California risk technology vendor Barra has upgraded its global fixed income portfolio management system, Cosmos, to include a larger number of securities and benchmarks, an expanded credit spread model and new market-implied credit ratings.
The new release - Cosmos 3.1 - is a multiple-factor system that details granular sources of risk and the interactions between those sources. Barra says this approach is critical for managers who want to outperform benchmarks and avoid portfolio blow-ups.
The product features Barra Implied Ratings - quantitive measures that highlight issuers trading at different spreads to their peers - as well as improved detail for investment grade and high yield securities. The system also includes expanded coverage of nine emerging markets, bringing the total number to 35, and new measures of spread risk for all emerging markets.
Expanded US bond coverage is also provided as well as additional indices including coverage of mortgages in the index, iboxx euro and sterling credit indices.
Roveen Bhansali, vice president of fixed income and credit solutions for Barra, says that with the issuance of new debt instruments and benchmarks to the market, clients are facing a greater product coverage hurdle than ever before.
"The new Cosmos system, and its global credit model, allows fund managers to construct portfolios with the knowledge that the risks they are taking are intentional, not incidental," he adds.