Cash Flow Generator, Aggregator and Securitizer

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• private placements
• mortgage-backed securities - see MBS Features
• commercial mortgages
• high yield (PIKs and Zero/Pays)
• bank loans
• emerging market debt
• municipals
• serial bonds
• stepped coupons
• passthroughs
• money market instruments
• other unusual or illiquid securities

Features:

• BondCalc is completely cash flow based with after tax, leveraging and multi-currency capabilities.
• Portfolio statistics are calculated using all portfolio cash flows and are not "weighted."
• For a single security, BondCalc can backsolve for 37 variables.
• BondCalc can price securities and portfolios using:
  • Yield-to-Worst
  • OAS Spread and Option-Free Yield. See OAS Capabilities.
  • Static Spread Discounting (off theoretical spot curve or actual zero strip yields)
  • And 33 Others
• Matrix pricing is the most complete available and can be used to calculate projected total return.
• Can securitize commercial mortgages, home equity loans, and other assets.
  Has A/B structure with unlimited tranches in each. See input parameters and report samples.
• Output:
  • Results returned to the screen. User has control over columns displayed. See discussion of single security screen results.
  • 100 preset analytical graphs and reports:
    • See PDF of output samples (33 pages, 20 MB).
    • Single Security Report Descriptions
    • Portfolio Report Descriptions
    • Comparing Portfolios Report Descriptions
  • Two report and graph writers are available:
    • For single securities there are 70 statistics to each call date
    • For portfolios there are 335 columns
• Stress testing can be done using yield curve shift analysis.
• Can use implied forward yield curve or 2-dimensional interest rate forecasts to value make-whole calls, swaps and horizon analysis work-outs.
• Can compare portfolios.
• Can store into a price history database, so past statistics can be used in the report writer.
• Comprehensive import formats.
• All output can be exported to a spreadsheet for further processing.
• Experimental:
  • Can handle liabilities and analyze bond refundings.
  • Equity portion of convertibles valued using artificial intelligence techniques for a range of stock growth rates. See How-To Notes.
• BondCalc has a complete help system that is totally context sensitive. Portions of it are excerpted here on this site.

The program is written in APL+DOS and runs under DOSBox on 64-bit Windows. A Windows version is being developed. Calculations and report formatting will be in APL, and will reside in an ActiveX server that Excel VBA will call. Data and parameters will be stored in Access. Program features are reached from a toolbar. See a full mockup of the screens and file structure.

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