Bond Risk

BondRisk is a comprehensive fixed income portfolio analytics tool for portfolio managers, securities dealers, and related entities. It provides in-depth interest rate risk and reward measurements, and includes an interactive spreadsheet with pre-written formulas which allows a portfolio manager, analyst, or securities dealer to model prospective bond transactions quickly and efficiently. It is highly suitable for updating overall portfolio strategy and/or specific trade ideas based on current market rates and relative value. BondRisk is used as a complete diagnostic tool, which illuminates important risk variables. Our portfolio calculations are used by over 500 banks on a monthly basis. 

BondRisk provides interest rate risk analysis for a fixed-income securites portfolio and highlights key measurements that are important to managing that risk.  The three main risks measured are Price Risk, Yield Risk, and Principal Cash Flow Risk. These risk variables, which are inter-related, will ultimately determine the yield performance over time of a portfolio of securities. Price Risk is best measured by either effective duration and convexity, or by two modified duration numbers (one each for up and down rate scenarios), which provides a complete assessment of the price risk of a bond portfolio should interest rates change. Yield Risk is highlighted by calculating the portfolio yield forecast over time and measuring how quickly or slowly the portfolio yields will adjust as interest rates shift.  Principal Cash Flow Risk is highlighted by showing the amount and volatility of future principal cash flows as interest rates shift, and whether Call Risk and/or Extension Risk is present in the portfolio.

 

Features

  • Multi Rate Scenario Book & Market Yield Forecasts
  • Multi Rate Scenario Roll Off Yields
  • Internal Rate of Return Calculations
  • Average Maturities & Workout Dates
  • Modified Durations
  • Effective Durations & Convexities
  • Principal Cashflows
  • Portfolio Positioning vs. Neutral Risk Partners
  • Detailed Sector Breakdowns