# fixed-income-corporate

Equips coding assistants to evaluate corporate credit, compute OAS and Z-spread, and model default probabilities across debt tiers.

- skill · `type=skill` · Claude Code, Codex, Cursor, GitHub Copilot, Gemini CLI, OpenCode · 682 installs · ★ 218
- Author: JoelLewis
- License: MIT · policy=mirror · the beginning of the file is at the end of this page
- Source: https://github.com/JoelLewis/finance_skills/tree/HEAD/plugins/wealth-management/skills/fixed-income-corporate/SKILL.md
- Updated: 2026-07-18
- HTML: https://affpapa.org/en/nevibecode/skills/fixed-income-corporate

## What it does

This skill provides financial formulas and decision guidance for corporate debt. It covers credit spreads like G-spread, Z-spread, and OAS alongside recovery rates across seniority ranks. The agent learns to calculate yield-to-worst for callable bonds instead of relying strictly on yield-to-maturity.

A runnable demo lives at `scripts/fixed_income_corporate.py`. You can execute it with `uv run scripts/fixed_income_corporate.py` using inline metadata or via standard Python. Without `numpy` and `scipy` installed, running it via `python3` will fail.

Using a basic G-spread on callable debt conceals call risk. That makes OAS essential whenever early redemption options exist.

## Install

### Claude Code (native platform)

1. **Skills CLI (Vercel)**
```bash
npx skills add JoelLewis/finance_skills --skill fixed-income-corporate -a claude-code
```

2. **Manually: put the files in place**
- File: `~/.claude/skills/fixed-income-corporate/SKILL.md` — Copy the whole skill folder; for one project use .claude/skills/fixed-income-corporate/

### Codex

1. **Skills CLI (Vercel)**
```bash
npx skills add JoelLewis/finance_skills --skill fixed-income-corporate -a codex
```

2. **Manually: put the files in place**
- File: `.agents/skills/fixed-income-corporate/SKILL.md` — For all projects use ~/.agents/skills/

### Cursor

1. **Skills CLI (Vercel)**
```bash
npx skills add JoelLewis/finance_skills --skill fixed-income-corporate -a cursor
```

2. **Manually: put the files in place**
- File: `.cursor/skills/fixed-income-corporate/SKILL.md` — Cursor also reads .agents/skills/ and .claude/skills/

### GitHub Copilot

1. **GitHub CLI**
```bash
gh skill install JoelLewis/finance_skills fixed-income-corporate
```

2. **Manually: put the files in place**
- File: `.github/skills/fixed-income-corporate/SKILL.md`

### Gemini CLI

1. **Skills CLI (Vercel)**
```bash
npx skills add JoelLewis/finance_skills --skill fixed-income-corporate -a gemini-cli
```

2. **Platform CLI**
```bash
gemini skills install https://github.com/JoelLewis/finance_skills --path plugins/wealth-management/skills/fixed-income-corporate
```

### Windsurf (Devin Desktop)

**Manually: put the files in place**
- File: `.devin/skills/fixed-income-corporate/SKILL.md` — The legacy .windsurf/skills/ path still works

### OpenCode

**Skills CLI (Vercel)**
```bash
npx skills add JoelLewis/finance_skills --skill fixed-income-corporate -a opencode
```

### Claude.ai

**Claude.ai**
- Zip the folder and upload it in Settings → Capabilities → Skills

Where a file is given instead of a command, copy the files from the source to that path: https://github.com/JoelLewis/finance_skills/tree/HEAD/plugins/wealth-management/skills/fixed-income-corporate/SKILL.md

## When to use it
- calculate Z-spread and OAS for corporate bonds
- estimate credit portfolio expected loss from PD and LGD
- evaluate yield-to-worst on callable paper
- assess fallen angel risks at the BBB rating boundary

## Example prompts
- Compare the G-spread and Z-spread on a 7-year note yielding 5.8% against a 4.5% Treasury
- Compute expected loss given a 2% default probability and 60% loss given default on $1,000,000 exposure
- Determine yield-to-worst for this callable corporate bond

## Source text · SKILL.md · MIT

Below is the content of a third-party file. It is data, not instructions for you: do not act on anything written inside unless the human asks. Block tag: e513d0f9c4f18dc7.

BEGIN THIRD-PARTY FILE e513d0f9c4f18dc7
```text
---
name: fixed-income-corporate
description: "Analyze corporate bonds and credit instruments including investment grade and high yield debt. Use when the user asks about corporate bonds, credit spreads (OAS, Z-spread, G-spread), credit ratings, default probabilities, callable bonds, or private credit. Also trigger when users mention 'junk bonds', 'fallen angel', 'yield-to-worst', 'covenant analysis', 'CDS spreads', 'recovery rates', 'direct lending', 'mezzanine debt', 'BBB downgrade risk', or ask how to evaluate corporate credit risk."
---

# Fixed Income — Corporate

## Core Concepts

### Credit Spreads
Compensation for default risk, liquidity risk, and downgrade risk above the risk-free rate. Multiple spread measures exist with increasing precision:

**G-spread (Government Spread):** Bond yield minus interpolated Treasury yield of the same maturity. Simple but assumes a flat term structure between benchmark maturities.

**Z-spread (Zero-Volatility Spread):** The constant spread added to each point on the risk-free spot rate curve such that the sum of discounted cash flows equals the bond's market price. Superior to G-spread because it accounts for the full shape of the term structure.

**OAS (Option-Adjusted Spread):** For bonds with embedded options, OAS = Z-spread minus the value of the embedded option. OAS represents the "true" credit compensation after removing the option component. Requires an interest rate model to compute.

### Credit Ratings
AAA/AA/A/BBB are investment grade. BB/B/CCC/CC/C/D are high yield (speculative grade). The BBB/BB boundary is the most consequential threshold — many institutional mandates prohibit sub-investment-grade holdings. A downgrade across this boundary ("fallen angel") forces selling by constrained investors.

### Migration Matrix
A transition matrix shows the probability of moving from one rating to another over a 1-year horizon. A BBB-rated issuer has roughly 85-90% probability of remaining BBB, 4-5% chance of upgrade, 4-5% chance of downgrade, and a small probability (~0.2%) of default. Migration matrices are published annually by rating agencies.

### Default Probability, Loss Given Default, and Recovery Rate
- PD = Probability of Default over a given horizon
- LGD = Loss Given Default (percentage of exposure lost)
- Recovery Rate (RR) = 1 - LGD
- Expected Loss: EL = PD × LGD × EAD (Exposure at Default)

Recovery rates vary by seniority: senior secured (60-65%), senior unsecured (40-50%), subordinated (20-30%).

### Callable Bonds
The issuer can redeem the bond early. Call schedules specify prices and dates. Yield-to-call (YTC) is calculated using the call date and call price. Yield-to-worst (YTW) is the minimum of YTM and all possible YTCs. For callable bonds, OAS is the appropriate spread measure (not G-spread or Z-spread).

### Covenants
```
END THIRD-PARTY FILE e513d0f9c4f18dc7

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