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Northern Trust Enhances Performance Reporting For Fixed Income Portfolios

Northern Trust has enhanced its performance attribution tools with the implementation of daily security-level detail for fixed income within its Investment Risk and Analytical Services (IRAS) product suite for investment managers and institutional investors.

The “Successive Pricing” model provides a sophisticated fixed income analysis tool leveraging Northern Trust’s performance data, fully integrated with the IRAS Fundamentals ad hoc analysis application, for clients seeking to better understand the sources of return in their investment portfolios. By analyzing the relationship of a security to market factors such as interest rate and foreign exchange changes, the model precisely accounts for performance on a variety of fixed income instruments including bank loans, swaps, options, ETDs/OTCs, repos, and futures.

“Our new daily security-level attribution model allows Northern Trust to deliver a more granular breakdown of returns generated within fixed income portfolios,” said James Haran, Ph.D., Senior Product Manager for IRAS at Northern Trust. “While we have been able to provide fixed income attribution for many years, this model enhances our ability to highlight individual market factors such as curve, carry, yield, duration, and maturity and the resulting impact on client portfolios.”

The Successive Pricing model analyzes the securities within a portfolio and benchmark to determine the pricing impact resulting from changes in underlying markets, and is integrated with other performance and risk reporting, so that clients can see absolute and relative returns along with risk metrics on their portfolios.

Northern Trust has provided risk and performance services to institutional asset servicing clients for more than 30 years. Capabilities delivered through the IRAS group include risk monitoring, performance evaluation and compliance services. Northern Trust provides custody, fund administration, and investment operations outsourcing solutions to investment managers and institutional clients, including insurance companies, worldwide and across the spectrum of asset classes.

About Northern Trust

Northern Trust Corporation (Nasdaq: NTRS) is a leading provider of investment management, asset and fund administration, banking solutions and fiduciary services for corporations, institutions and affluent individuals worldwide. Northern Trust, a financial holding company based in Chicago, has offices in 18 U.S. states and 17 international locations in North America, Europe, the Middle East and the Asia-Pacific region. As of March 31, 2013, Northern Trust had assets under custody of US$5 trillion, and assets under investment management of US$810.2 billion. For more than 120 years, Northern Trust has earned distinction as an industry leader in combining exceptional service and expertise with innovative products and technology. For more information, visit www.northerntrust.com or follow us on Twitter @NorthernTrust.

Northern Trust Corporation, Head Office: 50 South La Salle Street, Chicago, Illinois 60603 U.S.A., incorporated with limited liability in the U.S. Global legal and regulatory information can be found at http://www.northerntrust.com/disclosures



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