Fixed Income Attribution – Key Rate Duration Report

The Fixed Income Attribution – Key Rate Duration report highlights the month to date fixed income style attribution between the account and benchmark when the account and benchmark have key rate duration analytics available.

These reports read month to date Data Mart data that is calculated from daily frequency performance data and stored in the following Data Mart group models.

On this page

1 Advanced Report Profile
2 Options
3 Data Used by Report
4 Report DLL

Advanced Report Profile

Advanced Report Profile	Data Mart Detail Model

Advanced Report Profile	Data Mart Detail Model
Egl Prf Attribution FI KRD By Aggregate Bond	PERF_AGGBOND_MTD_KRD

Options

Available options appear in the following table.

Option	Description

Option	Description
Eagle Report Title	Controls the title of the report.
Eagle Table Name	Controls the name of Data Mart group model to query.
Eagle Number of Grouping Levels	Controls the number of levels to display.
Eagle Report Period Label	Controls the time period label.
Eagle Column Prefix	Controls the column prefix used for columns in the Data Mart. For example, “MTD” for MTD_XXXXX attribution columns.

Data Used by Report

The following table shows data used by the report.

Report Element	Data Mart Table	Data Mart Column	Underlying Field Attribute

Report Element	Data Mart Table	Data Mart Column	Underlying Field Attribute
Average Weight - Account	PERF_AGGBOND_MTD_KRD	MTD_KRD_WEIGHT	eglGag-Mtd-Krd-BaseAvgWtFnd
Average Weight - Benchmark	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_WEIGHT	eglGag-Mtd-Krd-BaseAvgWtIdx
Month to Date Return % - Account	PERF_AGGBOND_MTD_KRD	MTD_KRD_RETURN	eglGag-Mtd-Krd-BaseRtnFnd
Month to Date Return % - Benchmark	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_RETURN	eglGag-Mtd-Krd-BaseRtnIdx
Month to Date Return % - Difference	PERF_AGGBOND_MTD_KRD	MTD_KRD_BM1_RDIFF	eglGag-Mtd-Krd-BaseRtnDiff
Month to Date Attribution Effects % - Duration Matched Yield	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_DMYIELD	eglGag-Mtd-Krd-S-DMYieldEff
Month to Date Attribution Effects % - Roll	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_ROLL	eglGag-Mtd-Krd-Roll
Month to Date Attribution Effects % - Cash	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_CASH	eglGag-Mtd-Krd-S-KRDEff_1
Month to Date Attribution Effects % - 6M	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_6M	eglGag-Mtd-Krd-S-KRDEff_2
Month to Date Attribution Effects % - 2Y	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_2Y	eglGag-Mtd-Krd-S-KRDEff_3
Month to Date Attribution Effects % - 5Y	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_5Y	eglGag-Mtd-Krd-S-KRDEff_4
Month to Date Attribution Effects % - 10Y	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_10Y	eglGag-Mtd-Krd-S-KRDEff_5
Month to Date Attribution Effects % - 20Y	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_20Y	eglGag-Mtd-Krd-S-KRDEff_6
Month to Date Attribution Effects % - 30Y	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_30Y	eglGag-Mtd-Krd-S-KRDEff_7
Month to Date Attribution Effects % - Allocation	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_ALLOC	eglRcaMtd-Krd-S-Allocation
Month to Date Attribution Effects % - Selection	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_SELECT	eglRcaMtd-Krd-S-SelInteract
Month to Date Attribution Effects % - Total	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_TOTAL	eglGag-Mtd-Krd-S-TotalAttrib

The following table shows how totals of the report are determined.

Report Column Total	Data Mart Group Table (Used by Eagle Table Name)	Data Mart Column	Underlying Field Attribute

Report Column Total	Data Mart Group Table (Used by Eagle Table Name)	Data Mart Column	Underlying Field Attribute
Totals for all Columns except Account and Benchmark Total Returns	None	None	Calculated as the sum of the model top level segments for each of the columns
Month to Date Return % - Account	PERF_AGGBOND_MTD_KRD	MTD_KRD_SCNTR	Calculated as the sum of the model top level segment smoothed contributions
Month to Date Return % - Benchmark	PERF_AGGBOND_MTD_KRD	MTD_BM1_KRD_SCNTR	Calculated as the sum of the model top level segment smoothed contributions

Report DLL

The report DLL is named FixedIncomeKeyRate.dll.