Unattributed securities
Contents
- 1Introduction
- 2Security description
- 3Security code
- 4Calculation of returns
- 5Security file setup
- 6Returns file setup
- 7Example
Introduction
This security type describes an instrument for which the pricing mechanism is unknown, so that attribution cannot be performed. In such cases, FIA allows the instrument to be classified as UNATTRIBUTED, and its entire return is assigned to a custom UNATTRIBUTED category.
Security description
Unattributed securities form a special category within FIA. UNATTRIBUTED indicates a security for which no fixed income analysis can be carried out.
It sometimes happens that a new security is to be bought into a managed portfolio, but that there is insufficient information about its pricing mechanisms for its returns to be attributed to the usual sources of risk. However, it may still be desirable to include the security’s performance contribution in the overall portfolio return, even if detailed attribution of its returns is not available, as the performance contribution of the new security may be sufficiently low that its presence will not distort the overall conclusions of the report.
This is the rationale for the UNATTRIBUTED pricing type. A security that is assigned this type has no fixed income-based attribution returns calculated. Instead, its entire local currency return as supplied in the portfolio file is assigned to the unattributed risk category.
Currency attribution will still be performed on unattributed securities, since exchange rate risk is independent of fixed income risk.
Unattributed securities are assigned a AAA credit rating by default.
Security code
Unattributed securities have security type UNATTRIBUTED.
Calculation of returns
By definition, no calculation of returns is possible for unattributed securities, so returns must be supplied externally.
Security file setup
An unattributed security is up as follows:
| Field number | Field | Type | Description | Samples |
|---|---|---|---|---|
1 | Security ID | String | Identification code | AU0000IFXHB8 |
2 | Name | String | Name of bond | IFC 5.750 24-Jun-2014 |
3 | Start date | Date | Date at which record becomes effective | [Blank]01/01/2010 |
4 | Security type | String | Type code for unattributed security (UNATTRIBUTED) | UNATTRIBUTED |
5 | Currency | String | 3-character currency code | AUD |
Notes
- It may happen that a security starts out as unattributed and later changes its type to some other value. In this case, the user can modify the security type and rerun the attribution calculation. The overall returns of the portfolio will not change, but the return that was previously assigned to will now be apportioned to various fixed income risks.
UNATTRIBUTED
Returns file setup
An unattributed security requires the following information in the returns file:
| Field number | Field | Type | Description | Sample |
|---|---|---|---|---|
1 | Date | Date | Date at end of interval | 30/11/2009 |
2 | Portfolio | String | Name of portfolio | STF1 |
3 | Security ID | String | Identifier for security | COMPLEX_BOND |
4 | Market weight | Double | Market weight of security within portfolio | 0.04553 |
5 | Base current return | Double | Base currency return of security | 0.00293 |
6 | Local currency return | Double | Local currency return of security | 0.00293 |
Notes
- For an unattributed security, the return of the security must be supplied, since FIA cannot calculate its return internally.
Example
An unattributed security is issued in AUD. This security is represented by a single entry in the security definition file:
The Start date field is left blank, indicating that the security’s characteristics remain unchanged during its lifetime.
The security has the corresponding entries in the returns file:
| Date | Portfolio | Security ID | Market weight | Base currency return | Local currency return |
|---|---|---|---|---|---|
March 12, 2009 | STF1 | AU300TB01208 | 0.000825768 | 0.00015906 | 0.00015906 |
April 12, 2009 | STF1 | AU300TB01208 | 0.000826521 | 0.00015882 | 0.00015882 |
May 12, 2009 | STF1 | AU300TB01208 | 0.000826533 | 0.00014387 | 0.00014387 |
0 | 0 | 0 |
These records show the weights and returns of the security over successive days within the STF1 portfolio.