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BondCalc: Swaps Output

Contents to the Below:

On Screen Results

Results are calculated using 30/360 day counting and the DISPLAY
Compounding Basis on the Report Parameters Screen.

Units - Swaps can be balanced or weighted one of several ways:
  1-Input        The Buy Amount was entered.
  2-$/$          Amount spent for each side is the same.
  3-Par/Par      Par Amounts of Issues matched.
  4-Mod Dur      Modified/Adj Duration - Balances Risk
  5-Price/Price  Prices of Issues matched (no acc int)
  6-Avg Life     Balances like #4 above
  7-Mod $/$      Like #2 and #5 but is after tax (no acc int)

Maturity Date - as input or last cash flow date if multiple issues
  in swap.

Price/Basis - is the initial price paid for each side of the swap.
  If there are multiple issues then this is a weighted average of
  the prices.

Yield to Maturity - is the IRR of the cash flows extending to the

Horizon Yield - if there are only two issues the yield that relates
  to the following price will be displayed.

Horizon Price/Basis - is the price the issues are sold/bought on
  the Workout Date.

Yield to Workout - is the IRR of the cash flows to the workout date
  using the above Horizon Price for the principal redemption

Workout Average Life - Calculated on the principal flows until
  workout date.

WO Modified Duration - 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. It is related to Macaulay Duration which
  is a weighted average of the present values of the cash flows.
  Note, however, that its usefulness is limited to small displace-
  ments in price/yield. Here it is calculated on the cash flows to
  the Workout Date using the respective Yield to Workout and the
  Global Settlement Date.

Convexity - is a measurement of the relative curvature of the
  price-yield curve. It represents a second order measure of
  price-yield sensitivity. Convexity, along with Modified
  Duration, can be used to approximate the percent change in price
  given a percent change in yield. This approximation is more
  accurate for larger displacements in price/yield. Here it is
  calculated on the cash flows to the Workout Date using the
  respective Yield to Workout and the Global Settlement Date.

Accrued Interest - Amount in percent that is initially payable in
  addition to price.

Market Value - This is the sum of the Accrued Interest and the
  initial Price. They will be the same when $/$ balancing is on.

Future Value - Calculated on the Workout Date using the cash flows
  after the initial periods and the reinvestment rate(s), as shown

Effective Yield - is the Modified IRR of the above Market and
  Future Values and the reinvestment rate(s), as shown below.

After Tax Effective Yield - actually is the pretax equivalent of
  the after tax cash flows. Like the previous but using after
  tax cash flows. The reinvestment rate(s) are adjusted to after
  tax and the result is divided by one minus the tax rate. It is
  turned on by the Calculate After Tax switch on the input screen.

If Dual Floating Rate Analysis - extra displayed:
  - Weighted Average Rate - (WAR) is the weighted average coupon
    rate for the number of days in the interest period until the
    workout date.
  - Current Yield - The WAR divided by price.

Rollover Breakeven
This will only appear when the maturity dates of each swap side are
different and the calculated future values on the respective
maturity dates are different:

Reinvestment Rate - is the rate (or range of rates if a Scenario
  was used) that flows are reinvested until the Rollover Date, the
  Ending Date of the shorter of the two sides.

Future Value at Maturity - using the above rate(s) this is the
  value at the respective maturity dates.

Effective Yield - this is the Modified IRR calculated using today's
  Market Value and the above Future Values.

Breakeven Rate - is the rate that must be earned on the money from
  the shorter maturity until the longer one for the investor to be
  indifferent between the alternatives.

Reports and Graphs

Executive Summary Page of Swap Transaction - [Under development.]
  Only formats correctly when there is only one issue on each
  side of the transaction.

Avoided After Tax Cash Flows on Sell Side - This is the after tax
  cash flow report that is also available in the single security
  section. With the input of a discount rate on the main screen
  it will also display a PV swap summary.

Sale Price vs. Replacement Discount Rate - report shows PV
  sensitivity on a new purchase or sale of held security.
  Various purchase/sale prices are along top and discount rates
  run along the side. Select using a 1 to analyze to first call
  date. If taxes are turned on it will be after tax. It is not
  implemented for money market issues or perpetuities. The
  report is the same as a report in single security section.

Breakeven Rollover Reinvestment Rate - prints the cash flows and
  the rate needed for a reinvestment after the shorter investment
  to equate with the future value of the longer investment.

Summary Cash Flows - Prints summary numbers.

Detailed Swap Cash Flows until Workout - Prints all cash flows,
  pretax and after tax.

Column for each Swap Issue when Multiple Issues on a Side - can
  be printed when the swap has more than two issues. It has a
  column for the flows of each included issue.

Earnings Effects - Mostly for ISSUER point-of-view.

Flow Grouping - (0-None, 1-Annual, 4-Quarterly, etc.) - To group
  the earnings effects into fiscal periods the Fiscal Year End is
  required input on the ShftF3 parameter screen. Entering a 0
  here will allow for analysis of the cash flows, in particular
  the calculation of the effects of the cumulative cash flow
  differences. (2-Semiannual, 12-Monthly) are also available.

SLG Report -


Reinvestment Rate Sensitivity Graph - [What do users want?
  Nothing implemented until I find out.]