Derivatives

For derivatives, as with all instruments, the calculation of total period returns is handled prior to attribution during the performance calculation process. Refer to the Instrument Engineering best practices for derivatives on the Eagle Gateway. Or contact your Relationship Manager for details. When calculated appropriately, derivative returns can be attributed accurately.

If fixed income analytic inputs are provided for the derivatives, the total returns can be further decomposed using the Fixed Income Attribution model. If fixed income analytic inputs are not available for the derivatives, you can provide zero analytic values as data inputs. In this case, the system attributes the derivatives within the currency, cross product, allocation, selection, and interaction effects.