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BondCalc Reports and Graphs: Portfolios

If you press F6 you will get the single issue SECURITY Menu.
Selections made there will be processed in batch mode along with
the Portfolio output. WARNING: Printing for each Call Date could
produce voluminous output and may not be viewable with AltF5.

Statistics/Summary Report - lists a variety of results. Price,
  Yield, Average Life, Duration, Convexity are all calculated using
  ALL Portfolio cash flows. NO weighting is used. Also includes
  subtotals for members of various categories. By default cash are
  collected pretax, but they can be set to: after tax, after
  financing, and multi-currency on the Shft-F6 Parameter Screen.
  The distribution categories included in the report are controlled
  on F9 over ShftF6 - Portfolio Parameters Screen. The default
  numeric distribution groupings can be overwritten with input
  entered on F8 over ShftF6.

Control Over Combined Cash Flows -
  Pretax - The Basic cash flow report. It is the default if none of
    these selections are made.
  After Tax - Set tax rates on Shft-F3.
  After Financing - uses pretax flows, then applies the leverage
    information found in each security.
  Multi-Curr - Set FX rates on Ctrl-X.

Combined Cash Flows Reports - is available in five ways of ending the
  cash flows of the portfolio holdings. It requires that Portfolio
  issues all have a principal amount entered or are all in percent.
  ShftF6 controls grouping options. The report also produces a
  combined IRR, both grouped and ungrouped. Setting the Printer Type
  to 123 produces output in a .PRN format that can be inputted into a
  spreadsheet (see help behind CtrlF4). A column for periods will
  also be added. Note that running Weekly for several years will
  produce long output and take a while to combine as zero rows are
  maintained. If any liabilities are in the portfolio they will NOT
  be included. Cash flow collection on Worst variation is also
  sensitive to Worst Selection Method on ShftF6.
  -> If Specific Date is chosen is will be mutually exclusive against
     the other combining choices. It will also affect all other
     portfolio calculations that are being done to worst. Set date
     on Alt-O or enter in portfolio "Opt. Date" column which will
     override Alt-O date.
  -> Note that any CASH entered in the Portfolio will NOT be
     included in report or IRRs.

Custom Reports - Reports must be first specified in the REPORTS data
  base (accessed everywhere with ^R). [If you enter a C in the
  selection column you can clone the portfolio with the new one
  having the same data but using this new sort. You will be
  prompted for a new file name.]

Portfolio Evaluation Using Matrix Pricing - Checking this box turns
  on matrix pricing mode. Prices and yields at the security level
  will be ignored. Program will not create a matrix yield if a
  price, yield, or spread exists in the Portfolio level. If you enter
  a C in the selection column you can clone the portfolio with the new
  one having the calculated prices entered. If report creation is not
  desired then can set +W pricing option on Alt-O Override Screen.
  Uses Base Curve on ShftF6 screen as Base Treasury Yield. Also on
  ShftF6 can set Matrix Interpolation Type to either Term, Average
  Life, Option Free Yield or Spot Pricing. Spread matrices in ^M (or
  ShftF10) database must exist and be coded into each security. (See
  help behind ^M for more discussion.)  Valid ratings must also
  appear in each security. On the second page of the Portfolio
  Report Menu you can set the calculations to use the issue's worst
  flows (yield-to-worst). The default will use the cash flows to
  maturity. Prints in data file order. Sort first. Market prices
  and total will appear on this report but the results are not used
  for any other Portfolio report in this calculation pass. If
  printing in 123 format a column for CUSIP will be added.
  --> This report can now be simulated in the report writer. The
  column numbers would be: 101, 105, 104, 464, 469, 452, 453, 454,
  458, 459, 460, 461.

Yield Curve Shift Analysis - computes the effect on the Portfolio
  of a change in the Yield Curve. The analysis assumes that each
  Security maintains it spread over the curve. To run this report
  you must first enter two or three Scenario names on the Shftf6
  Parameter Screen. The first will be the base curve. You then have
  the option of entering one or two curves to compare against the
  first. Prices are calculated to maturity. Prints in data file
  order. Yields are in Native frequency and the total is in Display
  frequency. [ESOPs not currently working.]

ALL Cash Flows Due - is a listing of the principal and interest
  payments that the Portfolio has coming in. It is sensitive to the
  Cut-off Date on the ShftF6 Parameter Screen. Use the global
  Settlement Date to control starting date.

Data for all GRAPHS can be printed by entering REPORT in the Graph
Device field on the Output Screen in Defaults. Setting Printer
Type to 123 will then make them spreadsheet importable.

Line Graphs - maximum seven lines per plot. Only a single line can
be plotted for each security. You have a choice of this line being
to maturity or selection of the worst yield (best price).

