1. Fixed Income Portfolio Analytics
With BondEdge
Michael R. Finley
Senior Portfolio Analyst

2. Why Bondedge?
 “Best in Class” Fixed Income Analytics
 Comprehensive security coverage and functionality
 Delivers robust risk/reward analysis
 Assists in developing investment strategies
 Design reports to meet regulatory/compliance
requirements
 Allows CU to focus on higher value added, more
strategic work
 Saves time and resources

3. Extensive Security Coverage
US Municipal Securities
US Money Market Instruments
US Fixed Rate Preferred Stock
TBA Mortgages/Generic Mortgages
Agency/GSE Pass-through MBS
CMOs
CMBS / ABS
 Global High Grade Corporate Bonds
Global Interest Rate Futures
Over 3 Million Bonds

4. Comprehensive Analysis & Reporting
 Fixed Income Portfolio Analysis & Review
 Cash Flow Analysis
 Stress testing and Scenario Analysis
 Pre-Post Purchase “What-If” Analysis
 Bond Swap Analysis
 Credit Reports (Upgrades/ Downgrades)
 Called Bonds Report
 IDC Pricing

5. Portfolio Review Insights:
Portfolio Alerts- Callable

6. Portfolio Alerts-
Watchlist/Upgrades/Downgrades

7. Measuring, Managing and Controlling Risk
 Interest Rates/Yield Curve Risk
– Stress test/Scenario Analysis
 Instantaneous/aged/ Probability weighted
 Parallel Shifts /Non-parallel Shifts
 Spread Duration
 Credit spread changes for sectors, industries,
issuers
 MBS spread changes by underlying
collateral/tranche types

8. Parallel Simulation
(12 Month Instantaneous)

9. Parallel Simulation
(24 Month Aged)

10. Dynamic Asset Cash Flow Testing

11. NCUA: Focused on “Stress” Testing
 Instantaneous and significant changes in the level of interest
rates (instantaneous rate shocks)
 Substantial changes in rates over time (prolonged rate shocks)
 Changes in the slope and the shape of the yield curve (i.e.,
yield curve risk)
 Changes in spread relationships

12. Enhance Investment Decisions!
• Pre-trade/What If Bond Swap Analysis
 Quantify how Portfolio Changes Impact Return BEFORE
trading
 Stand - Alone Basis
 Total Portfolio
 12 month aged simulations +/- 300 bps TROR
 Measures Risk Before and After Swap
 Effective Duration/WAL
 Sector/Credit
 Coupon distributions
• Measure Twice: Cut Once!

13. ABC Credit Union
Objective:
Reduce Exposure to Declining Rates
Enhance Income
Strategy:
Reduce Excess Cash ($6mm)
Buy: 2MM 3Y Agency Bullet
2MM 10 Year MBS
2 MM 5Y Bank Note
Example: CU has excess liquidity- Wants to quantify how bond
purchases would impact portfolio risk profile

14. www.balancesheetsolutions.org
Pre Trade What-If Bond Swap Analysis

15. www.balancesheetsolutions.org
How Does the Swap Look on a Stand-Alone Basis?

16. How Does the Swap Impact Portfolio Structure?

17. www.balancesheetsolutions.org
How Does the Swap Impact Portfolio Performance?

18. Swap Summary
 Income Enhanced
 Yield Enhanced
 Duration Enhanced
 Decreased Exposure to Declining Rates
 Put Excess $$$ to work!

19. BONDEDGE
(Portfolio Analytics)
ALM Z-M
(Asset Liability
Management)
TPG
(Accounting)
Tying it all Together
(Fully Integrated Accounting, FI Analytics and Credit)
Gimme Credit
(Credit Analysis )

20. The BSS Advantage
 Best-in-Class Fixed Income Risk Analytics
 Quantify Interest Rate Risk
 Quantify Credit Risk
 NCUA Compliance (the NCUA uses BondEdge!)
 Enhances Investment Decision
 Pre-trade Bond Swap and What If Analysis
 Access to Dedicated Portfolio Analyst (Me)

21. A Happy Regulator is a Happy Credit Union

22. Thank you!