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Fixed Income Portfolio Review (LSEG)

Review fixed income portfolios by pricing multiple bonds, analyzing cashflow waterfalls, running scenario stress tests, and computing portfolio-level duration, DV01, and composition breakdowns.

5 minutes
By anthropic
#LSEG#trading#portfolio-management#fixed-income#risk-analysis#scenario-analysis#bonds

Reviewing a fixed income portfolio means pricing every bond, computing weighted-average metrics, projecting cashflows, and stress testing across rate scenarios — a process that takes hours manually and risks aggregation errors at every step.

Who it's for: portfolio managers, fixed income traders, risk managers, investment analysts

Example

"Review my bond portfolio: [list of ISINs with notionals]" → Portfolio-level yield, duration, DV01, sector/rating/maturity breakdowns, quarterly cashflow waterfall, and scenario P&L from -200bp to +200bp with top risk contributors identified

CLAUDE.md Template

New here? 3-minute setup guide → | Already set up? Copy the template below.

# 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
| 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 | ... | ... | ... | ... |
README.md

What This Does

Chains LSEG MCP tools to deliver a complete fixed income portfolio review. It prices all holdings in batch, computes market-value weighted portfolio metrics (yield, duration, DV01, convexity), enriches with reference data for composition analysis (sector, rating, maturity, currency breakdowns), projects cashflows into a quarterly waterfall, and runs scenario stress tests across standard rate shocks.

The output frames everything relative to a benchmark when available, making it immediately useful for portfolio positioning decisions.

Quick Start

Step 1: Create a Project Folder

mkdir -p ~/fi-portfolio-review
cd ~/fi-portfolio-review

Step 2: Download the Template

Click Download above, then move the file into your project folder as CLAUDE.md.

Step 3: Start Working

Launch Claude Code and try these prompts:

Review this bond portfolio: US91282CJL54 ($5M), US912810TV08 ($3M), US91282CHV72 ($2M)

Show me the cashflow waterfall for my portfolio over the next 4 quarters

Stress test my portfolio with rate shocks from -200bp to +200bp and identify the top risk contributors

Analysis Pipeline

The review follows a seven-step workflow:

  1. Price All Bonds — Batch pricing via bond_price for yield, duration, DV01, spread per bond
  2. Aggregate Metrics — Market-value weighted portfolio yield, duration, DV01, convexity
  3. Reference Data — yieldbook_bond_reference for sector, rating, maturity, currency breakdowns
  4. Cashflow Projections — yieldbook_cashflow aggregated into a quarterly waterfall
  5. Scenario Stress Test — yieldbook_scenario with -200bp to +200bp shocks
  6. Curve Context — interest_rate_curve for spread-to-curve analysis
  7. Synthesis — Complete review with composition, cashflows, and scenario P&L

Available MCP Tools

  • bond_price — Batch bond pricing with comma-separated identifiers
  • yieldbook_bond_reference — Issuer, coupon, maturity, rating, sector, call provisions
  • yieldbook_cashflow — Future coupon and principal payment schedules
  • yieldbook_scenario — Price/yield under parallel rate shifts
  • fixed_income_risk_analytics — OAS, effective duration, key rate durations for optionable bonds

Tips for Best Results

  • Provide ISINs with notional amounts for accurate market-value weighting
  • Use comma-separated identifiers in bond_price for efficient batch pricing
  • The scenario P&L table with top/bottom contributors is the most actionable output for risk management
  • Flag cashflow concentration periods — quarters with large principal returns need reinvestment planning
  • For portfolios with callable bonds, request fixed_income_risk_analytics for OAS-based duration instead of modified duration

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