Barra Integrated Model

• Equity – A new implementation of the European (EUE3) model with support for markets in Eastern Europe; updates to the Australia (AUE3), Canada (CNE4), and Japan (JPE3) models; equity implied volatility factors added to the US and European equity models.
• Fixed Income – Extended term structures and swap curves with more vertices added for granularity; swap spread STB factors replace the single swap spread factor for developed markets; inflation-protected bonds are now supported in additional markets, including Brazil; new credit factor mapping using GICS sectors and subsectors for enhanced granularity in developed markets; completely revised Japan fixed income model with new sectors and subsectors; new emerging market models for Peru, Colombia, Argentina, and Egypt.
• Currency – A new, re-estimated model extends coverage to over 150 currencies.
• Commodity – 34 commodities from the JP Morgan Commodity Curve Index are now supported; exchange-traded commodity futures can now be added to a portfolio using a LOCALID.
• Real Estate – New factor models for direct real estate holdings in the US and UK markets.
• Mutual Fund – A new mutual fund model (MFM2) increases the precision of style factors using higher frequency data and provides greater transparency into the model methodology.
• Hedge Fund – The new hedge fund model (HFM2) features updated exposures and factors, extends into additional geographic regions, and includes new reports.

Parallel BIM

• In previous versions of BarraOne, when users ran reports and performed analysis, they had no control over the model being used, because each new model replaced the older model, and the old model ceased to exist. BarraOne 3.5 enables clients to choose which of the latest two models to use, so they can achieve reproducible reporting results against the desired risk models and market data for a period.

New Asset Coverage

• Brazil IPB (user asset) — inflation-protected bonds with a Brazil real term structure based on NTN-B
• Private Real Estate (user asset)
• Equity Volatility Future (system and user asset)
• Variance Future (system and user asset)
• Volatility Swap (system and user asset)
• Variance Swap (system and user asset)
• Forward Volatility Agreement (system and user asset)
• Volatility Option (system and user asset)

Enhanced Performance Attribution

• Single Asset Detail – This window now features a tab that includes time series data about the selected asset, such as Date, Price, Price Currency, Price Source, Return, and Return Source.
• Dynamic Portfolios from Screen Cases - BarraOne 3.5 supports dynamic portfolios as inputs to a performance case (both as portfolios or benchmarks/markets).
• Enhanced Currency Treatment – ADRs, GDRs, and Cross-Lists can now be evaluated in Equity Factor-Based Attribution using their currencies of exposure and/or price currencies, and they can be grouped by either country of exposure or country of quotation.