Fixed Income Portfolio Analysis
OfficialFreeComprehensive reviews for fixed income portfolios.
Free · Opens the source repo
What Fixed Income Portfolio Analysis does
The Fixed Income Portfolio Analysis skill is designed for financial analysts and portfolio managers who need to evaluate and optimize fixed income investments. This skill integrates multiple tools to price bonds, analyze cashflows, and conduct scenario stress testing, providing a thorough review of fixed income portfolios. By leveraging the capabilities of the MCP tools, users can generate insightful metrics and risk exposures that are essential for informed decision-making.
At the core of this skill is the ability to compute portfolio-level metrics using market-value weighted averages. Users start by pricing all bonds in their portfolio, which allows them to gather essential data such as yield, duration, DV01, and convexity. Once the bonds are priced, the skill enriches this data with reference information, enabling a deeper analysis of the portfolio's composition. This includes breaking down the portfolio by sector, rating, maturity, and currency, which is crucial for understanding risk and performance.
Cashflow projections are another key feature of this skill. By utilizing the cashflow projection tool, users can create a detailed cashflow waterfall that highlights income and principal payments over time. This is particularly useful for assessing reinvestment risks and planning for future cash needs. Additionally, the scenario analysis tool allows users to simulate various interest rate shifts, helping to identify potential impacts on portfolio performance under different market conditions.
Overall, the Fixed Income Portfolio Analysis skill is an invaluable resource for anyone involved in managing fixed income portfolios, providing the necessary tools to enhance analysis, improve risk assessment, and support strategic investment decisions.
When to use it
Use this skill when you need to conduct a comprehensive review of fixed income portfolios, including pricing bonds, analyzing cashflows, and running scenario analyses.
When not to use it
This skill may not be suitable for users focused solely on equity investments or those who require a more generalized financial analysis tool.
What you can build with it
Portfolio Review Preparation
Prepare a detailed review of your fixed income portfolio by aggregating bond-level analytics into comprehensive portfolio metrics.
Scenario Stress Testing
Run various interest rate scenarios to assess potential impacts on your fixed income portfolio's performance.
Cashflow Management
Project cashflows to identify periods of concentration and manage reinvestment risks effectively.
How to install Fixed Income Portfolio Analysis
View source1. Install with the skills CLI
npx skills add anthropics/financial-services/fixed-income-portfolio --agent claude-code2. Or install it manually
Download the skill folder and drop it into ~/.claude/skills/ for all projects, or .claude/skills/ to scope it to one repo. Restart Claude Code so it picks up the new skill.
Anthropic's agentic coding CLI, and the reference implementation of Agent Skills. Drop a skill folder into ~/.claude/skills and Claude Code loads it automatically whenever a task matches the skill's description. Claude Code docs
Inside SKILL.md
Written by anthropicsFixed 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 | ... | ... | ... | ... |
Frequently asked questions about Fixed Income Portfolio Analysis
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