BondCalc Custom Single Security Report Writer Columns Available to Select From

Actual Put Price - This field is for zero coupon converts. Puts
  are entered as a yield from issue. This is the calculated
  price. Column 6 will also auto-switch to puts for these
  instruments.

Amortized Price - The calculation of these numbers takes short
  cuts. If the call date is not on a coupon date then it will not
  be correct, but will be the value for the prior coupon date. To
  get a correct number run the after tax cash flow reports to the
  call dates. Also these numbers will be incorrect when there is
  sinking fund double-up.

Average Life Date - The date corresponding with the average life
  calculated using cash flows to each call date.

Average Life Numeric - is the weighted average of the principal
  flows to each date. Call price premium is not included. This
  column is in years.

Average Life Numeric with Reserve Bond - is the weighted average
  of the combined principal flows from the underlying security and
  a Tresury Bond held in reserve.

Average Life Date with Reserve Bond - The date corresponding with
  the average life calculated using cash flows to each call date.

Average Life Remaining on Call Dates - This is the number used
  for the yield curve interpolations when there is a Make Whole
  Call.

Call Dates - As input. A call in 30 days will have been added if
  call dates are already ongoing.

Call Date Accreted Prices - This will be 100 unless the issue has
  original issue discount and the call price is a percentage of the
  accreted price.

Call Price: Amount - This is the call price in the price basis
  units, usually 100. Use this column if you want preferred prices
  to show in their monetary price.

Call/Put Price: Percent - This is the call or put price on that
  date, depending on how the flag is set on the second input page,
  and depending if the security is a LYONs with puts. In the case
  of preferred, with a price basis other than 100, it will be
  converted to percent.

  If calculated using the Make-whole convention it (1) gets the
  future periods, (2) calculates the average life of remaining
  principal flows, (3) finds base Treasury rate using implied
  forward yield curve (unless set otherwise on yield curve input
  screen) (gets rate from matrix 30 days before call date), (4)
  adds premium, (5) discounts remaining issue cash flows using
  this rate in issue's native compounding, (6) divides by the
  principal and converts to percent, (8) subtracts accrued
  interest if between coupon dates, (7) rounds price to three
  decimals, and (9) floors it at 100 (or the accreted value if an
  OID instrument).

Comparable Treasury - Using the average life of the respective
  flows interpolate a number from the yield curve.

Comparable Treasury, NOT Interpolated - Using the average life of
  the respective flows it finds nearest number in the yield curve.

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. Units
  are years squared.

Periods from Settlement Date - In Issue Frequency.

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 - The
  difference between the cash flow spread to Treasuries and the
  Zero IRR Spread

Duration Bond Redemption (Ending) Date - The date corresponding
  with the last cash flows in the equivalent straight bond that
  has the same duration as the bond being priced. Note that this
  will not be calculated when offset sinking funds, when multiple
  coupon rates, when within a record date period or for
  perpetuities.

Duration Equivalent Bond Spread - The difference between the cash
  flow spread to Treasuries and the IRR on the Duration Equivalent
  Bond.

Duration Equivalent Bond IRR -

Dollar Duration - is Modified Duration multiplied by the current
  market value of the security.

Duration (Functional) - or Key Rate Duration. 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) -  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. (BondCalc takes a weighted average of
  the present value of the cash flows and divides by one plus the
  yield.) It is related to Macaulay Duration which is the
  weighted average of the present values of the cash flows but is
  not divided by one plus the yield. Note, however, that its
  usefulness is limited to small displacements in price/yield. It
  is shown here in the display frequency.

Duration (Modified) with Reserve Bond -

Effective Yield (Horizon Return/IRR) - Calculated by using the
  reinvestment rate input on the back input page, or if that is
  blank, the global reinvestment rate found on the ShftF5
  Parameter Screen.

ESOP Yield With Grossed Up Coupon -

Fraction between Call Dates & Preceeding Coupon Dates -

Horizon Return/IRR - It is done here to each call date using the
  global yield curve designated on ShftF6. BondCalc: (1) builds
  the implied forward yield curve (see help behind yield input
  screen), (2) compounds each cash flow forward to the last date
  using the rate interpolated from this curve (NOTE that this is a
  Treasury Rate, NO spread is added to it), and (3) finds the IRR
  between the aggregated cash flow on the last date and the amount
  in time zero. The result is always pretax. Note that with a
  zero coupon bond this number will be the same.

Horizon Yield in Base Currency - Finds IRR after converted cash
  flows back to base currency. [NOT IMPLEMENTED YET.]

Index Column - Column of consecutive integers starting with 1.

IRR 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.

Make Whole Breakeven Rate - This is the Treasury Rate when the
  make whole call price goes to 100.

Matrix Price - Uses Base Curve designated on ShftF6 screen as
  Treasury Yield. Also on ShftF6 can set Matrix Interpolation
  Type to either Term, Average Life, or Duration. Spread matrices
  in ShftF10 database must exist and be entered into security
  along with valid ratings or if they are mssing it will try to
  use a curve entered on the F11 popup box.

