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The Yield Book

Premier Fixed Income Analytics System

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* Only available to institutional entities

Market Tested Models

Use our sophisticated models for trade and portfolio applications. Term Structure Models, Mortgage and Asset-Backed Prepayment Models, and Default and Loss Severity Models serve as the backbone for analyzing Option-Adjusted Spread, Effective Duration, Convexity, and a wide range of other value and risk measures. Models are calibrated across a variety of security types.

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Organize your bond and trade lists into folders for quick retrieval to generate analytics.

Portfolio Analysis

  • Pricing of Portfolios (Including Matrix Pricing)
  • Portfolio Sector Breakdowns
  • Risk Analysis (Partial Durations and Other Durations)
  • Scenario Analysis Portfolios and/or Indexes
  • Principal Component Analysis
  • Book Reporting
  • Comparison of Portfolio Cash Flows to Liabilities
  • Portfolio Optimization
  • Calculation of Historical Returns and Performance Attribution on Dynamic Portfolio
  • Adjusting Portfolio Duration with Derivatives
  • Consolidating Individual Manager Portfolios into an Overall Composite Portfolio

Analysis on Indexes

  • Creation and Analysis of Customized Indexes
  • Comparison of Portfolios to Benchmark
  • Correlations of Historical returns for Various Fixed Income Asset Classes
  • Historical Index Returns and Profile Measures

Trades Analysis

  • Individual Security Price-Yield and Option Adjusted Calculations
  • Using Market Closes or Live Feeds
  • Risk Analysis (Partial Durations and Other Durations)
  • Scenario Analysis on Individual Securities and Trades
  • Principal Component Analysis
  • Historical Data Retrieval
  • Butterfly Trade Analysis
  • Bond Swaps and Breakeven Analysis

Trades Analysis

  • Easy Package Reporting Including Graphs and Charts
  • Flexible Customized Reporting on Portfolios
  • Automated Downloads of Analytical Measures on Portfolios to Integrate with Our Clients' Systems

Research Library

  • Daily Market Color
  • Published Research

Used by broker-dealers, institutional investors, government agencies, consultants and educational institutions.

  • Models calculate consistent risk and return measures for all security types
  • Sophisticated architecture allows users to quickly execute computationally intensive calculations
  • Flexible settings enable users to prepare customized analyses
  1. Yield Curve Models

  1. Prepayment Models

  1. Term Structure of Volatility Models

  1. Futures Delivery Option Model

Yield Curve Models

  • Treasury Model Curve
  • LIBOR Swap Curve
  • Corporate Credit Curves
  • Government (Global) Curves
  • Swap (Major Currencies) Curves
  • On-the-run
  • Fitted Live and Historical
Prepayment Models

  • Mortgage Prepay Model
  • ABS Issuer Specific Prepayment
  • Models
  • Japanese GHLC Model
  • Dutch Model
  • CMBS Default Model
Term Structure of Volatility Models

  • Market Volatilities
  • Historical Volatility
Futures Delivery Option Model
The Yield Book provides government yield and swap curves for Euro participating and non-participating countries. For US dollar securities, users have the choice of using an interpolated on-the-run curve or a proprietary off-the-run fitted yield curve, called the Treasury Model Curve. This curve, pictured in white in the graph, provides relative value analysis for treasury securities. The OAS to the Treasury Model curve indicates a bond's richness or cheapness. When doing pricing calculations, users can select whether their spread output is computed relative to a government, a swap, or a corporate credit curve.
Prepayment projections are key to the analysis and evaluation of all mortgage backed securities. The Citi Mortgage Prepayment Model incorporation in The Yield Book allows users the choice of running the model "as is" or customizing the model by modifying various "dials" for prepayment factors, including the effect of housing turnover or refinancing. The sample page illustrates the effect of modifying the Refinancing Threshold on prepayments.
The Yield Books interest rate models are calibrated using a term structure of volatility. This allows a more accurate evaluation of securities with embedded options (e.g. calls, puts, sinking funds, caps, floors, prepayments, etc.). The sample page below shows The Yield Book's Curve Analysis page, which allows users to display and analyze current and historical yield curves. The graph shows the projected dispersion (the expected path within an 80% probability band) of the 3-month Swap rates derived from the term structure of volatility model.
The Futures Delivery Option Model calculates the futures price, the value of the option, and the price sensitivities (DV01 and CV01). The Delivery Option Model analyzes all of the underlying deliverable bonds, including any special financing rates. The Model DV01 is used for hedging and risk analysis. The Model Futures Price can be compared to the marked price to determine relative value (trading the basis).

