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Fixed Income Portfolio

AnthropicOfficialCreated by LSEGDistributed by Anthropic

  • Skill
  • Research and analysis
  • Business and productivity
  • Apache-2.0
  • No issues found
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From the author

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.
— the description by LSEG

AutoGineer summary

Written by AutoGineer from the skill’s own files, not by the author

This skill enables an AI agent to function as a professional fixed income portfolio analyst. It provides a structured workflow for aggregating bond-level data into comprehensive portfolio-level insights. By leveraging specific financial tools, the agent calculates weighted metrics, performs cashflow projections, and executes scenario-based stress tests to evaluate portfolio risk and composition.

What it does

  • Calculates market-value weighted portfolio metrics including yield, duration, and convexity.
  • Performs batch pricing and risk analytics for multiple bond holdings.
  • Generates detailed cashflow waterfalls to identify payment schedules and concentration risks.
  • Executes parallel rate shift scenarios to assess portfolio sensitivity and P&L impact.
  • Provides composition breakdowns by sector, rating, and maturity buckets.
  • Synthesizes complex financial data into standardized summary reports and tables.

When to use it

  • When conducting periodic reviews of fixed income portfolio performance and risk exposure.
  • When evaluating the impact of interest rate fluctuations on a bond portfolio.
  • When analyzing the maturity profile and cashflow liquidity of fixed income holdings.
  • When comparing portfolio composition and risk metrics against a specific benchmark.

Advantages

  • Standardizes the analytical process for complex fixed income portfolios.
  • Automates the aggregation of bond-level metrics into actionable portfolio insights.
  • Enables rapid stress testing across multiple interest rate scenarios.
  • Facilitates clear communication of risk through structured reporting formats.

Usage examples

“Analyze my current bond portfolio and provide a summary of its duration and DV01.”
The agent will price all holdings, calculate the market-value weighted duration and DV01, and present a summary table comparing the portfolio to the benchmark.
“Run a stress test on my portfolio for a +100bp and -100bp rate shift.”
The agent will execute the scenario analysis tool, calculate the resulting P&L for each shift, and identify the top and bottom contributors to the portfolio's performance.

Install

  1. Download the skill as a ZIP:

    https://mp-staging.autogineer.com/agent-skills/anthropics/fixed-income-portfolio/download

  2. Unzip it into the cross-client skills folder of your project:

    mkdir -p .agents/skills && unzip fixed-income-portfolio.zip -d .agents/skills

Documentation by LSEG

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

  1. Price All Bonds: Call bond_price for all holdings. Extract yield, duration, DV01, convexity, spread per bond.

  2. Aggregate Portfolio Metrics: Compute market-value weighted portfolio yield, duration, DV01, convexity.

  3. Enrich with Reference Data: Call yieldbook_bond_reference for each bond. Build sector, rating, maturity, and currency breakdowns.

  4. Project Cashflows: Call yieldbook_cashflow for the portfolio. Aggregate into a quarterly cashflow waterfall. Flag concentration periods.

  5. Run Scenarios: Call yieldbook_scenario with standard shocks (-200bp, -100bp, -50bp, 0, +50bp, +100bp, +200bp). Identify top risk contributors.

  6. Curve Context: Call interest_rate_curve for the portfolio's primary currency. Compute spread to curve for each bond.

  7. Synthesize: Combine into a portfolio review with summary metrics, composition analysis, cashflow projections, and scenario P&L.

Output Format

Portfolio Summary
MetricPortfolioBenchmarkActive
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
PeriodCoupon IncomePrincipalTotal Cash
Q1.........
Q2.........
Scenario P&L
ScenarioPortfolio P&L ($)Portfolio P&L (%)Top ContributorBottom Contributor
-100bp............
Base--------
+100bp............
+200bp............

Files

Requirements and compatibility

Written for: Claude Code, Claude apps

Works with: Claude Code, Claude apps, OpenAI Codex, GitHub Copilot, Cursor, Gemini CLI, Kiro, OpenCode, Goose, Amp, Roo Code, JetBrains Junie, Factory Droid, Devin (ex-Windsurf), Mistral Vibe, OpenHands, Letta

“Works with” means the tool reads the open Agent Skills format; a skill written for one tool may use features others lack.

Security

No issues found by our static scan· No issues found

A static scan is not a guarantee. Skills are third-party content: review a skill before you let an agent use it.

Attribution and licence

Created by
LSEG
Publisher
Anthropic (Official)
Distributed by
Anthropic
Source
anthropics/financial-services · plugins/partner-built/lseg/skills/fixed-income-portfolio · commit 6056506
Licence
Apache License 2.0 (redistribution allowed)
  • LICENSE (added by AutoGineer from LICENSE)
  • ATTRIBUTION.md (written by AutoGineer)
Synced

AutoGineer is not affiliated with or endorsed by LSEG or Anthropic.

Download ZIP

The ZIP holds the skill’s files, its licence files and an ATTRIBUTION.md. Download fixed-income-portfolio.zip