NPV using Zero Spot Curve - Following the methodology used in the
  Strip Valuation Report it is done here to each call date using
  the global yield curve designated on ShftF6 and the spread
  matrix entered on F11 pop-up or designated on the second input
  page. Each cash flow is discounted, summed up, then netted
  against the purchase cost. It is in percent without accrued
  interest.

NPV, After Tax - Calculated using the inputted discount rate.

NPV, Pretax -

Percent Sinking Fund - Percentage of allowable redemptions on
  respective call dates. It will be blank when 100% and note
  the row that is maturity. Note that this column will NOT work
  in a report in 123 format. Also note that this column will be
  removed when the issue has no calls.

Percent Sinking Fund - Percentage of allowable redemptions on
  respective call dates.

Periods from Settlement Date - In Issue Frequency.

Price - in percent, as of the settlement date. Unless backsolving
  is turned off, this is usually the input for calculations and
  will have the same price for all call dates. If backsolving has
  been turned off on ShftF5 then the same yield will be used and
  each call date will have a different price. Suggest including
  this column in reports.

Price as if Serial Bond off Curve: Price - Using either a curve
  input or a yield curve designated on F9 (at the input screen) it
  prices the security as if it were a series of bonds. Not
  implemented for multiple coupon rates unless it really is a
  serial bond.

Price as if Serial Bond off Curve: Yield - Using the price
  calculated in the above field is takes the IRR to get the
  eqivalent yield.

Price using Zero Spot Curve - Using the theoretical curve each flow
  to maturity is discounted, summed and accured interest
  subtracted. It is in percent.

Price Value of an 01 - in percent. Called Risk by Bloomberg.

PV using Zero Spot Curve - Using the theoretical curve each flow to
  maturity is discounted and summed up.

Base Return in Base Currency - Foreign currency issues are
  converted back to base currency desiginated on ShftF5 and then
  IRR is found. Exchange rates and growth rates are set on ^X.

Return with Reserve Bond - Using a reserve percent from the back
  page a Treasury to final maturity is puchase and the combined
  IRR is calculated.

Simple Yield - This method ignores the effect of compound
  interest. The domestic yen market quotes its coupon bonds this
  way. Must have single coupon rate. Yen market uses ACT/365 day
  counting. It is not used for zero coupon bonds.

Spread over Zero Spot IRR - The difference between the cash flow
  IRR and the Zero IRR calculated using a Zero NPV with no spread
  over.

Spread to Yield Divided by ESOP Factor - Difference between
  Treasury at average life and the yield after it has been divided
  by the ESOP Tax Factor, usually around 0.79.

Spread to Effective Yield - See discussion under Effective Yield.

Spread to ESOP with Coupon Grossed Up - Difference between Treasury at
  average life and the IRR of a psuedo-bond with a higher coupon.

Spread to Treasury/After FX Exchange - Using the average life from
  the principal flows to each call date find the difference between
  that Treasury and the respective yields converted back to base
  currency.

Spread to Treasury/After Financing - Using the average life from
  the principal flows to each call date find the difference between
  that Treasury and the respective after financing yields.

Spread to Treasury/After Tax - Using the average life from the
  principal flows to each call date find the difference between
  that Treasury and the respective after tax yields.

Spread to Treasury/Average Life - Difference between Treasury at
  average life and the Non-DCF yield to a synthetic straight bond.

Spread to Treasury/Before Taxes - The difference between the IRR,
  before tax effects, and the base yield using each call date's
  respective average life. The program finds a yield curve
  designated either (1) in the Yield input field or (2) entered as
  the base Treasury Yield Curve on ShftF6. If yield is in native
  frequency no adjustment will be made before finding the
  difference.

Static Spread - 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.

Periods from Settlement Date - In Issue Frequency.

After Financing Yield - Some bonds can be margined. If financing
  info is entered on the Alt-F popup screen (at single security
  input) a return will be calculated.

Yield to Average Life - This is a NON-DCF yield. It is the yield
  of a hypothetical straight issue maturing on the average life
  date (in DISPLAY compounding frequency). 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 Put - From issue date to put date in buyer point-of-view.

Yield Value of a 1/32 - in basis points.

Yield Divided by ESOP Factor - Display frequency yield (Column 27)
  divided by a number around 0.79.

Yield - as of the settlement date in DISPLAY frequency. It is the
  internal rate of return of the expected cash flows. It is
  sometimes the input but usually the program will flip a yield
  input to a price, giving different yields to each call date. An
  arrow '<' will point at the lowest yield (or highest if issue
  has puts). Use column 227 if six decimals wanted.

Yield - as of the settlement date in DISPLAY frequency. Same as
  Column 27 but with six decimals displayed. See that column for
  help discussion.

Yield in Issue Frequency - as of the settlement date in NATIVE
  frequency. This column should be very close to the coupon rate
  if the issue has a price of 100 and a single non-zero coupon.

Yield, After Tax Effects - is the pretax equivalent of the IRR of
  the after tax cash flows. BondCalc will construct the after tax
  cash flows to respective call dates. It will then take the IRR
  of that stream and divide it by one minus the tax rate to get a
  pretax equivalent.

After Tax Yield in Issue Frequency - as of the settlement date in
  NATIVE frequency. Not yet implemented for non-compounding
  instruments.