Yield Book Classic

Yield Book provides government yield and swap curves for Euro participating and non-participating countries. For US dollar securities, users have the choice of using an interpolated on-the-run curve or a proprietary off-the-run fitted yield curve, called the treasury model curve. This curve, pictured in yellow in the graph, provides relative value analysis for treasury securities. The OAS to the treasury model curve indicates a bond's relative value. When doing pricing calculations, users can select whether their spread output is computed relative to a government, a swap, or a corporate credit curve.

Generate issue specific and portfolio scenario dependent cashflows. Compare the cashflows to scenario dependent liabilities or to the cashflows of a benchmark portfolio. The scenarios can be parallel shifts, reshapings, multiple yield curve shocks, and currency exchange rate projections. Yield Book utilises its financial models (term structure model, mortgage prepayment model, corporate option model, etc.) to project each security's cashflow for each interest rate scenario. The sample graph displays the projected cashflows of XYZCO portfolio for a "bearish steepening" scenario.

In addition to the dozens of pre-defined reports, users can create their own customised report templates. The columns can be any combination of hundreds of Yield Book keywords, user defined keywords, or user defined functions. The rows can be individual securities or sectors averages.

Yield Book incorporates a powerful yet user friendly optimiser for calculating optimised trade weightings and structured portfolios (index tracking portfolios, cash matched portfolios, etc.). The objective and constraints can be defined using any of hundreds of security measures including scenario returns, cash flows, yield measures, risk measures, etc.). In addition, upper and/or lower bounds can be defined on the issue, issuer, or sector level. The sample page shows the result of a projected optimisation to maximise the returns of XYZPORT relative to the BIGINDEX across seven reshaping scenarios.

Calculate projected issue specific and portfolio scenario rates of return (ROR). Compare the portfolio's scenario RORs to the RORs of the benchmark. The scenarios can be parallel shifts, reshapings, multiple yield curve shocks, and currency exchange rate projections. Yield Book utilises its financial models (term structure model, mortgage prepayment model, corporate option model, etc.) to project each security's cashflow for each interest rate scenario. The sample graph displays the RORs of XYZCO portfolio to the RORs of the BIGINDEX across seven reshaping scenarios.

Get a better understanding of the sources of return for individual securities, trades, and portfolios (including dynamic portfolios). Yield Book dissects total returns into treasury components (returns due to the yield curve; rolling yield, parallel shift, and reshaping) and spread advantage (returns in excess of the yield curve; spread, spread change, convexity advantage, reshaping advantage, volatility change, current coupon spread change, prepayment dif, etc). By comparing the portfolio's return components and sector weightings to a benchmark, Yield Book measures the issue selection and sector weighting effects.

Yield Book tracking error module conducts tracking error and risk decomposition analysis at the security, trade, portfolio, and portfolio versus benchmark level. The model employs a principal component approach to capture historical risk factor changes for 800+ global risk factors and a simulation-based methodology to project changes for these risk factors. The sample page on the right shows total ex-default return distributions for a portfolio versus benchmark analysis; distributions are shown at the portfolio, benchmark, and portfolio versus benchmark level.

Automate Yield Book operations including portfolio uploads, pricing, scenario analysis, return attribution, report generation and downloads. Batch jobs can be set to run overnight on a daily, weekly, or monthly frequency, so that results are waiting for you the next day.

In addition to the dozens of pre-defined reports, users can create their own customised report templates. The columns can be any combination of hundreds of Yield Book keywords, user defined keywords, or user defined functions. The rows can be individual securities or sectors averages.