Factor-Based Equity Performance Attribution

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.

Structured Credit Products

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.

Monte Carlo VaR Enhancements

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.

Analytics Enhancements

Analytics enhancements include:

• 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.
• As part of the Stress Testing results, BarraOne now displays asset- and portfolio-level sensitivity measures recomputed under shocked market conditions.
• Convertible bond coverage has been enhanced through the delivery of T&Cs for floating-rate, stepped coupon, and preferred convertibles.
• EONIA, TEC10, & JGB 10 Rates can now be used for swaps, floating rate notes, Eurodollar futures, and floating rate agreements.

Workflow and Automation Enhancements

Workflow and automation enhancements include:

• BarraOne Developer's Toolkit users can now retrieve BarraOne analytics without having to log into the application by using a new built-in granular programmatic access capability called "BDT Interactive."
• BarraOne now provides automated, rules-based equity asset proxy support.
• 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.