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BondCalc Custom Portfolio Report Writer
Rows are each security in the portfolio.
Report Control
Master Data ID to Weight Average Columns by - If left blank it
will default to product of Market Value and Duration. Many
averages are directly calculated by BondCalc using all
portfolio flows and are not weighted. Note that Portfolio has
a Yield Calculation Comparion report that can be used to tune
the portfolio for the best weighting. Choices are:
0 - Product of Market Value and Modified Duration
6 - Market Value with Accrued Interest
7 - Price
9 - Par
Report Column No(s) to Sort by - You have a choice of primary,
intermediate and secondary sort columns. Use negative number
for descending.
Subtotals - BondCalc can only subtotal one level deep at this
time.
- Master Data ID - Use F3 to see list of columns. Use negative
number for descending sort.
- Check to subtotal after sort breakout - BondCalc frequently
calculates portfolio summary numbers using all projected cash
flows. However, at the present, when subtotaling, flows are
not grouped and subtotals will be calculated using a weighted
average.
- After Sort Breakout: 0-Blank Lines (the default), 1-Sub-total
heading, 2-Repeat Header, 3-Page Breaks, 4-Skip all Totals.
Columns Available to Select From
Accreted Price - If security was issued at a discount this will
show what the price is currently, calculated on the constant
yield method.
Accretion/Amortization Yield to Maturity - Based on the purchase
price and date BondCalc can calculate the yield to use to
construct a curve with a level yield.
Accrued Interest - as of the settlement date in the monetary
amount. [Presently it is only calculated on a straight line
basis. European methods will be added later.]
Accrued Interest (% of issue) - The amount due, as of the settle-
ment date, converted to percent of par.
Amortized/Book Value - Generally is a number feed in by the
accounting system or entered on the second input page. For
calculated number see column under Book Value.
Amount in Arrears - Generally is a number feed in by the account-
ing system. Its presence keeps a matured investment in the
portfolio.
Asset Growth Rate Center - Using the security's ticker the rate
from the globally designated equity table is used.
Average Life Date - The date corresponding with the average life
calculated using cash flows to maturity.
Average Life to Worst Date - The date associated with the average
life of the principal flows of the worst yield.
Average Life to Worst Numeric - This is the average life of the
cash flows associated with the worst yield.
Average Life Numeric - is the weighted average of the principal
flows to maturity. This column is in years.
After Tax Yield from Purchase -
Base Average Life -
Base Convexity -
Base Duration -
Base Prepayment Speed/Rate -
Base Price -
Base Yield -
Bond Equivalent Yield at Cost - is the IRR discounted cash flow
yield on the purchase date using the purchase cost.
Bond Equivalent Rate - The money market one. It equals
365 X CD Rate /360.
Book Average Life -
Book Convexity -
Book Duration -
Book Price -
Book Value, Tax - If purchase price and date have been entered
BondCalc will calculate the book value, after accretion or
amortization. [But not for all security types.] Also see
Amortized Value column choice that uses input on second input
page.
Book Yield -
Brady Stripped Yield -
Call Provisions - Has labels saying None, Has Call/Put Feature,
and Priced to Call/Put. Suggest using as column to subtotal on.
Call Type - Either American (callable at any time) or European
(callable ONLY on call dates).
CD Equivalent Rate - The money market interest bearing rate using
ACT/360 day counting.
Classification - is the alphanumeric name/code used to relate the
Spread over Treasuries Matrices with each Security when matrix
pricing.
Class #2 - is the alphanumeric name/code that when matrix pricing
can be an alternate spread matrix or an additive one.
Combo % - This is a field on the portfolio input which allows for
the combining of securities into a single line on the price/
yield convexity graph.
Comp Treasury to Issue's Average Life, NOT Interpolated - Using
the average life of the maturity flows it finds nearest number
in the yield curve.
Comp Treasury to Worst Average Life, NOT Interpolated - Using the
average life, from the flows to the worst yield, will take the
nearest number in yield curve.
