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What is Fixed Income Portfolio Review?

A fixed income portfolio is a collection of bonds — government securities, corporate bonds, mortgage-backed securities, and other debt instruments — managed together to achieve specific objectives (income generation, capital preservation, liability matching, or total return). Portfolio review involves pricing all holdings, computing aggregate risk metrics, projecting future cash flows, and stress-testing the portfolio under different interest rate scenarios. Unlike equity portfolios where performance is primarily driven by stock selection, fixed income portfolios are dominated by duration (sensitivity to interest rate changes) and credit quality. A portfolio review must assess both: how much will the portfolio gain or lose if rates move, and is the portfolio taking appropriate credit risk for its yield pickup?

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Command

/review-fi-portfolio <ISIN1,ISIN2,...> [scenario e.g. +100bp]
Produces a consolidated risk and return report by pricing all holdings, enriching with reference data, projecting cashflows, and stress testing.

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Workflow

1

Price All Bonds

Calls bond_price for all identifiers. Computes portfolio-level weighted yield, duration, and DV01.
2

Enrich with Reference Data

Calls yieldbook_bond_reference for each bond to build composition breakdowns by sector, rating, and maturity.
3

Project Cashflows

Calls yieldbook_cashflow for each bond. Aggregates into quarterly cashflow waterfall.
4

Run Scenarios

Calls yieldbook_scenario with rate shifts (-200bp to +200bp). Identifies top risk contributors.
5

Curve Context

Calls interest_rate_curve to compute spread-to-curve for each bond.
6

Synthesize

Presents portfolio summary metrics, composition breakdowns, cashflow waterfall, and scenario P&L.

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Output

Lead with portfolio summary metrics (yield, duration, DV01). Follow with composition, cashflows, and risk analysis. See the Fixed Income Portfolio skill for domain knowledge on portfolio analytics and scenario analysis.