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Northern Trust enhances performance reporting for fixed income portfolios

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Northern Trust has enhanced its performance attribution tools with the implementation of daily security-level detail for fixed income within its Investment Risk and Analytical Services (IRAS) product suite for investment managers and institutional investors.

 
The “Successive Pricing” model provides a fixed income analysis tool leveraging Northern Trust’s performance data, fully integrated with the IRAS Fundamentals ad hoc analysis application, for clients seeking to better understand the sources of return in their investment portfolios.
 
By analysing the relationship of a security to market factors such as interest rate and foreign exchange changes, the model precisely accounts for performance on a variety of fixed income instruments including bank loans, swaps, options, ETDs/OTCs, repos, and futures.
 
“Our new daily security-level attribution model allows Northern Trust to deliver a more granular breakdown of returns generated within fixed income portfolios,” says James Haran, senior product manager for IRAS at Northern Trust. “While we have been able to provide fixed income attribution for many years, this model enhances our ability to highlight individual market factors such as curve, carry, yield, duration, and maturity and the resulting impact on client portfolios.”
 
The Successive Pricing model analyses the securities within a portfolio and benchmark to determine the pricing impact resulting from changes in underlying markets, and is integrated with other performance and risk reporting, so that clients can see absolute and relative returns along with risk metrics on their portfolios.

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