Comparable Treasury to Issue's Average Life - Using the average
life of the maturity flows interpolate a number from the yield
curve.
Comparable Treasury to Worst Average Life - Using the average
life, from the flows to the worst yield, interpolate a rate from
the yield curve.
Conversion Premium - is the amount the secruity's price exceeds
its conversion value (i.e. the conversion ratio multiplied by
the current common stock price), expressed as a percentage of
the latter.
Conversion Price - is the stock price times one plus the
Conversion Premium.
Conversion Value - The number of shares underlying the holding
times the stock price found in the globally designated equity
table is used. This is the value for the deal amount.
Conversion Value (%) - The number of shares underlying each
security's Par times the stock price found in the ^E Equity
database. It is then converted to percent.
Convertible Period Ending - If the conversion rights will sometime
be ending in the future then this date ends them. See next date
for starting them.
Convertible Period Start - If there is initial a period when the
holder cannot convert then this date starts conversion rights.
See previous date for ending them.
Number of Shares Underlying Par Amount Converts Into - As input.
Convertible Payback - calculated using the equal dollar investment
method. For a discussion and formula see the help behind the
Convertible Payback selection on the AltF4 Calculations Menu.
The units is years using yield in display frequency.
Number of Shares Underlying Par Amount Converts Into - As input.
Generally called Conversion Ratio.
Par Amount For Underlying Convertible Shares - This is the amount
that the number of shares is divided into to get the price of
the underlying shares.
Convexity - the measurement of the relative curvature of the
price-yield curve.
Convexity to Worst - is the convexity of the cash flows used in
the yield-to-worst calculation.
Country - of issue. The code as entered in security.
Country - of issue. If country code is found in I.S.O. 3166
standard table it will be spelled out in a 24 character wide
column. Column width will narrow to longest country name.
Next Coupon Date - Especially helpful if security is MTN.
Coupon Rate (First) - In annual payout percent. There is also
another column for the second coupon rate, for instruments e.g.
DIBs, Zero-Pays.
Coupon Rate (Second) - This column exists mostly for Zero-Pay (or
DIB) issues.
Coupon Rate (s) - This column exists mostly for Zero-Pay (or DIB)
issues. It will either list the single coupon rate or the first
two rates.
Coupon/Compounding Frequency - of the underlying security.
Called the NATIVE frequency in BondCalc to distinguish it from
the DISPLAY compounding frequency that BC uses to return the
results.
Currency - of Issue. If dual currency then this is currency for
initial proceeds and interest. See next field for principal
repayment currency.
Current Call Price - will be blank if not yet callable.
Current Yield - is Market Price divided by Coupon.
CUSIP - the most popular identifier in the US.
CUSIP, Alternate - This is the identifier found on the last page
of the security input. Used in PAM price exports.
Daily Interest - Amount accruing per day.
Day Counting Convention - A code for the methods available:
1-30/360, 2-30e/360, 3-ACT/ACT, 4-ACT/360, 5-ACT/365, and
6-ACT/ACTe.
Days of Accrued Interest - calculated using issue's day counting
convention.
Days to Maturity - until the final cash flow.
Default Rate - is the annual rate of defaults or DPR.
Deminimus Flag - will have a 1 if the security was issued with a
price that is close enough to par that the IRS does not
consider it to have Original Issue Discount.
Description - A 12-character field on the bottom of the second
input screen.
Descriptive Label - includes amount, coupon, issuer, instrument
type, and due date.
Difference Between Nominal & Static Spreads - The difference
between the spread over the current yield curve and the constant
spread over the spot curve.
Difference between Zero Spread and Regular Spread (Maturity) - The
difference between the cash flow spread to Treasuries and the
Zero IRR Spread
Difference between Zero Spread and Regular Spread (Worst) - The
difference between the cash flow spread to Treasuries and the
Zero IRR Spread
Discount Rate - is not a yield but the percentage by which the
price differs from the par value adjusted to the annual basis.
