BondCalc: Single Security On-Screen Calculations

There are two sections to the on-screen results:

Results are calculated using the issue's day counting and the Output Compounding Basis on the Report Parameters Screen unless noted to be in the issue's native frequency (i.e. the issue's coupon frequency).

Description of Columns

Call Dates - As input. A call in 30 days will have been added if
  call dates are already ongoing.

Call/Put Price: Percent - This is the call or put price on that
  date, depending on how the flag is set on the second input page,
  and depending if the security is a LYONs with puts. In the case
  of preferred, with a price basis other than 100, it will be
  converted to percent.

  If calculated using the Make-whole convention it (1) gets the
  future periods, (2) calculates the average life of remaining
  principal flows, (3) finds base Treasury rate using implied
  forward yield curve (unless set otherwise on yield curve input
  screen) (gets rate from matrix 30 days before call date), (4)
  adds premium, (5) discounts remaining issue cash flows using
  this rate in issue's native compounding, (6) divides by the
  principal and converts to percent, (8) subtracts accrued
  interest if between coupon dates, (7) rounds price to three
  decimals, and (9) floors it at 100 (or the accreted value if an
  OID instrument).

Yield - as of the settlement date in DISPLAY frequency. It is the
  internal rate of return of the expected cash flows. It is
  sometimes the input but usually the program will flip a yield
  input to a price, giving different yields to each call date. An
  arrow '<' will point at the lowest yield (or highest if issue
  has puts). Use column 227 if six decimals wanted.

Spread to Treasury/Before Taxes - The difference between the IRR,
  before tax effects, and the base yield using each call date's
  respective average life. The program finds a yield curve
  designated either (1) in the Yield input field or (2) entered as
  the base Treasury Yield Curve on ShftF6. If yield is in native
  frequency no adjustment will be made before finding the

Static Spread - The spread that will make the present value of the
  cash flow, when discounted at the Treasury spot rate plus the
  spread, equal to the security's price. It is a measure of the
  spread that the investor would realize over the entire Treasury
  spot rate curve if the bond is held to the end and the spot
  rates do not change. It is iteratively solved for.

Average Life Numeric - is the weighted average of the principal
  flows to each date. Call price premium is not included. This
  column is in years.

Average Life Date - The date corresponding with the average life
  calculated using cash flows to each call date.

Duration (Modified) -  which is also called Adjusted, or Hicks
  Duration. It is the most popular measure of volatility and is
  computed by measuring the slope of the price-yield curve and
  dividing by the price. (BondCalc takes a weighted average of
  the present value of the cash flows and divides by one plus the
  yield.)  It is related to Macaulay Duration which is the
  weighted average of the present values of the cash flows but is
  not divided by one plus the yield. Note, however, that its
  usefulness is limited to small displacements in price/yield. It
  is shown here in the display frequency.

Effective Yield (Horizon Return/IRR) - Calculated by using the
  reinvestment rate input on the back input page, or if that is
  blank, the global reinvestment rate found on the ShftF5
  Parameter Screen.


Money Market - Additional numbers will be displayed if input on
  Schema J, a call is nearby, or is bond in its last period:
  - Discount Rate - if a Type 1 or 3 discount issue.
  - Interest Bearing Rate - if the instrument is not ACT/360 day
    counting this number will be displayed.
  - CD Equivalent Rate - is the interest bearing rate using ACT/360
    day counting.
  - Bond Equivalent Yield  = 365 x CD Rate / 360
  - Display Frequency IRR - conforms to the rest of the program.

Yield Value of a 1/32 and Price Value of an 01 - Yield value is in
  basis points. Price value is in percent and is also called Risk.
  Use columns 145 and 146 to see numbers to each call date.

Current Yield - this is simply current coupon divided by price. It
  is an old measure and is only used today for floating rate issues
  and high yield where principal redemption is uncertain. If the
  security is being priced "all-in" then the "net" price will be used
  in the divisor.

Floating Rate Issues - Additional numbers will be displayed:
  - Spread for Life - bp differential between the return of the index
    rate and that of the floating rate security from the settlement
    date until the maturity date.
  - Effective Margin - is also called Total Margin or Adjusted Simple
    Margin technique. After measuring the value of the discount or
    premium of the floater, this approach includes the impact of the
    spread between the coupon and the base rate over the period of
    time until the next coupon refixing. It is most effective if the
    coupon and the base rate are substanially different. It is the
    same as Spread for Life when on a coupon date.
  - Total Adjusted Margin - or Adjusted Total Margin, is an
    enhancement over the previous where the spread relationship is
    reflected over the entire life of the floater, not just to the
    next reset date. However it makes some dramatic long-term
    assumptions about rates.
  - YTM Spread - is the difference between the YTM of the floating
    rate security and that of the index rate.
  - Discounted Margin - represents the increment over the index rate
    that is returned by an investment in the floating rate issue. It
    is popular in the European market.
  - Breakeven Index Rate - Needs targeted YTM input. [Not yet

Native Yields - BondCalc displays results in the compounding
  frequency that is globally set. These notes display in the issue's
  frequency. Columns 23 (before taxes) and 24 (after tax effects)
  list them so each can be backsolved on.

Days to Go - is displayed for money market instruments and bonds in
  their last period. Column number 302 is available for all bonds.

