RIO 4.2 - Fixed Income Performance Attribution (FIPA)
The latest RIO 4.2 release contains a new category of functions used for Fixed Income Performance Attribution.
Fixed Income Performance Attribution is a powerful tool for both portfolio managers and analysts. By using this tool it is possible to see why and how the return of a given bond or portfolio occurred. By using an advanced return decomposition module the return is divided into different sources such as passage of time, yield curve changes, volatility changes, exchange rate changes etc.
Three new functions have been introduced in the new Performance Attribution category.
rw_PABond splits the return of a bond into different return components. For each return component the model price of the bond is found by using the advanced MBS and term structure models of RIO. Through a predefined export sheet the calculations can be saved for further use.
rw_PAPortfolio uses the results from the rw_PABond calculation to show the evolution of a specific portfolio over time. Beside the return decomposition the function takes coupon payments, ordinary and extra ordinary prepayments, addition of interest etc. into account. Transactions may be entered manually, generated by the program or imported from third party systems.
rw_PAAccount is used to see specific attribution details. This is done using an innovative and flexible transaction setup.
The latest release of SPV (October 2006) contains a case study of Fixed Income Performance Attribution in which we examine how Fixed Income Performance Attribution can be used to evaluate the quality of a First Prepay Model.
For further information about the Fixed Income Performance Attribution functionality please contact Scanrate.