Dispersion Type - Using the security's ticker the type from
the globally designated equity table is used.
Dividend Exclusion Flag - Column of "No"s unless equity and
corporate taxpayer.
Dividend Growth Rate - Using the security's ticker the rate from
the globally designated equity table is used.
Duration Equivalent Bond Spread - The difference between the cash
flow spread to Treasuries and the IRR on the Duration Equivalent
Bond. To Maturity.
Duration to Worst - This is the modified duration of the cash
flows associated with the yield to worst.
Dollar Duration - is Modified Duration multiplied by the current
market value of the security.
Duration, Functional (Key Rate) Duration - The duration of each
cash flow is calculated using the spot curve and then summed up.
Duration, Functional (Key Rate) to Worst - The duration of each
cash flow is calculated using the spot curve and then summed up.
Duration (Macauley) - This is the original duration. It is the
weighted average of the present value of the cash flows.
Duration (Modified) - or sometimes called Adjusted or Hicks. For
Effective Duration see OAS columns.
Ending, Effective - The date associated with the worst yield.
Also see column 352 which is Worst Date and says Non-Call when
issue has no calls.
FASB 115 Holding Type - Can be either: Trading, Held for Sale,
Hold for Maturity. Input is on third page of security input.
Favorable Income Differential per Share - is the annual interest/
dividend on the security less the dividend that would be earned
(if converted) divided by the Conversion Ratio.
Security Filename - is the name the Security is saved under. It
is 20 wide.
Floating Index Name - As input on F8-Extra Coupon Input Screen.
FX Rate on Purchase Date -
FX Spot Rate - If dual currency then this is rate for the initial
proceeds and interest currency. See next field for principal
repayment currency.
Horizon Return/IRR - Calculated by: (1) building the implied
forward yield curve (see help behind yield input screen), (2)
compounding each cash flow forward to the last date using the
rate interpolated from this curve, and (3) finding the IRR
between the aggregated cash flow on the last date and the amount
in time zero.
Horizon Return/IRR, Worst - IRR calculated using implied forward
yield curve. See above for methodology.
Index Column - Column of consecutive integers starting with 1.
Indicated Dividend - Using the security's ticker the amount from
the globally designated equity table is used.
Indicated Dividend per share - on Common Stock this is the amount
projected for the upcoming year. This is the amount when stock
was input in Input Schema M.
Input Schema Type - is the alphabetic designator for the different
input screens.
Interest Bearing Rate - money market rate using the native day
counting. If ACT/360 will be the same as CD Rate.
Investment Grade - For the 1st rating input field it will either
display a YES for investment grade (higher than or equal to
BBB-) or a NO.
Investment Grade - For the 2nd rating input field it will either
display a YES for investment grade (higher than or equal to
BBB-) or a NO.
Investment Grade - For the 6th rating input field it will either
display a YES for investment grade (higher than or equal to
BBB-) or a NO.
IRR to Maturity using Zero Spot Curve - Using the theoretical
curve each flow to maturity is discounted. The IRR is between
these flows and the initial purchase cost.
IRR to Worst using Zero Spot Curve - Using the theoretical curve
each flow to worst is discounted. The IRR is between these
flows and the initial purchase cost.
Issue Date - The original dated date of the security. It is not
needed for most calculations but is used to calculate accretion
on a security issued with an OID.
Issue Price - in percent as of the issue date.
Last Period Balance Difference - When running a Level Debt Type 5
on Input Schema F, this column will show the balloon or
difference that the last period principal is from the scheduled
amount.
Last PIK Date - As entered on the B input screens.
Long Term Capital Gains Flag - has a 1 if the long term rate was
used to calculate the after tax opportunity cost of disposal.
Market Conversion Price - is the market value (per par value)
divided by the conversion ratio.
Market Price - in percent with six decimals, as of the settlement
date.
Market Price - in percent with three decimals.
Market Price (in 32nds) - A variant that prints 32nds instead of
in decimal. If the price is not exactly a 32nd a + will be
appended.