To assist Portfolio Managers in analyzing their trade ideas and portfolio strategies, The Yield Book is capable of addressing scenarios involving individual securities, multiple security types, or portfolios, and in one or more currencies.  The Yield Book also provides the ability to easily customize reports.

  1. Portfolio Profiles
  2. Portfolio Optimization
  3. Batch Scripts

  1. Cash Flow Analysis
  2. Scenario Analysis
  3. Quick Report Packages

  1. Risk Analysis
  2. Return Attribution

  1. Flexible Reports
  2. Tracking Error

Portfolio Profiles:
Create graphs or reports that display portfolio distributions either in absolute form or relative to a benchmark. The sample graph displays the industry group distribution of XYZCO portfolio relative to the Citigroup Global Markets Broad Investment Grade Index. In addition to dozens of predefined sector breakdowns the Yield Book allows users to define customized sectors.
Portfolio Optimization:
The Yield Book incorporates a powerful yet user friendly Optimizer for calculating optimal Trade Weightings and Structured Portfolios (Index Tracking Portfolios, Cash Matched Portfolios, etc) The Objective and Constraints can be defined using any of hundreds of security measures including Scenario Returns, Cash Flows, Yield Measures, Risk Measures etc). In addition upper and/or lower bounds can be defined on the Issue,Iissuer, or Sector level. The sample page shows the result of an optimization to maximize the returns of XYZPORT relative to the BIGINDEX across seven reshaping scenarios.
Batch Scripts:
Automate Yield Book operations including portfolio uploads, pricing, scenario analysis, return attribution, report generation and downloads. Batch jobs can be set to run overnight on a daily, weekly, or monthly frequency, so that results are waiting for you the next day.
Cash Flow Analysis:
Generate issue specific and portfolio Scenario Dependent Cashflows. Compare the Cashflows to Scenario Dependent Liabilities or to the Cashflows of a Benchmark portfolio. The scenarios can be Parallel Shifts, Reshapings, Multiple Yield Curve Shocks, and Currency Exchange Rate projections. The Yield Book utilizes its Financial Models (Term Structure Model, Mortgage Prepayment Model, Corporate Option Model etc) to project each security’s cashflow for each interest rate scenario. The sample graph displays the Cashflows of XYZCO portfolio for a "Bearish Steepening" scenario.
Scenario Analysis:
Calculate issue specific and portfolio Scenario Rates of Return (ROR). Compare the RORs to the RORs of a Benchmark portfolio.The scenarios can be Parallel Shifts, Reshapings, Multiple Yield Curve Shocks, and Currency Exchange Rate projections. The Yield Book utilizes its Financial Models (Term Structure Model, Mortgage Prepayment Model, Corporate Option Model etc) to project each security’s cashflow for each interest rate scenario. The sample graph displays the RORs of XYZCO portfolio to the RORs of the BIGINDEX across seven reshaping scenarios.
Quick Report Packages:
In addition to the dozens of pre-defined reports, users can create their own customized report templates. The columns can be any combination of hundreds of Yield Book keywords, User Defined Keywords, or User Defined Functions. The rows can be individual securities or sectors averages.
Risk Analysis:
Calculate a wide range of issue specific and portfolio Risk Measures including: Effective Duration, Partial (Key Rate) Durations, Effective Convexity, Volatility Duration, Spread Duration, Current Coupon Spread Duration, Prepay Duration, Refi-prepay Duration, and Turnover-prepay Duration. The sample report compares the Partial Durations of XYZPORT to the Citigroup Global Markets Broad Investment Grade Index within major industry groups.
Return Attribution:
Get a better understanding of the sources of return for Individual Securities , Trades, and Portfolios (including Dynamic Portfolios). The Yield Book dissects total returns into Treasury Components (returns due to the yield curve; Rolling Yield, Parallel Shift, and Reshaping) and Spread Advantage (returns in excess of the yield curve; Spread, Spread Change, Convexity Advantage, Reshaping Advantage, Volatility Change, Current Coupon Spread Change, Prepayment Dif, etc). By comparing the portfolio’s return components and sector weightings to a benchmark, the Yield Book measures the Issue Selection and Sector Weighting effects.
Flexible Reports:
In addition to the dozens of pre-defined reports, users can create their own customized report templates. The columns can be any combination of hundreds of Yield Book keywords, User Defined Keywords, or User Defined Functions. The rows can be individual securities or sectors averages.
Tracking Error:
The Yield Book tracking error module conducts tracking error and risk decomposition analysis at the security, trade, portfolio, and portfolio vs. benchmark level. The model employs a principal component approach to capture historical risk factor changes for 800+ global risk factors and a simulation-based methodology to project changes for these risk factors. The sample page on the right shows total ex-default return distributions for a portfolio vs benchmark analysis; distributions are shown at the portfolio, benchmark, and portfolio vs. benchmark level.
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Comprehensive Bond, Index, and Market Data

