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Fixed Income Model
Barra models thousands of bonds worldwide. You can access Barra's fixed income analytics through the Cosmos, BarraOne, and TotalRisk products.
Several types of factors are used to model bonds. The principal factor types are local market, emerging market and currency factors.
Local Market Factors
All local markets have term structure and swap spread factors.
Barra uses a three-factor interest rate risk model for term structure risk. The factors reflect the way term structures actually move: shift, where the rate change roughly in parallel; twist, where the short and long end of the curves move in opposite directions; and butterfly, where the curvature of the term structure changes or flexes. More
Markets covered: 48
- Australia
- Austria
- Belgium
- Brazil
- Bulgaria
- Canada
- Chile
- China
- Croatia
- Czech Republic
- Denmark
- EMU
- Finland
- France
- Germany
- Greece
- Hong Kong
- Hungary
- Iceland
- India
- Indonesia
- Ireland
- Israel
- Italy
- Japan
- Korea
- Lithuania
- Malaysia
- Mexico
- Netherlands
- New Zealand
- Norway
- Philippines
- Poland
- Portugal
- Romania
- Russia
- Singapore
- Slovakia
- South Africa
- Spain
- Sweden
- Switzerland
- Taiwan
- Thailand
- Turkey
- UK
- US
Local Market Credit Spread Factors
For select markets, detailed credit spread factors are determined by combinations of sector and rating.
Markets covered: Australia, EMU, UK, US, Japan, Canada, Switzerland.
Emerging Market Factors
Emerging market factors are swap spreads based on country sub-index stripped spreads.
Markets covered: 38
- Argentina
- Brazil
- Bulgaria
- Chile
- China
- Colombia
- Croatia
- Dominican Republic
- Ecuador
- Egypt
- El Salvador
- Hong Kong
- Hungary
- India
- Indonesia
- Ivory Coast
- Korea
- Lebanon
- Malaysia
- Mexico
- Morocco
- Nigeria
- Panama
- Peru
- Philippines
- Poland
- Romania
- Russia
- Serbia
- Singapore
- Slovakia
- South Africa
- Thailand
- Tunisia
- Turkey
- Ukraine
- Uruguay
- Venezuela
Currency Factors
The Barra currency model combines volatility and correlation in a currency covariance matrix. It captures daily time-varying volatility using a GARCH (1,1) model for most currencies against the US dollar.
Currency factors: 74
- ARS–Argentine peso
- AUD–Australian dollar
- ATS–Austrian schilling
- BHD–Bahraini dinar
- BEF–Belgian franc
- BRL–Brazilian real
- BGL–Bulgarian lev¹
- CAD–Canadian dollar
- CLP–Chilean peso
- CNY–Chinese yuan
- COP–Colombian peso
- HRK–Croatian kuna
- CYP–Cyprus pound
- CZK–Czech koruna
- DKK–Danish krone
- ESS–Ecuadorian sucre
- EGP–Egyptian pound
- EEK–Estonian kroon
- EUR–EMU euro
- FIM–Finnish markka
- FRF–French franc
- DEM–German mark
- GRD–Greek drachma
- HKD–Hong Kong dollar
- HUF–Hungarian forint
- ISK–Icelandic krona
- INR–Indian rupee
- IDR–Indonesian rupiah
- IEP–Irish punt
- ILS–Israeli shekel
- ITL–Italian lira
- JPY–Japanese yen
- JDT–Jordanian dinar
- KRW–Korean won
- KWD–Kuwaiti dinar
- LVL–Latvian lat
- LBP–Lebanese pound
- LTL–Lithuanian litas
- MYR–Malaysian ringgit
- MTL–Maltan lira
- MXN–Mexican peso
- MAD–Moroccan dirham
- NLG–Dutch guilder
- ANG–Dutch Antilles guilder
- NZD–New Zealand dollar
- NGN–Nigerian naira
- NOK–Norwegian krone
- OMR–Omani riyal
- PKR–Pakistani rupee
- PEN–Peruvian nuevo sol
- PHP–Philippine peso
- PLN–Polish zloty
- PTE–Portuguese escudo
- QAR–Qatari riyal
- ROL–Romanian new leu
- RUR–Russian ruble
- SAR–Saudi Arabian riyal
- SGD–Singaporean dollar
- SKK–Slovakian koruna
- SIT–Slovenian tolar
- ZAR–South African rand
- ESP–Spanish peseta
- LKR–Sri Lankan rupee
- SEK–Swedish krona
- CHF–Swiss franc
- TWD–Taiwanese dollar
- THB–Thai baht
- TRL–Turkish lira
- AED–UAE dirham
- GBP–UK pound
- NLG–Ukrainian hryvnia
- USD–US dollar
- VEB–Venezuelan bolivar
- ZWD–Zimbabwean dollar
¹TotalRisk only