Market Sector - is a numeric code entered on the bottom on the
second input page. The associated labels are entered on the
screen off F4 when on ShftF5 Parameter Screen or accessed with
AltM when in the security input.
Market Value (Inc AI), Current - The total or liquidation value of
the security. Includes accrued interest.
Market Value, Current - Price times par/principal amount held.
Market Yield - as of the settlement date in DISPLAY frequency.
It is the internal rate of return of the expected cash flows.
Market Yield - as of the settlement date in NATIVE frequency. If
money market it will be the rate. This column should be very
close to the coupon rate if the issue has a price of 100 and a
single non-zero coupon.
Accrued Interest - when matrix pricing. This is the same as
column 16, except will be different when matrix pricing at a
future date.
Calculated Price - Calculated based on the yield in column 458.
Coupon Adjustment -
Ending Date Used - the call date selected by the worst logic when
matrix pricing.
Duration in Future - This is used when doing a projected total
return, and we are matrix pricing in the future to work out the
ending portfolio value.
Ending Price - This is the call price on the selected worst option.
How End - A label with either 'CAL' or 'MAT' signifying what cash
flows were selected for the pricing. If was with a sinking
fund double-up it will have a number.
Life for Treasury Base - This would usually be the average life to
the ending selected. Could be to term if so selected on ShftF6.
This column is in years.
Market Value - The price calculated in column 459 times Par Value.
Percent of Sinking Funds at Workout - If this is not 100 then the
double-up option was factored into the yield-to-worst selection.
Par Value - The base amount of the security. If common stock
then this will be the number of shares. It will be the same as
column 9, unless one is matrix pricing in the future.
Spread Matrix #1 -
Spread Matrix #2 -
Spread Sector Differential - The sector code is entered on the
second security input page, and the spread tables are in a
database found on Ctrl-J.
Total Yield - This is the sum of the base treasury, the spread
matrix, and optionally a coupon adjustment, a sector
differential, or a second spread matrix.
Treasury Base - this is the case yield as found from the life in
the previous column number.
Maturity Date - or final payout date if preferred stock.
Maximum Percent of Sinking Funds Redeemable - Normally on a
sinking fund date the issuer can redeem only 100% of the sinking
funds scheduled for that date. Sometimes there is a double-up
option.
Market Conversion Premium per Share - is the Market Conversion
Price less the Current Market Price.
Market Conversion Premium Ratio - is the expression of Market
Conversion Premium per Share as a percentage by dividing by the
market price of the common stock.
Money Market Type - a numeric code designating the calculation
type:
1 - Discount Rate
2 - Interest Bearing
3 - Discount Rate/Interest Bearing
4 - Continuous Compounding
Mortgage Delay - in days. The delay before payment is processed
and received. Does not affect a call date.
Mortgage Lockout Period - in days. An initial period when pre-
payments are not allowed.
Mortgage Payment - per period as calculated.
Mortgage Pool Factor, Current - If entered will be listed. Factor
is multiplied against original principal.
Pool Number - as input on security screen.
Mortgage Prepayment Model - One of SMM, CPR, PSA, ABS, FACTORS or
PRININC. See Help Screen behind mortgage security input.
Mortgage Prepayment Rate - is the rate when the prepayment model
is SMM or CPR.
Mortgage Prepayment Speed - If using the PSA or FACTORS model the
speed will be listed.
Mortgageback Agency - blank = not a mortgageback or GNMA, FNMA,
FHLMC or CMO. As input on security screen.
Name, Issuer (inside file) - is the full line as entered on the
first row of the input screen. It is 40 wide. Also see version
truncated to 25 columns.
Name, Issuer (first 25) - This is the first label inside the
Security data file, BUT only the first 25 characters are shown.
Next Call Date -
After Tax Yield to Next Call Date - Sometimes called pretax
equivalent yield.
