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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

Output Description
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.


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 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.


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.
  [Pretax only.]

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,


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.