The new version includes expansion for Emerging Market Debt (EMD), enhanced functionalities and a new Treasury Equivalent Returns Variance Model, according to the announcement. “This new version of the Wilshire Axiom reflects the input of our clients from around the world and offers a single integrated system for global fixed income analytics, performance attribution, risk management, scenario analysis and portfolio optimization,” noted Peter Matheos, managing director and head of Wilshire Fixed Income Analytics, a division of Wilshire Analytics, in the announcement.
According to Matheos, “The EMD expansion includes risk factors for external and local currency denominated debt in emerging markets, resulting in enhanced estimates of systematic and issuer/issue specific risk for emerging market debt.”
Other highlights of the new Wilshire Axiom release, include, according to the press release:
- new asset types, including collateralized debt obligations, credit default swap indexes and total return swaps,
- a new Analytics Override option to load user-defined security-level analytics throughout Wilshire Axiom, including basic reporting and all analytics-based calculations,
- new sub-indexes from Wilshire, JP Morgan, iBoxx, Merrill Lynch, Swiss Exchange, Salomon/Citigroup, and Lehman Brothers,
- new futures contracts from Hong Kong, Chicago Mercantile Exchange, Korea, Malaysia, Sweden and Singapore,
- new data items for the Wilshire Axiom Menu Report, allowing additional security-level details for portfolio reporting,
- support for long portfolio names,
- enhanced support for CUSIP and SEDOL check digits for several Wilshire Axiom reports; and
- enhanced cash flow discounting model for ARMs, hybrid ARMs and non-ARMs for improved valuation and analytics.
More information is at www.wilshire.com .