Yield to Next Call Date -
Next Call Price - This is truly the next. If security is
currently callable the current price is available in its own
column.
Next Coupon Amount - The monetary amount next receivable.
Next Sinking Fund Amount - The amount of the next, or the final
maturity amount if none.
Next Sinking Fund Date - The date of the next, or maturity date if
none.
Difference Between Nominal & Static Spreads to Worst - The
difference between the spread over the current yield curve and
the constant spread over the spot curve.
NPV to Maturity using Zero Spot Curve - Using the theoretical
curve each flow to maturity is discounted, summed up, then
netted against the purchase cost.
NPV to Worst using Zero Spot Curve - Using the theoretical curve
each flow to worst is discounted, summed up, then netted against
the purchase cost.
OAS Convexity - See discussion under OAS Duration.
OAS Duration - or sometimes called Effective Duration is an
improvement on modified duration as it incorporates the actual
price changes resulting from specified shifts in interest rates.
To calculate: (1) the benchmark curve is parallel shifted by a
nominal amount (see ^O screen), (2) the implied spot and forward
rates are recalculated, and (3) holding volatility and OAS
constant a new price is solved for.
OAS Price if Bullet - or Option-Free Price, is the implied price
for a non-call issue with the identical coupon and maturity. It
is the cost of the issue without the short position in the
embedded call option. Sinking funds, if any, are included.
OAS Price Value of an 01 - This is called Risk by the Bloomberg
system. See discussion under OAS duration.
OAS Spread - is the additional return expected to be generated by
the issue over its term relative to the risk-free return of a
benchmark bond. It is the constant spread that has to added to
each of the short rates in the binomial tree to get it to solve
for the observed price. If there were no calls or puts then
this would be the same as the Static Spread.
OAS Value - or Option Value. It is the value of the embedded
option and is the difference between the observed price of the
bond (with embedded calls) and the price of a hypothetical
bullet bond with the identical coupon and maturity. This
hypothetical price is calculated using the OAS Spread
calculated previously.
Option Free Spread - is the spread between the Option-Free Yield
and the benchmark rate at the issue's average life to maturity.
Option Free Yield - is the cash flow yield to maturity associated
with the bond's option-free price and represents the yield of
the underlying bullet.
Original Issue Amount - The sum of all the sinking funds entered.
Par Call Date - The date when the call price reaches 100.
After Tax Yield to First Par Call Date - Sometimes called pretax
equivalent yield.
Yield to First Par Call Date - If already par calls then it will
be the next.
Par Value - The base amount of the security. If common stock
then this will be the number of shares.
Par Value in Underlying Currency - Par left in original currency.
Par Value (000's) - The base amount of the security. This variant
is seven columns narrower than then full amount one.
Partial Effective Duration - is like OAS Effective Duration, but we
vary only one of the benchmark Treasury rates in the nominal
curve, then build a new implied forward curve, and then calculate
a duration.
Partial/Effective Duration Difference - is the difference beteen
OAS Effective Duration and the total Partial Duration.
Past Accretion/Amortization - is the difference between cost and
tax book value.
Percent Sinking Fund on Worst Date - will signify whether a
doubled-up sinking fund was included in the calculation of worst
yield. 100% signifies no double-up.
Percent Gain/Loss - is Market Value divided by Purchase Cost.
Percent of Interest - As input on the Security input screen.
Percent of Portfolio Value - Each issue's percent of the total.
Percent of Principal - As input on the Security input screen.
Predictions: Call for Cash Rule - when Call Price > Carrying Value
on foreign currency items. See help in single security input.
Predictions: Issuer Call Rule - when Market Value > Call Price.
See help in single security input.
Predictions: Put Rule - when Market Value < Put Value. See help
in single security input.
Predictions: Voluntary Conversion Rule - when Market Value >
Carrying Value. See help in single security input.
Premium Over Straight Value - for converts it is the security's
market price divided by the Straight Value.
Premium Payback Period - is the Market Conversion Premium per
Share divided by the Favorable Income Differential per share.
