Fixed Income · Risk Analytics

Bond Risk Desk

Bonds

Toggle a bond off to exclude it from the comparison, or add up to two more.

Price & risk comparison

Clean price per 100 face · no accrued interest

Bond	Side	Price /100	YTM	Mac. dur.	Mod. dur.	Convexity	Notional	Market value	DV01 (1bp)

Yield curve scenario P&L

Full reprice of every active position — not a DV01-linear estimate

Current YTM Scenario yield

Estimated net P&L —

Curve shape —

Bond	Yield shift	New yield	New price	P&L

DV01 by maturity bucket ($ per 1bp)

Bond

Roll P&L

Curve unchanged · spread to curve held · carry net of repo

UST curve Bond now After roll

Roll forward

months

Default repo rate

Funding is repo on each bond's market value, ACT/360, over the horizon: a cost for a long, income for a short. The default is SOFR, 3.95% on 30 Oct 2026. Fill in Repo % on a bond's card to override it for that bond.

Net roll P&L—

Net carry—

Pull to par—

Roll-down—

UST par yield curve, %

Yields between points are interpolated; beyond 6M and 30Y the curve is held flat.

Bond	Side	Maturity	Yield	Repo	Carry	Funding	Net carry	Pull to par	Roll-down	Total P&L

Risk visualization

Compare duration and DV01 across active bonds

Bond Risk Desk

Bonds

Price & risk comparison

Yield curve scenario P&L

Roll P&L

Risk visualization

Modified duration (years)

DV01 per 1bp (position, $)