swap risk

SwapRisk is a robust and highly customizable bond swap model which projects expected portfolio book yields and income generated by one portfolio of prospective sell side bonds to another portfolio of prospective buy side bonds under 9 shocked interest rate scenarios plus forward rate capabilities. The analytical tool will handle up to 100 securities on the buy and sell side (200 total). SwapRisk has additional capabilities which allow the user to optimize the sale bond and buy bond subsets based on months to break even, or maximum benefit for a selected time horizon under any or all selected rate scenarios.


  • Allows for 7 different interest rate scenarios & customization time horizons out to 10 years to determine comparative profitability.

  • Adjusts future book yields for changing reinvestment rates, changing principal cash-flows, changes in coupon on arms, step ups, & other floating rate securities, as well as changes in amortization income & accretion expense.

  • Forecasts principal cash-flows for each portfolio under 7 scenarios over 10 years.

  • Estimates break even months for all bonds & under all rate scenarios.

  • Works in a highly efficient manner with BondRisk so as to streamline what is often a very time consuming trial & error processs.

  • Proven an effective tool for providing comprehensive investment analysis to clients & increasing dealer revenue.