BondRisk

BondRisk is a comprehensive fixed income portfolio risk/return analytics tool for portfolio managers, securities dealers, and related entities. It provides in-depth interest rate risk (IRR) measures through the use of an interactive spreadsheet with pre-written formulas allowing a portfolio manager, analyst, or bond salesperson 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. It is used by many as a complete diagnostic tool which illuminates important risk variables.

Features:

• Models:
  • Multi rate scenario book and market yield forecasts
  • Multi rate scenario roll off yields
  • Internal rate of return calculations
  • Average maturities and workout dates
  • Modified durations
  • Effective durations and convexities
  • Principal cashflows
  • Portfolio positioning vs. neutral risk parameters
  • Detailed sector breakdowns
  • Real time market pricing
• Utilizes 7 basic interest rate scenarios and allows for customized and forward rate scenarios
• On average, models 98%-100% of portfolio securities and allows users to manually model any securities lacking descriptive data
• BondRisk calculates its own market prices, effective durations, and convexities for all sectors to insure that all securities are priced and modeled effectively
• Users also have pricing option of Bloomberg values or end of month bond accounting
• Estimates of call dates and yields under all interest rate scenarios for callable and "step up" agency bonds
• Most portfolios take less than 10 minutes to complete
• Total return analysis provided separately