The extensive securities database provides you with indicative data, daily pricing and analytics. The database covers most major fixed income asset classes and currencies. Real-time market data, historical time series data, and daily pricing and analytics provide the tools for powerful analysis. Access to Citigroup Fixed Income Indexes, as well as indexes provided by others, fuels benchmark analysis and provide insight on market trends.

Yield Book analytics calculate consistent yield, risk, and return measures for a broad spectrum of bonds, enabling users to perform analysis on portfolios composed of a wide range of fixed income security types.

Governments

  • Treasury Bonds, Notes, Bills, Strips
  • Agency Bonds, MTNs

Corporates

  • Bonds, MTNs
  • Floaters
  • Eurobonds

Mortgage

  • Fixed Rate Pass Through Pools
  • ARMs, ARM Jr-Sr
  • Mortgage Derivatives (CMO,IO/PO, Floaters)
  • ABS (Home Equity Loan, Manufactured Housing, Credit Cards, Auto Loans)
  • CMBS

Trades Analysis

  • Options on Bonds
  • Futures, Options on Futures, Eurodollar Futures, Bankers Acceptance Futures
  • Swaps, Swaptions
  • Caps & Floors
  • Credit Default Swaps

International and Emerging Markets

  • All Major Government Bond Markets
  • North America, Europe, Asia Pacific, Latin America, The Middle East, and Africa
  • Currency Forwards
  • Cross Currency Swaps

User Defined Securities

  • Users are able to create their own structures for inclusion with the database and into portfolios for analysis

Yield Book analytics calculate consistent yield, risk, and return measures for a broad spectrum of bonds, enabling users to perform analysis on portfolios composed of a wide range of fixed income security types.

Indicative Data

Our continuously updated database maintains coupon rate, credit rating, redemption schedules, prepayment history, and other indicative data for a large number of securities.


Daily Pricing

We provide daily Prices, Yields, Option-Adjusted Spreads, Effective Durations, and other calculated values for over 20,000 securities, including all securities in our Family of Indexes. We also provide Matrix Pricing tools and benchmark data (yield curves, volatility curves, "leader" prices, etc.) to allow users to create relationship-based pricing for virtually any bond.