Accrued Interest/Dividends - Bond prices are usually quoted as a
  flat price without accrued interest. At the time of payment the
  accrued is added in to get the true market/present value.
  Preferred Stock, on the other hand, is quoted with a full price.
  The amount is shown here as a percent with a note when it is
  included in the price.

Daily Interest - Earned each day.

Called off Accretion Curve - this note will appear when you have a
  DIB/Zero-Pay or Zero and the entered Call Prices are multiplied
  against the accreted value being paid out.

Accretion Yield - This is included for an OID instrument as issue
  information instead of yield may have been input.

Current Accreted Price - If the issue was issued at a discount and
  issuance info was entered then this number is displayed.

Actual Redemption Prices - If the issue call prices were a
  percentage of the accretion curve then these will be the actual
  call prices paid. (Accreted Value X Call Price)

Mortgage Payment - will be displayed when the bond is level debt. If
  there is a Service Fee then a range of net payments will be shown.

Implied Prepayment Speeds - If a Pool Factor is entered on a mortgage
  backed security (Screen H) then BondCalc will calculate the CPR
  and SMM that this factor implies.

Make-whole Rate -  If the bond has a Make-whole Call provision this
  is the Treasury rate or rates that were used. It was either input
  or interpolated from a scenario. (A Make-whole provision provides
  for a call price great enough so the investor can invest it in
  Treasuries and get the same return.)  If interpolated it uses
  average life for sinking fund issues and a weighted average of
  each member if a serial bond. A range of rates will display for a
  serial (covering first MW call only).

Make-whole Premium - sometimes there is a premium over the Treasury

OAS - To turn on you must (1) have a global yield curve designated,
      and (2) enter a volatility on the Ctrl-O OAS Control Screen.

      Volatility - as input.
      Option Value
      Option Free: Yield
      Effective Duration

ESOP Yield with Coupon Grossed Up - Using gross-up tax factor with
  all decimals. It is calculated to highlighted row. Also see
  columns 47 and 304.

Non DCF Yield (on Straight Bond) to Average Life - If there are
  sinking funds or prepayments, only ONE coupon rate, and no delay, a
  yield of a hypothetical straight issue maturing on the average life
  date will be displayed (in DISPLAY compounding frequency). It does
  not include doubled-up sinking funds. Note that the phantom bond
  has coupon payments in sync with your issue and has a fractional
  period at the end (like an MTN). Also see columns 46 and 301.

Price represents a Discount Rate - BondCalc normally assumes that an
  inputted yield is a compound number with interest on the present
  value. Some serial zero coupon notes can be priced at a discount
  from their future value. This method does not compound but just
  sums up the interest earned per annum. To input a rate this way
  add +S after the inputted yield.

Combination Price Using F9 Treasury Yields - If a sinking fund issue
  (or serial) was entered you have the option of entering a Treasury
  Yield Curve with a rate corresponding to each sinking fund. It
  will then treat it is a serial issue and price each S.F.
  individually and combine to a number here. This is only available
  for a single coupon rate (unless serial). Use columns 34 and 35 to
  see to each call date.

Convertible Info -
   Stock Price - as found in ^E Equity database.
   Conversion Price - Par value of convert (or sometimes issue price)
     divided by the conversion ratio.
   Conversion Premium - The percentage that the Conversion Price is
     over the Stock Price.
   Convertible Payback - see discussion on help behind B selection
     Alt-F4 Calculations menu.
   Premium Payback Period - or Breakeven Time. It is time it takes
     to recover the premium per share
   Premium Over Straight Value - Must enter spread on F11 for program
     to calculate Straight Value of security.

Return from Purchase - If a purchase price and purchase date in the
  past are entered, this IRR will be produced by setting the
  settlement date to the purchase date and ending on the current
  date with the current price.

Pretax Equivalent Return from Purchase - Like the above but calcu-
  lated only when the security has a tax preference.

Horizon Return
Horizon Date - The Horizon Return Analysis assumes that you hold the
  security and then sell it at some Horizon Date selected in the
  future or, by default, it will end on the maturity date.

Horizon Price/Yield - the first of these two numbers is what you
  inputted and the second is calculated from the first using the
  Horizon Date as the Settlement Date.

Reinvestment Rate(s) - This is the rate (or rates if a Scenario
  name was entered) that all cash flows are reinvested at until the
  Horizon Date. It is in the issue's compounding basis.

Total Return - is the Modified IRR of the initial security market
  value and the future value on the Horizon Date. It is in the
  same day counting as the underlying security and in the Display
  Compounding Frequency (See ShftF5). It is also available to each
  Call Date by using column 22.

Profit/(Loss) From Stripping Security - based on yields and spreads
  inputted on Alt-Z popup. The cash flows behind this calculation
  are on the second page of the report menu.

Combined Return with Reserve Security - Also see column 42.

Stripped Yield on Brady Bonds - or Pure Country Yield. See report
  for explanation of calculations. The spread is calculated using
  the duration scale for the Treasury curve and cannot be
  backsolved on.

Make-Whole Yield - Indenture explainations for make-whole call
  calculations usually have a convention to net accrued interest
  against the next interest payment before calculating the cash flow
  net present value. This is uneconomic to the issuer. The
  difference shown is the extra value that is received by the holder
  in the call. This yield will only appear if the +M backsolving
  flag is on in the yield field.