements
Analytics Enhancements
- New notional-based risk and analytics columns in the Positions Report allow users to report asset level exposures and sensitivities using either the notional or market value as the base. This provides a more intuitive view of risk at the asset level for derivatives
- As part of the Stress Testing results, BarraOne now displays asset- and portfolio-level sensitivity measures recomputed under shocked market conditions. Available analytics include durations, spreads, and greeks. This allows users to measure standard fixed income risk metrics pre- and post-stress test, and monitor behavior of hedges under market dislocations.
- Convertible bond coverage has been enhanced through the delivery of T&Cs for floating-rate, stepped coupon, and preferred convertibles. In addition, user spreads may be imported to compute convertible bond analytics and calibrate a model price.
- EONIA, TEC10, & JGB 10 Rates can now be used for swaps, floating rate notes, Eurodollar futures, and floating rate agreements. In addition, this release provides support for Overnight Index Swaps.
Workflow and Automation Enhancements
- Users can now retrieve BarraOne analytics without having to log into the application by using a new granular programmatic access capability built into the BarraOne Developer's Toolkit. With "BDT Interactive", asset-level values for any attribute in the Positions Report can be extracted directly to Microsoft Excel®, including exposures, betas, and sensitivities.
- BarraOne now provides automated, rules-based equity asset proxy support. Using user-defined rules, BarraOne computes risk factor exposures and specific risk from averages of similar assets.
- New portfolio importing capabilities allow users to import holdings one day ahead of the current analysis date. This is of particular interest to clients in Asia or Europe who may want to start their automated workflows before data is available from MSCI Barra. In addition, valuation can be turned off to significantly reduce import times for large batch import jobs.
