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Best for electronic fixed-income: UBS

Highly commended: Citigroup

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.

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