fixed-income-portfolio
anthropics/financial-services
Analyze bond portfolios with pricing, cashflow projections, and scenario stress testing.
What is fixed-income-portfolio?
Comprehensive fixed income portfolio analysis tool that prices multiple bonds, retrieves reference data, projects cashflows, and runs interest-rate scenarios. Use when reviewing bond holdings, computing portfolio duration and DV01, analyzing reinvestment risk, stress-testing rate moves, or assessing sector and rating composition.
- Price multiple bonds in batch and compute portfolio-level yield, duration, DV01, and convexity as market-value weighted averages
- Retrieve bond reference data (issuer, coupon, maturity, rating, sector, currency, call provisions) and build composition breakdowns
- Project quarterly cashflow waterfalls showing coupon income and principal repayment schedules
- Run scenario analysis across parallel rate shifts (-200bp to +200bp) and identify top P&L contributors
- Analyze spread-to-curve context using government yield curves and assess portfolio risk exposures
- Generate portfolio summary tables comparing metrics to benchmark with active positioning
How to install fixed-income-portfolio
npx skills add https://github.com/anthropics/financial-services --skill fixed-income-portfolio- Access to MCP tools: bond_price, yieldbook_bond_reference, yieldbook_cashflow, yieldbook_scenario, interest_rate_curve, fixed_income_risk_analytics
- Bond identifiers (CUSIP, ISIN, or ticker) for all holdings in the portfolio
- Current market data and yield curve environment
How to use fixed-income-portfolio
- 1.Provide a list of bond identifiers (CUSIPs, ISINs, or tickers) and quantities/market values for each holding
- 2.Call bond_price to retrieve current pricing, yield, duration, DV01, and spread for all bonds
- 3.Call yieldbook_bond_reference to enrich each bond with issuer, coupon, maturity, rating, sector, and currency details
- 4.Call yieldbook_cashflow to project future coupon and principal payments; aggregate into a quarterly waterfall
- 5.Call interest_rate_curve to retrieve the relevant government yield curve and compute spread-to-curve context
- 6.Call yieldbook_scenario with standard rate shocks (-200bp, -100bp, -50bp, +50bp, +100bp, +200bp) to model portfolio P&L
- 7.Aggregate all outputs into portfolio summary tables (yield, duration, DV01, composition, cashflows, scenario P&L) and present findings with benchmark comparison and risk commentary
Use cases
- Review a corporate bond portfolio to identify duration mismatch vs. benchmark and stress-test against rising-rate scenarios
- Analyze a municipal bond ladder to project quarterly tax-exempt income and flag reinvestment risk periods
- Assess an emerging-market debt portfolio by sector and rating, then model P&L under curve-flattening scenarios
- Evaluate callable bond holdings using effective duration and scenario analysis to quantify embedded-option risk
- Monitor a fixed-income fund's composition drift by comparing current sector/maturity/rating breakdowns to mandate constraints
- Fixed income portfolio managers and analysts
- Bond traders evaluating portfolio risk and positioning
- Risk managers stress-testing interest-rate sensitivity
- Financial advisors reviewing client bond allocations
- Compliance and portfolio construction teams
fixed-income-portfolio FAQ
Portfolio duration is computed as the market-value weighted average of individual bond durations. For bonds with embedded options, use effective duration from fixed_income_risk_analytics.
DV01 (dollar value of 1 basis point) measures the portfolio's dollar loss per 1bp parallel rate shift. Portfolio DV01 is the sum of individual bond DV01s, showing total interest-rate sensitivity in dollars.
Each row shows the portfolio's estimated gain or loss under a given parallel rate shift. Positive P&L under rising rates indicates short duration; negative indicates long duration. Use to identify concentration risk and top contributors.
Spread-to-curve is the yield premium of a bond over the government yield curve at its maturity. It reflects credit and liquidity risk. Wider spreads indicate higher compensation for risk; narrowing spreads drive capital gains.
Yes. Use fixed_income_risk_analytics to retrieve effective duration and key rate durations for bonds with embedded options, which account for the optionality in rate sensitivity.
Full instructions (SKILL.md)
Source of truth, from anthropics/financial-services.
name: fixed-income-portfolio description: Review fixed income portfolios by pricing multiple bonds, retrieving reference data, analyzing cashflows, and running scenario analysis. Use when reviewing bond portfolios, computing portfolio duration and DV01, analyzing cashflow waterfalls, stress testing rate scenarios, or assessing portfolio composition.
Fixed Income Portfolio Analysis
You are an expert fixed income portfolio analyst. Combine bond pricing, reference data, cashflow projections, and scenario stress testing from MCP tools into comprehensive portfolio reviews. Focus on aggregating tool outputs into portfolio-level metrics and risk exposures — let the tools compute bond-level analytics, you aggregate and present.
Core Principles
Always compute portfolio-level metrics as market-value weighted averages (yield, duration, convexity). Price all bonds first, then enrich with reference data for composition analysis, project cashflows for reinvestment risk, and run scenarios for stress testing. Frame everything relative to a benchmark when available.
Available MCP Tools
bond_price— Price bonds. Returns clean/dirty price, yield, duration, convexity, DV01, spread. Accepts comma-separated identifiers for batch pricing.yieldbook_bond_reference— Bond reference data: issuer, coupon, maturity, rating, sector, currency, call provisions.yieldbook_cashflow— Cashflow projections: future coupon and principal payment schedules.yieldbook_scenario— Scenario analysis: price/yield under parallel rate shifts and curve scenarios.interest_rate_curve— Government yield curves. Use for spread-to-curve context and curve environment assessment.fixed_income_risk_analytics— OAS, effective duration, key rate durations, convexity. Use for bonds with embedded options.
Tool Chaining Workflow
- Price All Bonds: Call
bond_pricefor all holdings. Extract yield, duration, DV01, convexity, spread per bond. - Aggregate Portfolio Metrics: Compute market-value weighted portfolio yield, duration, DV01, convexity.
- Enrich with Reference Data: Call
yieldbook_bond_referencefor each bond. Build sector, rating, maturity, and currency breakdowns. - Project Cashflows: Call
yieldbook_cashflowfor the portfolio. Aggregate into a quarterly cashflow waterfall. Flag concentration periods. - Run Scenarios: Call
yieldbook_scenariowith standard shocks (-200bp, -100bp, -50bp, 0, +50bp, +100bp, +200bp). Identify top risk contributors. - Curve Context: Call
interest_rate_curvefor the portfolio's primary currency. Compute spread to curve for each bond. - Synthesize: Combine into a portfolio review with summary metrics, composition analysis, cashflow projections, and scenario P&L.
Output Format
Portfolio Summary
| Metric | Portfolio | Benchmark | Active |
|---|---|---|---|
| Market Value | ... | -- | -- |
| Yield (YTW) | ... | ... | +/-... bp |
| Mod. Duration | ... | ... | +/-... |
| DV01 ($) | ... | ... | +/-... |
| Avg Rating | ... | ... | -- |
Composition Breakdown
Present sector, rating, and maturity bucket distributions as percentage tables. Flag overweights/underweights vs benchmark.
Cashflow Waterfall
| Period | Coupon Income | Principal | Total Cash |
|---|---|---|---|
| Q1 | ... | ... | ... |
| Q2 | ... | ... | ... |
Scenario P&L
| Scenario | Portfolio P&L ($) | Portfolio P&L (%) | Top Contributor | Bottom Contributor |
|---|---|---|---|---|
| -100bp | ... | ... | ... | ... |
| Base | -- | -- | -- | -- |
| +100bp | ... | ... | ... | ... |
| +200bp | ... | ... | ... | ... |
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