Real-Time Yield Curve

We provide a real-time On-The-Run Treasury Yield Curve, which allows intra-day pricing updates when used in conjunction with our Matrix Pricing tools. The fitted Treasury Model curve can also be updated with real-time inputs and can be used for pricing.

Trades Analysis

We provide historical Yields, Prices, Spreads, and other measures for securities, market benchmarks, and yield curves, dating back to as early as 1950.


International and Emerging Markets

Customers can easily search for securities satisfying multiple investment criteria


Personal Database

In addition to access to the The Yield Book databases, each user is provided a secure personal database that can be used to store portfolio holdings, customized indexes, user created bond structures, and customized calculated values for any set of securities.

Yield Book customers have access to Citi's family of published domestic and international Fixed Income Indexes, and also to the iBoxx Euro and Sterling indexes.

Issue Level Detail

Issue-level information is available on all of Citi's Fixed Income Indexes and Sub-Indexes, and on iBoxx Euro and Sterling indexes. This allows for the comparison of portfolios to their appropriate index benchmark.


Citi Index Data

Comprehensive notes, tables and other documentation of Citi Index data are available on this website. Click here.

Customized Indexes

Since Citi's Indexes are available on an issue level basis, Customized Indexes can be constructed by selecting and re-weighting any of the components.


Historical Returns

Historical returns and descriptive measures are provided for all of Citi's Indexes and published sectors since inception, back in 1980. In addition, statistical analysis can be performed on the historical measures, as well as re-weightings of the indexes.

Analytics at Your Desktop or on the Network

Integrate Yield Book Analytics with your in-house applications on your desktop or over your LAN. The client/server architecture offers the convenience of live updates of data and models, along with the capacity for large scale portfolio and index calculations. The same high performance analytics are available in both over the internet or via a dedicated connection. In addition, batch scripting and batch-on-demand production management tools empower your organization to automate large-scale calculations to meet your analytic needs.

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The Yield Book architecture enables users convenience of running the system on their desktop computer via a dedicated connection or Internet connection, while accessing the power of our central calculation facility.

Displays on your desktop computer

Display the Yield Book on your current PC or Unix workstation along with other applications. Integrate the Yield Book with your accounting system, spreadsheets, and other applications by connecting it to your local area network.


Powerful central servers

The Yield Book runs on powerful central servers which are supported by both database and compute servers. This architecture affords complex database searching capability and streamlined calculation times through parallel processing.


Automatic database updates

Connect each morning to the most up-to-date market information. Updates to the indicative data on securities and pricing calculations based on market closes are processed each night on our servers. The client/server architecture eliminates the need for time-consuming downloads to refresh data.

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Service and Custom Solutions

Call on our fixed income analysts and systems engineers to address your usage and technical questions. Join us for hands on customer workshops in locations across the globe. Consulting expertise is available upon request to work with you to create customized solutions for your analytic needs.

Extensive customer support helps our customers leverage the power of The Yield Book.

Usage Support

Our help-line analysts are fully knowledgeable about the usage of The Yield Book and possess a solid grounding in fixed income mathematics and portfolio analytics.


On-Line Training Manuals

We provide daily Prices, Yields, Option-Adjusted Spreads, Effective Durations, and other calculated values for over 20,000 securities, including all securities in our Family of Indexes. We also provide Matrix Pricing tools and benchmark data (yield curves, volatility curves, "leader" prices, etc.) to allow users to create relationship-based pricing for virtually any bond.


Workshops

Select from class offerings designed for users of all levels. Classes are taught in hands-on workshops and offered year-round in major cities worldwide.

Technical Support

Our team of highly-trained system engineers coordinates the installation process with your in-house technical staff. Afterward, we provide on-going technical assistance to any system issues.


On-Site Training

Upon installation of the system, we conduct initial training on-site. Alternatively, customers may opt for a custom workshop in our training room.