Pretax Yield from Purchase -
Price Basis - Usually 100 for percent. Sometimes 25 or 50 when
preferred stock.
Price Column Database #1 - Set characteristics in Reportwriter
with F8 at main screen.
Price Column Database #10 - Set characteristics in Reportwriter
with F8 at main screen.
Price Column Database #11 - Set characteristics in Reportwriter
with F8 at main screen.
Price Column Database #12 - Set characteristics in Reportwriter
with F8 at main screen.
Price Column Database #2 - Set characteristics in Reportwriter
with F8 at main screen.
Price Column Database #3 - Set characteristics in Reportwriter
with F8 at main screen.
Price Column Database #4 - Set characteristics in Reportwriter
with F8 at main screen.
Price Column Database #5 - Set characteristics in Reportwriter
with F8 at main screen.
Price Column Database #6 - Set characteristics in Reportwriter
with F8 at main screen.
Price Column Database #7 - Set characteristics in Reportwriter
with F8 at main screen.
Price Column Database #8 - Set characteristics in Reportwriter
with F8 at main screen.
Price Column Database #9 - Set characteristics in Reportwriter
with F8 at main screen.
Price to Maturity using Zero Spot Curve - Using the theoretical
curve each flow to maturity is discounted, summed and accured
interest subtracted. It is in percent.
Price to Worst using Zero Spot Curve - Using the theoretical curve
each flow to worst is discounted and summed. The lowest is then
selected.
Price Value of an 01 - to maturity. This is called Risk by the
Bloomberg system.
Pricing Input (User's) - This in the input in the price and yield
fields that was used for the calculations. It will not be
correct if the portfolio was matrix priced.
Provisional Call Premium - is the premium over the conversion
value that the stock must get before the accelerated call
becomes effective. (Usually in must remain over for 20 out of
30 days.)
Purchase Cost - The amount paid.
Purchase Date - The date the security was originally acquired. It
is used to calculate accretion of a purchase discount and amort-
ization of a premium.
Purchase Price (in 32nds) - A variant which uses 32nds instead of
decimals. Prices not exactly a 32nd will have a + appended.
Purchase Price - the price at which the security was acquired.
Any purchase prices of 0 will be excluded from average price
calculation.
Purchase Return Target Price - If a target return from purchase is
entered on the second input page the program will calculate the
sale price needed to achive that return.
Purchase Return Target Yield - This is the target return from
purchase as entered on the second input page. It is used to
calculate the sale price needed to achive this return.
Purchase Yield - Generally feed from an accounting system but
if not, BondCalc will try to calculate from purchase date and
price.
Put/Call Code - C-Call, P-Put, /2 signifies semiannual. BondCalc
can only handle one or the other at a time.
PV to Maturity using Zero Spot Curve - Using the theoretical curve
each flow to maturity is discounted and summed up.
PV to Worst using Zero Spot Curve - Using the theoretical curve
each flow to worst date is discounted and summed up.
Rating - The ratings are from the first rating input field.
Control over scales and values can be found on F8 on the
ShftF5 Report Parameter screen.
Ratings #1 and #2 - A column with the ratings from both the first
and second rating input fields.
Rating - This is the SECOND rating found on the second security
input page.
Rating #3 - A rating field on Alt-R Additional Rating Input popup.
Rating #4 - A rating field on Alt-R Additional Rating Input popup.
Rating #5 - A rating field on Alt-R Additional Rating Input popup.
Rating #6 - A rating field on Alt-R Additional Rating Input popup.
Rating #7 - A rating field on Alt-R Additional Rating Input popup.
Rating #8 - A rating field on Alt-R Additional Rating Input popup.
Rating, Weighted Average - An average based on weightings on the
Rating Control Screen.
Return in Base Currency - Finds IRR after converting cash flows
back to base currency.
Security Structure Type - Usually has labels of Bullet, Sinking
Fund, or Level Pay. Many other specialty types will be noted.
