Historical VaR

BarraOne clients may now include any asset denominated in one of the 74 currencies covered in the Barra Integrated Model (BIM) in the Historical VaR (HVaR) and Performance Attribution modules by providing historical returns. This feature significantly improves BarraOne's asset coverage for risk reporting and performance attribution purposes.
Key benefits of this feature include: Assets no longer have to be covered by BIM valuation models to be used with HVaR or Performance Attribution; coverage for assets with no valuation model or BIM factors in BarraOne (structured products, private assets, etc.); the ability to override Barra valuation models via user-provided returns.

CDS Big Bang

The new Credit Default Swap (CDS) model now supports CDS, Credit-Linked Notes (CLNs), and CDS Baskets/Indices using an improved Deterministic Intensity Reduced Form Model that is structurally similar to the ISDA CDS Standard Model. The new model allows for greater granularity of inputs, including the ability to specify spread curves, upfront curves, and recovery rate assumptions.
Key benefits include: More precise valuation and exposure results in non-linear applications (i.e., stress testing and VaR) and for severely distressed issuers; standardized model inputs such as spread curves and upfront points that are compatible with the CDS Big Bang Protocol.

Barra Default Probabilities

BDPs have now been linked to equities, and the universe of issuers for which BDPs are available in BarraOne has been expanded to over 10,000 from approximately 3,000. In addition, historical BDP data is now available from November 2002.
Key benefits include: A significant expansion in the number of BDPs available in BarraOne; support for time-series analysis over longer horizons, including recent market cycles; the linkage to equities provides risk and portfolio managers with a credit default measure when evaluating equity risk.

Flexible Risk Decomposition

With new Flexible Risk Decomposition capabilities, BarraOne now supports custom risk decomposition along user-defined factor hierarchy trees. Users can now create expandable, drill-down factor breakdowns within a single screen and decompose risk along multiple dimensions such as asset class-by-country or region-by-asset class. Multiple factor decomposition views can be created in the context of user-specific investment decision lines.
Key benefits of flexible risk decomposition include: The ability to create an aggregated risk decomposition view across all factor types; performing risk analyses previously available only by combining standard Risk Decomposition and Factor Exposure Breakdown reports.

Look-through EIF

Look-through EIF allows users that have permissioned access to the underlying index to expand EIFs and view index constituents. With EIF Look-through, index constituents are grouped as if they were actual constituents in the portfolio.
Key benefits of Look-through EIF include: Linking EIFs to the investment process by understanding active positions and exposures (for example, by GICS® sectors) when EIFs are used in the portfolio; the ability to view the assets underlying the index; enhanced risk reporting capabilities through additional flexibility.

Duration Proxies

Duration Proxies allow users to model fixed income instruments in BarraOne by providing Terms and Conditions and a set of basic asset analytics.
Key benefits of Duration Proxies include the ability to provide asset coverage when: Full T&Cs for supported instruments are unavailable but pricing and duration measures are available through other sources; fixed income or structured product asset types are not yet natively supported by BarraOne

Other Enhancements

Other enhancements in BarraOne 3.2.3 include: Enabling bond futures to inherit characteristics from the Cheapest-to-Deliver bond for grouping and reportings; composite Look-through in Performance Attribution; consolidated Export Outputs