managing-duration-exposure
Structures portfolio duration management with hedging strategies and benchmark tracking. Use when managing interest rate risk, hedging duration, or optimizing portfolio duration.
Best use case
managing-duration-exposure is best used when you need a repeatable AI agent workflow instead of a one-off prompt.
Structures portfolio duration management with hedging strategies and benchmark tracking. Use when managing interest rate risk, hedging duration, or optimizing portfolio duration.
Teams using managing-duration-exposure should expect a more consistent output, faster repeated execution, less prompt rewriting.
When to use this skill
- You want a reusable workflow that can be run more than once with consistent structure.
When not to use this skill
- You only need a quick one-off answer and do not need a reusable workflow.
- You cannot install or maintain the underlying files, dependencies, or repository context.
Installation
Claude Code / Cursor / Codex
Manual Installation
- Download SKILL.md from GitHub
- Place it in
.claude/skills/managing-duration-exposure/SKILL.mdinside your project - Restart your AI agent — it will auto-discover the skill
How managing-duration-exposure Compares
| Feature / Agent | managing-duration-exposure | Standard Approach |
|---|---|---|
| Platform Support | Not specified | Limited / Varies |
| Context Awareness | High | Baseline |
| Installation Complexity | Unknown | N/A |
Frequently Asked Questions
What does this skill do?
Structures portfolio duration management with hedging strategies and benchmark tracking. Use when managing interest rate risk, hedging duration, or optimizing portfolio duration.
Where can I find the source code?
You can find the source code on GitHub using the link provided at the top of the page.
SKILL.md Source
# Managing Duration Exposure
Structures portfolio duration management with hedging strategies and benchmark tracking for fixed-income portfolios.
## When To Use
- Rebalancing portfolio duration toward a target or benchmark (e.g., Bloomberg US Aggregate)
- Assessing interest rate risk after yield curve shifts or central bank policy changes
- Constructing or evaluating duration hedges using swaps, futures, or options
- Reviewing duration drift from cash flows, maturities, prepayments, or new allocations
- Preparing duration exposure reports for investment committees or risk oversight
## Inputs To Gather
- **Portfolio holdings** — CUSIP/ISIN-level positions with par amounts, market values, and coupon details
- **Duration metrics** — Effective duration, modified duration, key rate durations (KRDs) per holding and at portfolio level
- **Benchmark profile** — Target index or custom benchmark with duration, KRD breakdown, and sector composition
- **Yield curve data** — Current Treasury/swap curves, recent curve shifts, and forward rate expectations
- **Hedge instruments available** — Treasury futures contracts (2Y, 5Y, 10Y, Ultra), interest rate swaps, swaptions, caps/floors
- **Risk limits** — Mandated duration band (e.g., benchmark +/- 0.5 years), maximum DV01, tracking error tolerance
- **Scenario parameters** — Parallel shift sizes (e.g., +/-50bp, +/-100bp), curve twist/butterfly scenarios
## Workflow
1. **Measure Current Exposure**
- Calculate portfolio effective duration, spread duration, and DV01
- Decompose into key rate duration buckets (2Y, 5Y, 10Y, 30Y at minimum)
- Compute duration contribution by sector (government, corporate, securitized, municipal)
- Identify convexity profile — negative convexity from MBS/callables requires separate treatment
2. **Compare Against Benchmark/Target**
- Map portfolio KRDs to benchmark KRDs at each tenor point
- Calculate duration gap (portfolio duration minus benchmark duration)
- Identify the largest KRD mismatches — these drive tracking error
- Flag any duration drift from recent cash flows, paydowns, or new trades
3. **Design Hedging/Adjustment Strategy**
- For parallel duration gap: size Treasury futures or swap overlays to close the gap
- Futures hedge ratio = Target DV01 change / DV01 per contract [VERIFY contract specs for current delivery cycle]
- Swap overlay: receive/pay fixed to lengthen/shorten duration
- For curve positioning: use barbell/bullet trades or KRD-targeted futures to adjust specific tenor buckets
- For convexity management: evaluate swaptions or Treasury options to offset MBS negative convexity
- Estimate hedge cost: carry, roll, margin requirements, and bid-ask slippage
4. **Run Scenario Analysis**
- Parallel shifts: +/-25bp, +/-50bp, +/-100bp — compute P&L impact on hedged vs. unhedged portfolio
- Curve scenarios: bull steepener, bear flattener, twist — assess KRD mismatch impact
- Spread scenarios: widening/tightening by sector to isolate spread duration risk from rate duration
- Stress test: replay historical episodes (2013 taper tantrum, 2022 rate hiking cycle) against current positioning
5. **Document and Report**
- Summarize current vs. target duration, KRD profile, and hedge positions
- Present scenario P&L table with breakeven rate levels
- List open hedge positions with notional, DV01 contribution, maturity/expiry, and roll dates
- Note any residual risks: basis risk between hedges and portfolio, cross-currency duration if applicable
- Flag upcoming events that could shift duration profile (Fed meetings, large maturities, MBS prepayment resets)
## Output
- **Duration Exposure Summary** — One-page table: portfolio duration, benchmark duration, gap, DV01, and KRD breakdown by tenor
- **Hedge Recommendation** — Instrument, direction, notional/contracts, expected DV01 impact, cost estimate
- **Scenario Analysis Matrix** — Grid of rate scenarios vs. portfolio P&L (total return and price return)
- **Risk Dashboard** — Tracking error estimate, duration band compliance status, largest KRD mismatches
- **Action Items** — Specific trades to execute, rebalancing triggers, next review date
## Quality Checks
- Duration and DV01 figures reconcile between portfolio analytics system and independent calculation
- Hedge sizing accounts for futures conversion factor and cheapest-to-deliver basis [VERIFY CTD bond for active contract]
- KRD buckets sum to approximately the total effective duration (within rounding tolerance)
- Scenario analysis includes both rate and spread duration effects — not rate-only
- MBS and callable bond durations use OAS-based effective duration, not modified duration
- Benchmark data is current — stale index rebalancing dates can distort duration comparisons [VERIFY index rebalance date]
- Hedge roll dates are flagged before expiry to avoid unintended duration gaps
- All duration figures specify the methodology (effective, modified, Macaulay) to prevent misinterpretationRelated Skills
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