Overview of Fixed Income Attribution Model

Eagle's performance attribution component offers attribution analysis and reporting for both single and multicurrency portfolios based on the Fixed Income Attribution model. The Fixed Income Attribution model provides in-depth analysis and reporting, measuring bond returns and allowing for easy identification of factors that determine bond level performance.

Eagle's Fixed Income Attribution model:

• Separately identifies the risk-free return and the spread return.

• Provides a choice of methodologies. For example, you can present the portfolio's strategy in terms of roll, parallel shift, and curve reshaping. As well as roll and key rate durations.

• Gives you choices regarding the level of detail for benchmark data. For example, you can choose the constituent (security) level or segment level.

• Enables analysis of the ability to provide added value relative to a benchmark.

Fixed Income Attribution analysis is available for the following:

• Single time periods

• Multiple time periods – including Carino and Menchero smoothing for linking effects over more than a single time period

• Monthly and daily frequencies

• Multiple segment levels