Our specialists review portfolio fundamental characteristics and risk analytics, including sector distribution, ratings, call features, fixed versus floating rates, effective duration, convexity, book and market values, and unrealized gains/losses. We analyze book yield runoff to anticipate changes to book income from the bond portfolio, and prospective bond swaps and overall portfolio strategy “what-ifs” scenarios.
The reporting created incorporates unique characteristics of municipal bonds into interest rate risk analysis, such as “discount taxing” and its effect on municipal bond price movement for any given interest rate change. It also projects future portfolio cash flows in varying future interest rate scenarios. This makes it easier to communicate key information to senior management and/or the Board of Directors with easy-to-read summary data, charts, and graphs.