SKILL.md
Review Fixed Income Portfolio
This command uses LSEG bond pricing, YieldBook analytics, and yield curve tools. See [CONNECTORS.md](../CONNECTORS.md) for available tools.
Produce a consolidated fixed income portfolio risk and return report by pricing all holdings, enriching with reference data, projecting cashflows, and stress testing under rate scenarios.
See the fixed-income-portfolio skill for domain knowledge on portfolio analytics and scenario analysis.
Workflow
1. Gather Portfolio Holdings
Ask the user for:
- Bond identifiers (required) — comma-separated ISINs, CUSIPs, or RICs
- Position sizes/weights (optional — if not provided, assume equal weight)
- Specific scenario to test (optional — e.g., "+100bp", defaults to standard grid)
- Valuation date (optional, defaults to today)
2. Price All Bonds
Call bond_price with all identifiers.
Extract per bond: clean/dirty price, yield, duration, convexity, DV01, currency.
Aggregate portfolio-level: weighted yield, weighted duration, total DV01, total market value.
3. Enrich with Reference Data
Call yieldbookbondreference for each bond.
Extract: security type, sector, ratings, coupon type, call features, issuer, country.
Build composition breakdowns: by sector, rating, maturity bucket, currency.
4. Project Cashflows
Call yieldbook_cashflow for each bond.
Aggregate into quarterly cashflow waterfall. Flag periods with concentrated maturities.
5. Run Scenario Analysis
Call yieldbook_scenario with rate shifts: -200bp, -100bp, -50bp, 0bp, +50bp, +100bp, +200bp.
Identify which bonds contribute most to upside and downside risk.
6. Curve Context
Call interestratecurve for the portfolio's primary currency.
Compute spread to curve for each bond. Assess curve environment.
7. Synthesize the Report
Present: portfolio summary metrics, composition breakdowns, cashflow waterfall, scenario P&L table with risk contributors, and curve exposure.
Output Format
Lead with the portfolio summary metrics, then detail composition, cashflows, and risk analysis in sections.