Price/Yield Convexity - puts the IRR on the X-axis, calculates the
  present value for each IRR and plots against the Y-axis. On
  callable issues it will use the call date with the lowest yield.
  This graph shows the sensitivity of the issue's price when the
  yield changes.

Convertible Predictions Graphs - See Single Security Report Menu.
  These will only print for the first seven in the portfolio but the
  report of the graph numbers will include all. To control balancing
  and set other parameters see F7 off ShftF6 - Predictions Parameter

Yields-to-Worst Over Time - mirrors the version in the single issue
  section, except only the first seven are plotted and here it only
  plots yields-to-worst (if putable security or calculating prices
  then best will be selected). To also get prices, YTM, and spread-
  to-worst (and to save unnecessary calculation time) use Alt-P from
  the main portfolio input screen.

Yields-to-Worst Difference - takes the first two lines of the above
  graph and plots the difference between them. Use Alt-P from
  the main portfolio input screen to get other line types.

Duration Decay - Holding yield constant graphs the declining duration
  for each coupon date as the security reachs maturity.

Other Graphs
Horizontal Bar Distribution Charts - have bars with the Total Amount
  on the X-axis and the distribution type along the Y-axis. As the
  portfolio amount can be calculated in Principal Amount and Market
  Values the graph has both of these as clustered bars at each range
  along the Y-axis. Available are distributions by: Coupon,
  Maturity, Average Life, Duration, Rating, Class, (Columns: 1 2 3 4
  104 105) and up to three of any column available in the report
  writer. (Use F3 over menu to see list of available.)

Future Cash Flows Vertical Bar Chart - shows the cash amounts that
  the portfolio will spin off over some chosen time horizon. There
  will be a vertical bar for each periodicity chosen up to the cut
  off date. Each stacked bar has Principal and Interest from the
  Combined Cash Flow Report (which see above). It is also sensitive
  to the Cut-off Date on the Shftf6 Parameter Screen. If these
  parameters are changed while viewing the graph, the graph will be
  redrawn to the new parameters. The graph can be composed of cash
  flows ENDING on: 1-Maturity, 2-Next Call, 3-Worst Call, 4-First Par
  Call, and 5-Specified Date. The TYPE can be either: 1-Pretax,
  2-After tax, 3-After Financing, or 4-Converted back to Base
  -> If Specific Date is chosen is will affect all other portfolio
     calculations that are being done to worst. Set date on Alt-O
     or enter in portfolio "Opt. Date" column which will override
     Alt-O date.

Pie Charts - split up the portfolio and build two pies, Principal
  Amount and Market Value. Available are breakdowns by: Input Schema
  (A-L), Rating, Class, and up to three of any column available in
  the report writer. (Use F3 over menu to see list of available.)

Scatter Plot - The default has Yield on the X-axis and Duration on
  the Y-axis or select from any numeric report writer columns.

Price to Yield Sensitivity Matrix - Report has ending variations as
  available in the combined cash flow reports above along the top and
  prices along the left. Set increment for prices on ShftF5 Report
  Parameters screen. Note that After Financing will process the
  portfolio a second time to collect numbers by varying each
  security's price by the difference between the portfolio price
  sensitivity vector and the portfolio price (at the vector's
  center). If portfolio processing is set to multi-currency then the
  pretax will become after FX.

Yield to Price Sensitivity Matrix - Same as above but left side has
  Yields instead of Prices.

Portfolio Service Fee Totals - Left column has dates, second has
  periods, and other are columns for the each security in portfolio
  with service fees.

Diversification by Selected Code - Sorts by distribution category and
  shows totals for each. A blank code defaults to Issuer. Use F3 at
  menu to see list of codes available. Has columns for Par and
  Market Value for monetary and percent of portfolio.

Credit Distribution - Prints distributions for the various rating
  scales that can be inputed into the securities. Can have columns
  for S&P, Moody's, NAIC, Best, and D&P. If weighting is set on (see
  Rating Control Screen) then a Blended column will be included.

Weekend & Bank Holiday Analysis - Similiar to Cash Flows Due Report
  above but only includes flows that fall on a weekend or holiday.
  Shows days delay and if global yield curve is entered will include
  opportunity cost. Note that it is sensitive to the cut-off date
  settable on the ShftF6-Parameters Screen.

Aging Summary - With a perspective of 360 days and under report shows
  amounts maturing in various day ranges. Many report writer codes
  are available. Popular here are: Security Type-99, Issuer-300,
  Market Sector-27, and Rating-104. [Under Development.]