Security Type - Types beyond the defaults of bond, note, mortgage
and preferred stock are controlled by an input field at bottom
of second security input page.
Service Fee - An optional fee that will be added to the coupon
when calculating a level payment but is not paid to the holder
of the security. It may also include other fees that are
deducted and not passed on the the final holder.
Settlement Date - There are two ways that a portfolio holding can
have a starting date in the future: (1) when no ticket database
is designated - a purchase date in the future will push it out,
or (2) when using the ticket database - a ticket settling in the
future.
Sinking Fund Flag - has a column of Yes and No labels.
Sinking Fund Frequency - Numeric 1, 2, 4, or 12.
Spread over Zero Spot IRR (Maturity) - The difference between the
cash flow IRR and the Zero IRR calculated using a Zero NPV with
no spread over.
Spread over Zero Spot IRR (Worst) - The difference between the
cash flow IRR and the Zero IRR calculated using a Zero NPV with
no spread over. The lowest is then selected.
Spread over Floating Rate - If it changes over time then only the
first will be shown here.
Spread to Treasury/After Tax/Maturity - Using the average life
from the principal flows to maturity find the difference
between that Treasury and the after tax yield to maturity.
Spread to Treasury/After Tax/Worst - The difference between a
comparable Treasury using the average life from the principal
flows to the worst yield, and the worst after tax yield.
Spread to Treasury/Both/Worst - A variant using worst average
life and yield. It will be pretax for most instruments. It
will be after tax when there is a tax prefernce.
Spread to Treasury/Pretax/Maturity - The difference using the
maturity principal flows and pretax yield.
Spread to Treasury/Pretax/Worst - A variant using worst average
life and yield.
Standard Deviation - Using the security's ticker the rate from
the globally designated equity table is used.
State - as entered on the second page of security input. Used for
optional tax override when municipal issues. Good for sub-
totalling.
State - code input on the second page of security converted to
full spelling.
Static Spread to Worst - The spread that will make the present
value of the cash flow, when discounted at the Treasury spot
rate plus the spread, equal to the security's price. It is a
measure of the spread that the investor would realize over the
entire Treasury spot rate curve if the bond is held to the end
and the spot rates do not change. It is iteratively solved for.
Stock Name - Using the security's ticker the name from the
globally designated equity table is used.
Straight Value of Bond - for converts it is the net present value
of the future flows to maturity discounted by the credit spread
found on the F11 popup plus the yield interpolated from the
curve at the average life point.
Tax Preference - If any will list: InStMuni, OutStMuni, U.S.Govt,
ESOP, or SL Amort.
Tax Rate, Capital Gains - the rate used. May have tax preference,
e.g. ESOP.
Tax Rate - Marginal for Interest - Shows what rate BondCalc used
against the interest column. It may have had some tax
preference or exclusion and will show a small rate for an out-
of-state muni.
Ticker, Equity - The ticker of the parent company or the
security's if common stock. On convertibles it [will be] used
in analysis of the equity portion.
Treasury Price Off Of - This will tell the benchmark year if so
designated, or will have "Interp" if was the interpolated
default.
Type: Bond, Preferred or Common - has a column with Bond, Pfd,
Comm or Cash labels in it.
Unamortized Value - Generally is a number feed in by the
accounting system or entered on the second input page.
Stock Price - Using the security's ticker the value from the
globally designated equity table is used.
Underlying Asset Type - Using the security's ticker the code from
the globally designated equity table is used. They are:
1-Common Stock, 2-Oil, 3-Gold, 4-ADRs.
Underlying Asset Type - Using the security's ticker the code from
the globally designated equity table is used. They are:
1-Common Stock, 2-Oil, 3-Gold, 4-ADRs.
Underlying Yield on Common - Using the security's ticker the yield
is calculated from the globally designated equity table is used.
Unrealized Gain/(Loss) - The difference between Purchase Cost and
Market Value. If Amortized Value was entered on the second
input page it will be used instead.
