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 end. 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 amount. 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 below. 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.

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