There are two sections to the on-screen results:
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 difference. 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 available.] 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 Rate. 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. Spread Volatility - as input. Option Value Option Free: Yield Spread Effective Duration Risk Convexity 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.