User Code #1 - The first of five fields that the user can use for
custom indicators. They are at the bottom of the second page of
security input and are five characters wide. The column heading
label can be set using F7 on the ShftF5 Parameter Screen.
User Code #10 - Another of 10 fields that the user can use for
custom indicators. The column heading label can be set using F7
on the ShftF5 Parameter Screen.
User Code #2 - another user field.
User Code #3 - another user field.
User Code #4 - another user field.
User Code #5 - another user field.
User Code #6 - Another of 10 fields that the user can use for
custom indicators. The column heading label can be set using F7
on the ShftF5 Parameter Screen.
User Code #7 - Another of 10 fields that the user can use for
custom indicators. The column heading label can be set using F7
on the ShftF5 Parameter Screen.
User Code #8 - Another of 10 fields that the user can use for
custom indicators. The column heading label can be set using F7
on the ShftF5 Parameter Screen.
User Code #9 - Another of 10 fields that the user can use for
custom indicators. The column heading label can be set using F7
on the ShftF5 Parameter Screen.
Worst Date - The date associated with the worst yield. See also
Column 52, Ending, Effective.
Years to First Call - The time period from the settlement date
until the first call date.
Years to Term - A numeric of time remaining to the final cash
flow, usually maturity.
Years to Worst - is the years to the end of the cash flows used in
the worst yield calculation.
After Financing Yield -
Yield to Average Life (non DCF) - This is the yield of a hypo-
thetical straight issue maturing on the average life date (in
DISPLAY compounding frequency). It does not include doubled-up
sinking funds. Note that the phantom bond has coupon payments
in sync with your issue and has a fractional period at the end
(like an MTN).
Yield to Maturity, Pretax Equivalent - BondCalc will construct
the after tax cash flows to maturity. It will then take the
IRR of that stream and divide it by one minus the tax rate to
get a pretax equivalent.
Yield to Next Put - For zero coupon converts.
Yield to Worst - BondCalc will calc the yield to all call dates
plus all dates with the underlying flows doubled-up if security
has the option. The lowest is the worst, unless issue is
puttable then it will be the highest. In Display Frequency.
Yield to Worst (Both Pre/After Tax) - BondCalc will calc the yield
to all call dates. This variant uses the pretax number, and the
after tax is used in cases where there is a tax preference.
Yield to Worst, After Tax - after tax version of above. Uses
worst index from pretax number.
Yield Value of a 1/32 - to maturity.
+100 Average Life -
+100 Convexity -
+100 Duration -
+100 Ending Date - when security ends with a 100 point
instantaneous increase in the yield curve.
+100 Market Value - This is the change in value for a 100 bp
instantaneous increase in the yield curve.
+100 Pct Change - the percent that the market value of the
security changes for a 100 bp increase in the yield curve.
+100 Prepayment Speed/Rate -
+100 Price -
+100 Yield -
+200 Average Life -
+200 Convexity -
+200 Duration -
+200 Ending Date -
+200 Market Value -
+200 Pct Change -
+200 Prepayment Speed/Rate -
+200 Price -
+200 Yield -
+300 Average Life -
+300 Convexity -
+300 Duration -
+300 Ending Date -
+300 Market Value -
+300 Pct Change -
+300 Prepayment Speed/Rate -
+300 Price -
+300 Yield -
-100 Average Life -
-100 Convexity -
-100 Duration -
-100 Ending Date -
-100 Market Value -
-100 Pct Change -
-100 Prepayment Speed/Rate -
-100 Price -
-100 Yield -
-200 Average Life -
-200 Convexity -
-200 Duration -
-200 Ending Date -
-200 Market Value -
-200 Pct Change -
-200 Prepayment Speed/Rate -
-200 Price -
-200 Yield -
-300 Average Life -
-300 Convexity -
-300 Duration -
-300 Ending Date -
-300 Market Value -
-300 Pct Change -
-300 Prepayment Speed/Rate -
-300 Price -
-300 Yield -