Various Yield Calculation Comparisons - Prints portfolio yields
  calculated using various weighted average methodologies and
  compares them to BondCalc's Cash Flow IRR (the mathematically
  correct way). The results of this report can be used to tune the
  weighting used in the Report Writer for subtotalling and non-cash
  flow columns.

Cash Available Report - This is a two section report. The first
  shows the detail and summary by payment type. The second is a
  daily recap report with a row for each day with activity, columns
  for the payment type, and a daily balance column.

Closing Price Report when Ending on Specified Date - Only works when
  ending on Specified Date is checked above and it has the -1 option
  turned on. This option matrix prices the portfolio on the future
  date and this report shows how this was done.

Securitization Package - This facility allows for the securitization
  of commerical mortgages and other asset backed securities into a
  Senior/Sub structure or a Senior only structure. Before running
  one must fill out the input on the Alt-S Securitization input
  screen. Checking this option will produce another menu upon

Create PAM Standard Price Record File - Creates ASCII text file in
  standard format for Princeton's Financial System's PAM accounting
  system. Specify pathname on F10 off ShftF6 Portfolio Parameter
  screen. If running only this option and matrix pricing then
  numbers will be from the matrix pricing. If running other output
  then numbers will come from general calculations.

Create 3 Column Price Record File - Similar to previous selection but
  has columns for: CUSIP, Price, and Price Date (in MM/DD/YY).

Create 6 Column Price Record File - Has columns for CUSIP, Price
  Date, Market Price, Market Yield, Duration and Average Life.

Create Valuation File for EJV/UniVu -

Sweep Prices into Price Database - Stores worst end dates, prices,
  yields-to-maturity, yields-to-worst, and spreads-to-worst in
  database for later use in custom reports. See Alt-P from Portfolio
  input screen.

BondCalc Prices in Transfer Format - File that will allow another
  user to bring in the prices to their securities or portfolios.
  Next user uses the Import facility off the File Maintenance Menu.

Camra Price Record Format -

Export Securities in Portfolio - The securities that underly the
  portfolio can be exported to another drive or path. The securities
  can come from different source paths. If the name is in use in the
  target path it will be overwritten. Path will be prompted for.

EJV/UniVu Security & Holdings Export - Full security descriptions in
  ASCII file. Security only included if it passes all edits.

Holdings Export in CMS Private Placement Format -

Derivative Solutions IRD Files - Should only run this into a
  completely empty directory.

Sinking Funds for PAM -

Yield Curve Shift +/- 100, 200, 300 b.p. - Produces an export file
  with 41 columns, each separated by two spaces. The columns are:
                                 Field    Field   No.
                                 Type    Length   Dec.
  1  First 10 char of filename    Char     10
  2  CUSIP                        Char      9
  3  Average Life - Book          Num       9      4
  4  Market Yield - Book          Num       9      4
  5  Mod Duration - Book          Num       9      4
  6  Convexity - Book             Num       9      4
  7  Average Life - Flat          Num       9      4
  8  Market Yield - Flat          Num       9      4
  9  Mod Duration - Flat          Num       9      4
  10 Convexity - Flat             Num       9      4
  11 Market Price - Flat          Num      12      6
  12-41 repeated for +100, -100, +200, -200, +300, -300.

Clone Cash Flows - This option will take the cash flows to maturity,
  prompt for a new file name, then create a new security using the
  "N" input screen. If grouped (as set on ShftF6) and no flows are
  in that period, then that date will be omitted.

Build Collective Sinking Fund File - Will put all sinking funds, from
  all securities, into a file as named on Export Pathname screen on
  F10 off ShftF6. Skips if no CUSIP in security file. Sinking funds
  in past are included. Layout: 1-12 CUSIP, 13-21 Date in CCYYMMDD,
  22-39 Amount.

Create ASCII Text File of CUSIPs - This format is suitable for the
  municipal CUSIP list that Hub Data needs monthly to include the
  issue in the month end prices. The columns are: CUSIP,
  Description, Coupon, Maturity Date and State. File will be put in
  path and filename specified on F10 off ShftF6. For Hub it should
  be called HUBMUNI.TXT. It could be used for other purposes.

GAT IBS Sinking Fund Correction Format - Will put all sinking funds,
  from all securities, into a file as named on Export Pathname screen
  on F10 off ShftF6. Skips if no CUSIP in security file. Only
  includes future sinking funds.

Camra Cash Flows -

Cash Flows Due Records - Columns: 1 - CUSIP, 2 - Pay Date,
  3 - Principal, 4 - Interest, 5 - Security Filename. Like Cash
  Flows Due report above. Cash flows will end based on date set on

PRSWEEP Reorg - Reorganizes the Price Sweep database when names have
  been changed. Expects CUSIP to the later part of security name.