BondCalc Reports and Graphs: Single Security
The reports on this menu are also available in batch mode by
running the PORTFOLIO section. However printing input pages or
Call Date reports for a Portfolio could produce voluminous
Print Input Pages - will print the main screens onto one page,
which is basically the same as PrtScrn, except that here the
input fields will have underlines. If there is any subsidiary
data on pop-up screens some will be printed on a second page.
Any pop-up notes box will be printed on a seperate page.
Term Sheet - Prints in standard two column format. The public
notes, entered by pressing F4 twice on the input screen, will
be printed at the bottom. Additionally this report (and the
others) can be edited after formatting but before printing. To
do this send the output to a file, then use any ASCII editor to
edit, such as Microsoft's EDIT that BondCalc has on Alt-F9.
When editing, lines cannot be added above the location of the
boxes that the laser printer will vector draw on the page.
LISTS EACH CALL DATE:
Statistics Report - includes everything that displays on the
screen. For description see the help screen behind the F5
displayed calculations. The Custom Report Writer below
produces reports similiar in style to this but using user
chosen columns stored in the ShftF12 database.
Custom Reports - Like the report writer in the Portfolio section,
but for a single security with numbers for each call date
listed. Footnotes, like what appears on the screen output,
will also be included. See database on ShftF12.
Print Custom Reports Listed on F7 popup -
Matrix Pricing Report - Shows the matrix price calculation for
each call date and double-up option. Uses Base Curve on ShftF6
screen as Base Treasury Yield. Also on ShftF6 can set Matrix
Interpolation Type to either Term, Average Life, or Duration.
Spread matrices and ratings must also appear in each security
or it will try to use a curve entered on the F11 popup box.
If running under portfolio report menu a sector differential
can also be included in the yield calculation.
SENSITIVITY MATRIX REPORTS:
Sensitivity Report - is the basic system report converting
between prices and yields for all call dates and maturity.
Call Dates with Call Prices and Maturity are column headings.
Calculates yields if price is input. If the Convert Yield to
Price toggle is set to YES on ShftF5 yields will also be
calculated. To calculate prices enter yield and set toggle to
NO. Increment along report left is set on ShftF5.
Price/Yield Matrix After Financing - This report is similiar to
the previous Report above but here is after financing. Prices
will be along the left side (increment set on ShftF5) with
yields to each call date in a matrix.
PIK's - can switch back and forth between paying cash or in
more securities. If we assume they first pay with securities
then switch to cash and stay with cash we can analyze the
effects on the yield for when the switch is made.
MakeWhole Sensitivity - produces two reports using various
treasury rates along the left and call dates across the
column tops: (1) a matrix of call prices, and (2) a matrix of
yields if price was input (and prices if yield was input).
It will use any reinvestment rate/name found at the top of
the second input page. To flip treasury rate column reverse
min and max numbers.
Sale Price vs. Replacement Discount Rate - report shows
sensitivity on a new purchase or sale of held security.
Various purchase/sale prices are along top and discount rates
run along the side. Note that this report is sensitive to the
cash flow selection in the section following. If taxes are
turned on it will be after tax. It is not implemented for
money market issues or perpetuities.
DETAILED CASH FLOW REPORTS:
Print Cash Flow Reports to - This section controls under which
situations the cash flows selected in the following section are
produced. If all are blank it will default to Maturity. If a
1 is entered into the call date selection fields then only the
first call date will be printed. If information was not input
on second input page for the Horizon Analaysis it will default
to the implied forward rates of global yield curve.
Basic - are designed to analyze the cash flows behind the price
or yield calculation. All flows will be listed with the dates
in the first column. Run both pretax and after tax to get full
detail. If Purchase Yield is input in the security, after tax
will use it to amortize purchase premium or acrete purchase
discount. If after tax and sending out in 123 format an extra
column will be added for periods from settlement date.
FX in Base Currency - Securities in a different currency are
converted back to base currency desiginated on ShftF5.
Exchange rates and growth rates are set on F7 off of Shftf5.
Cash Flows After Financing - Shows cash flows and return after
security purchase has been margined. See input on Alt-F popup
box to drive report. [Pretax only.]
