Security level attribution reports

The security level attribution report shows security data, together with returns decomposed by sources of risk.

To generate a security level attribution report, set

SecurityAttributionReport=1

in the configuration settings.

The report looks as follows:

Columns Portfolio, ID code, Security show the portfolio name, internal ID code, and name of each security in the portfolio.

Columns Maturity, Coupon, Currency, Credit, Security type show the maturity date, coupon, issuing currency, credit rating and pricing type for the current security. If no value is provided, the field is left blank.

Columns Total (local) and Total (base) show the compounded return of the security over the calculation interval, in local and base terms.

The remaining columns (here Carry, Sovereign Curve, Credit, FX) show the unweighted returns of the security, decomposed by source of risk.

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Note that as the returns on this report are not smoothed, the total return may not be the sums of the individual risk returns. Return from each source of risk is compounded over time, and the sum of these compounded returns will diverge away from the total return over time.

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The total local and base returns will be the same as the R_LOCAL and R_BASE columns on the interactive report, if these are displayed.