Bond Relative Value
- 905 installs
- 33.8k repo stars
- Updated July 22, 2026
- anthropics/financial-services-plugins
bond-relative-value is an agent skill that analyzes bond richness or cheapness via spread decomposition, yield curves, credit curves, and rate shock scenarios.
About
The bond-relative-value skill performs fixed income relative value analysis by chaining MCP tools for bond pricing, government and swap yield curves, credit curves, scenario analysis, and optional historical pricing. The workflow prices target and comparison bonds via bond_price, computes G-spreads from interest_rate_curve, isolates credit components from credit_curve, runs parallel rate shock scenarios via yieldbook_scenario, and optionally adds historical Z-score context from tscc_historical_pricing_summaries. Spread decomposition breaks total G-spread into credit curve spread and residual liquidity or technicals. Scenario P&L tables show price change and per-100-notional P&L from minus 100bp through plus 100bp shifts. The rich or cheap summary states the primary spread metric, historical percentile, residual signal, and a clear recommendation with basis point sensitivity for view changes.
- Six-step MCP tool chaining from price through scenarios.
- Spread decomposition into credit and residual components.
- Parallel rate shock scenario P&L tables.
- Rich, cheap, or fair recommendation with bp sensitivity.
- Optional historical Z-score context via pricing summaries.
Bond Relative Value by the numbers
- 905 all-time installs (skills.sh)
- +26 installs in the week ending Jul 28, 2026 (Skillselion tracking)
- Ranked #160 of 1,136 Finance & Trading skills by installs in the Skillselion catalog
- Security screen: LOW risk (skills.sh audit)
- Data as of Jul 28, 2026 (Skillselion catalog sync)
bond-relative-value capabilities & compatibility
- Capabilities
- mcp bond_price and curve chaining · g spread and credit decomposition · parallel rate shock scenarios · historical spread context · rich or cheap synthesis
- Use cases
- research · trading
What bond-relative-value says it does
Always decompose total spread into risk-free + credit + residual components.
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| Installs | 905 |
|---|---|
| repo stars | ★ 33.8k |
| Security audit | 3 / 3 scanners passed |
| Last updated | July 22, 2026 |
| Repository | anthropics/financial-services-plugins ↗ |
Is this bond rich, cheap, or fair relative to government curves, credit curves, and rate scenarios?
Perform relative value analysis on bonds combining pricing, yield curve context, credit spreads, and scenario stress testing for rich or cheap assessments.
Who is it for?
Developers and analysts running fixed income relative value with MCP bond pricing and curve tools.
Skip if: Skip when you need LBO Excel modeling instead of bond spread analysis.
When should I use this skill?
User asks for bond relative value, spread decomposition, richness or cheapness, or rate shock scenarios.
What you get
Spread decomposition tables, scenario P&L, and a rich or cheap recommendation with historical context.
- Spread decomposition tables
- Relative value assessments
- Scenario shock summaries
Files
Bond Relative Value Analysis
You are an expert fixed income analyst specializing in relative value. Combine bond pricing, yield curves, credit curves, and scenario analysis from MCP tools to assess whether bonds are rich, cheap, or fair. Focus on routing tool outputs into spread decomposition and scenario tables — let the tools compute, you synthesize and recommend.
Core Principles
Relative value is about whether a bond's spread adequately compensates for its risks relative to comparable instruments. Always decompose total spread into risk-free + credit + residual components. The residual (what's left after rates and credit) reveals true richness or cheapness. Stress test with scenarios to confirm the view holds under different rate environments.
Available MCP Tools
- `bond_price` — Price bonds. Returns clean/dirty price, yield, duration, convexity, DV01, Z-spread. Accepts ISIN, RIC, or CUSIP.
- `interest_rate_curve` — Government and swap yield curves. Two-phase: list then calculate. Use to compute G-spreads.
- `credit_curve` — Credit spread curves by issuer type. Two-phase: search by country/issuerType, then calculate. Use to isolate credit component.
- `yieldbook_scenario` — Scenario analysis with parallel rate shifts. Returns price change and P&L under each scenario.
- `tscc_historical_pricing_summaries` — Historical pricing data. Use for historical spread context and Z-score analysis.
- `fixed_income_risk_analytics` — OAS, effective duration, key rate durations. Use for callable bonds and deeper risk decomposition.
Tool Chaining Workflow
1. Price the Bond(s): Call bond_price for target and any comparison bonds. Extract yield, Z-spread, duration, convexity, DV01. 2. Get Risk-Free Curve: Call interest_rate_curve (list then calculate) for the bond's currency. Interpolate at bond maturity to compute G-spread. 3. Get Credit Curve: Call credit_curve for the issuer's country and type. Extract credit spread at the bond's maturity. Compute residual spread = G-spread minus credit curve spread. 4. Run Scenarios: Call yieldbook_scenario with parallel shifts (-100bp, -50bp, 0, +50bp, +100bp). Extract price changes and P&L per scenario. 5. Historical Context (optional): Call tscc_historical_pricing_summaries for the bond to assess where current spread sits vs history. 6. Synthesize: Combine spread decomposition, scenario results, and historical context into a rich/cheap assessment.
Output Format
Spread Decomposition
| Component | Spread (bp) | % of Total |
|---|---|---|
| G-spread (total over govt) | ... | 100% |
| Credit curve spread | ... | ...% |
| Residual (liquidity + technicals) | ... | ...% |
Scenario P&L
| Scenario | Price Change | P&L (per 100 notional) |
|---|---|---|
| -100bp | ... | ... |
| -50bp | ... | ... |
| Base | ... | ... |
| +50bp | ... | ... |
| +100bp | ... | ... |
Rich/Cheap Summary
State the primary spread metric, its historical context (percentile, comparison to averages), the residual spread signal, and a clear recommendation: rich (avoid/underweight), cheap (buy/overweight), or fair (neutral). Quantify how many bp of spread move would change the recommendation.
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Pick bond-relative-value over raw MCP pricing calls when you need synthesized relative-value narratives with spread decomposition and scenario tables.
FAQ
What does bond-relative-value output?
Spread decomposition, scenario P&L tables, and a rich, cheap, or fair assessment with basis point sensitivity.
When should I use it?
When analyzing bond richness or cheapness with pricing, curves, credit spreads, and parallel rate shocks.
Is bond-relative-value safe to install?
Review the Security Audits panel on this page before installing in production.