BondRisk

BondRisk

swap risk

BondRisk

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. 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
  • Market prices in BondRisk can be derived from month end accounting reports, Bloomberg, R2Metrics, or other sources at the users discretion. Any prices not provided from external sources will be provided by R2Metrics to ensure all bonds are priced and modeled
  • 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

Contact Us

(205) 991-9415 6930 Cahaba Valley Road, Suite 201 , Birmingham, AL 35242 web@r2metrics.com