UBS’s CreditDelta is still the best tool for analyzing credit risk and credit performance. Valuation and scenario analysis are the key first steps in taking an investment decision. But to trade, you need cutting-edge optimization tools to use against a background of real trading constraints. And that’s what CreditDelta provides.
CreditDelta is backed by a searchable database of more than 110,000 securities. Yield curves for each individual issuer can be called up and analyzed in comparison with sector or market curves. Over 3,500 individual issuer curves are updated and stored each day.
For portfolio analytics, CreditDelta is unsurpassed. It is index-neutral, and starting to make analytics less dependent on ownership of indices. Portfolio performance can be measured against any benchmark. When value at risk (VaR) or summary reports are run, the results can be saved and users can build up a time series of different figures, including VaR, volatility, and tracking error. Its optimization function is unrivalled.
CreditDelta’s great leap forward this year, though, has been in attribution analysis. With a more flexible tool than traditional performance attribution, CreditDelta users are not constrained to standard performance management processes. Using CreditDelta, fund managers can assess the effects of forex and duration allocation and whether their sector and individual security choices were good or bad. In short, they can isolate the factors that have contributed to portfolio returns, and so work out where they could have done better or worse. For portfolio managers who need to defend their performance or win new money this is invaluable.
If anything, CreditDelta has increased its lead this year. It demonstrated its focus on helping fund managers analyze risk across different product types by introducing a series of new asset classes – collateralized debt obligations, credit default swaps, interest rate swaps, emerging markets, high yield, and index-linked products were all new in 2003.
Yield Book, which Citigroup demonstrated for the first time this year, is highly commended. It too is a multi-currency, highly customizable system that enables users to set different constraints and analyze portfolios using different scenarios and risk factors. It is unquestionably the leading analytics tool for mortgage securities.
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