Cash Flows with Present Value Column -
Spot Curve Valuation - Values cash flows using the theoretical
spot curve. A spread can be input, either on F11 or a spread
matrix. The spread will be added to the current yield curve
(but not to current coupon rate) BEFORE deriving the spot
curve. [Pretax only.]
Static Spread Pricing - Following the methodology used elsewhere
it adds the spread after the spot curve is calculated. Can
enter the spread on either F11 or with a matrix name. When
pricing with static spread and trying to reconcile with this
report use only +T in yield field and enter spread on F11.
Strip Pricing P&L - Calculates the profit or (loss) from an
actual stripping of a bond. Input strip yield curve using
Alt-Z over main input screen. Yields are rounded to three
decimals before calculating price. Prices are then also
rounded to three decimals before calculating value. Flows
within the first period will be priced using the money market
formula. [Pretax only.]
Cash Flow Reports From Purchase Date - to Settlement Date.
Same as pretax and after tax reports above but will note
situation in label. Note that it is not sensitive to the
cash flow selection above.
With Reserve Bond - If a reserve requirement is entered on the
back page then a second bond will be created and added to the
base security. This reserve bond will have a coupon of the
treasury rate to the final maturity. This is an NAIC
requirement for the purchase of lower rated securities. This
report has the cash flows.
Price/Yield Convexity Graph - includes all call dates and is
similar to the Sensitivity Report above, except that the IRR is
always in Display compounding frequency and the X-axis is
present value (price plus accrued). (When combining securities
on a portfolio graph this keeps all lines in the same units.)
Blank minimum or maximum will default to global setting.
Prices/Yields Over Time Graph - To run this graph you must
first enter prices into the database using the F12 pop-up box
or the portfolio section. Line selection choice is: 1-Prices,
2-two lines for Yield-to-Maturity and Yield-to-Worst,
VERTICAL BAR CHARTS:
Security Cash Flows - This vertical barchart is the same as in
the Portfolio section except that here there is a stacked bar
for each cash flow. Each bar can have up to four sections:
(1) Service, (2) Interest, (3) Pre-paid principal, (4) Regular
principal. Note that this is a bar per flow and will not be
scaled correctly for irregular flows. To group them create a
Portfolio with a single issue and run its cash flow graph.
Present Value of Security Cash Flows - This is a present
valued version of the above graph. It is calculated in the
issue's native frequency.
Convertible Decision Matrix - Available only for convertibles.
Using the parameters entered on the Alt-V input popup it will
produce a report showing the decision timings and which
decision was made for the per annum stock growth rates.
Predictions Cash Flow Reports - Available in pretax only.
Shows how the numbers are derived for the following two graphs.
Select which growth rates to print for on F7 off ShftF6 screen.
Predictions Line Graphs, NPV/IRR - For a range of per annum
stock growth rates, as specified on the F7 off ShftF6 Screen,
will graph either: (1) a NPV graph using the zero spot curve,
or (2) an IRR plot. [Future variations will be settable on F7
off ShftF6 screen.]
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. Use this when you wish
to make some changes to the cash flows. Note that cloned flows
from a PIK will not get the expected results. The clone does
not know what principal you have and assumes that the ending
principal is it. The monetary price on the input screen will
however be correct. This facility is NOT available when
running under Portfolios or Compares.
Price Each Sinking Fund/Serial Off Yield Curve - produces a
report pricing each principal redemption off the yield curve
as specified on the F9 pop-up screen.
Stripped Yield on Brady Bonds - Prints explanation of how BondCalc
calculates this yield. Sometimes called Pure Country Yield.
Prepayment Analysis - Has CPR rates from 0-50% along the left.
Has columns for yield, spred, average life, and duration.
Supports lockouts. Currently ignores clean-up calls.
Loss Analysis - Like the previous one, but using annual loss rates
instead of CPRs.
Issue Sinking Fund Flows - A simple report with three columns:
date, principal balance, and principal. They will be to
Issue Sinking Fund Flows Plus Interest and Total Columns - Like
the above report but with the addition of two more columns.
Daily Price Graph (and other calcs) -
Future Prices Report -
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
Church Bond Cash Flows - The basic cash flow report for the serial
bonds created on Input Schema O.
Church Bond Schedule of Maturities - Lists the bonds in a Schema O
Issue Sinking Funds with Servicing Fee - Under development.