Portfolio analysis tool
UBS Delta has enhanced the liquidity scoring and performance attribution of its market and portfolio analysis tool. As there are no publicly available liquidity metrics, tools for assessing liquidity in fixed income are limited. However, UBS has access to various proprietary measures, which it has now included in its UBS Delta product.
These include UBS turnover for each asset, number of trades, number and size of enquiries on all electronic platforms, and percentage of enquiries not traded.
The output enables clients to address regulatory requirements on liquidity reporting, as well as add liquidity as a key metric for portfolio management. This, says UBS Delta, helps investors see whether they are long or short liquidity versus their index or model portfolio, and can highlight the issues most likely to present problems if they need to liquidate parts of the portfolio.
The performance attribution aspect of the platform has been enhanced to allow clients to upload their own pricing, transactional history and customised views.
Maeve Sherry, a senior manager in credit risk at Aviva London, has used the system for 18 months. She says: “It’s become the sole tool we use, and it’s working well. The main thing is we can work with UBS Delta to develop reports, enhancing our information with UBS data. We’re constantly working with them on it, learning what we want from it too.”
Sherry praises UBS Delta’s flexibility in meeting Aviva’s needs: “The key thing we’ve changed is aggregated exposure at individual counterparty level. They adapted a solution for us, although the default in the system was something different. It’s doing exactly what we need it to do.”