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BondCalc Reports and Graphs: Portfolios
If you press F6 you will get the single issue SECURITY Menu.
Selections made there will be processed in batch mode along with
the Portfolio output. WARNING: Printing for each Call Date could
produce voluminous output and may not be viewable with AltF5.
Statistics/Summary Report - lists a variety of results. Price,
Yield, Average Life, Duration, Convexity are all calculated using
ALL Portfolio cash flows. NO weighting is used. Also includes
subtotals for members of various categories. By default cash are
collected pretax, but they can be set to: after tax, after
financing, and multi-currency on the Shft-F6 Parameter Screen.
The distribution categories included in the report are controlled
on F9 over ShftF6 - Portfolio Parameters Screen. The default
numeric distribution groupings can be overwritten with input
entered on F8 over ShftF6.
Control Over Combined Cash Flows -
Pretax - The Basic cash flow report. It is the default if none of
these selections are made.
After Tax - Set tax rates on Shft-F3.
After Financing - uses pretax flows, then applies the leverage
information found in each security.
Multi-Curr - Set FX rates on Ctrl-X.
Combined Cash Flows Reports - is available in five ways of ending the
cash flows of the portfolio holdings. It requires that Portfolio
issues all have a principal amount entered or are all in percent.
ShftF6 controls grouping options. The report also produces a
combined IRR, both grouped and ungrouped. Setting the Printer Type
to 123 produces output in a .PRN format that can be inputted into a
spreadsheet (see help behind CtrlF4). A column for periods will
also be added. Note that running Weekly for several years will
produce long output and take a while to combine as zero rows are
maintained. If any liabilities are in the portfolio they will NOT
be included. Cash flow collection on Worst variation is also
sensitive to Worst Selection Method on ShftF6.
-> If Specific Date is chosen is will be mutually exclusive against
the other combining choices. It will also affect all other
portfolio calculations that are being done to worst. Set date
on Alt-O or enter in portfolio "Opt. Date" column which will
override Alt-O date.
-> Note that any CASH entered in the Portfolio will NOT be
included in report or IRRs.
REPORT LISTINGS
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Custom Reports - Reports must be first specified in the REPORTS data
base (accessed everywhere with ^R). [If you enter a C in the
selection column you can clone the portfolio with the new one
having the same data but using this new sort. You will be
prompted for a new file name.]
Portfolio Evaluation Using Matrix Pricing - Checking this box turns
on matrix pricing mode. Prices and yields at the security level
will be ignored. Program will not create a matrix yield if a
price, yield, or spread exists in the Portfolio level. If you enter
a C in the selection column you can clone the portfolio with the new
one having the calculated prices entered. If report creation is not
desired then can set +W pricing option on Alt-O Override Screen.
Uses Base Curve on ShftF6 screen as Base Treasury Yield. Also on
ShftF6 can set Matrix Interpolation Type to either Term, Average
Life, Option Free Yield or Spot Pricing. Spread matrices in ^M (or
ShftF10) database must exist and be coded into each security. (See
help behind ^M for more discussion.) Valid ratings must also
appear in each security. On the second page of the Portfolio
Report Menu you can set the calculations to use the issue's worst
flows (yield-to-worst). The default will use the cash flows to
maturity. Prints in data file order. Sort first. Market prices
and total will appear on this report but the results are not used
for any other Portfolio report in this calculation pass. If
printing in 123 format a column for CUSIP will be added.
--> This report can now be simulated in the report writer. The
column numbers would be: 101, 105, 104, 464, 469, 452, 453, 454,
458, 459, 460, 461.
Yield Curve Shift Analysis - computes the effect on the Portfolio
of a change in the Yield Curve. The analysis assumes that each
Security maintains it spread over the curve. To run this report
you must first enter two or three Scenario names on the Shftf6
Parameter Screen. The first will be the base curve. You then have
the option of entering one or two curves to compare against the
first. Prices are calculated to maturity. Prints in data file
order. Yields are in Native frequency and the total is in Display
frequency. [ESOPs not currently working.]
ALL Cash Flows Due - is a listing of the principal and interest
payments that the Portfolio has coming in. It is sensitive to the
Cut-off Date on the ShftF6 Parameter Screen. Use the global
Settlement Date to control starting date.
_________________________
Data for all GRAPHS can be printed by entering REPORT in the Graph
Device field on the Output Screen in Defaults. Setting Printer
Type to 123 will then make them spreadsheet importable.
Line Graphs - maximum seven lines per plot. Only a single line can
be plotted for each security. You have a choice of this line being
to maturity or selection of the worst yield (best price).
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Price/Yield Convexity - puts the IRR on the X-axis, calculates the
present value for each IRR and plots against the Y-axis. On
callable issues it will use the call date with the lowest yield.
This graph shows the sensitivity of the issue's price when the
yield changes.
Convertible Predictions Graphs - See Single Security Report Menu.
These will only print for the first seven in the portfolio but the
report of the graph numbers will include all. To control balancing
and set other parameters see F7 off ShftF6 - Predictions Parameter
Screen.
Yields-to-Worst Over Time - mirrors the version in the single issue
section, except only the first seven are plotted and here it only
plots yields-to-worst (if putable security or calculating prices
then best will be selected). To also get prices, YTM, and spread-
to-worst (and to save unnecessary calculation time) use Alt-P from
the main portfolio input screen.
Yields-to-Worst Difference - takes the first two lines of the above
graph and plots the difference between them. Use Alt-P from
the main portfolio input screen to get other line types.
Duration Decay - Holding yield constant graphs the declining duration
for each coupon date as the security reachs maturity.
Other Graphs
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Horizontal Bar Distribution Charts - have bars with the Total Amount
on the X-axis and the distribution type along the Y-axis. As the
portfolio amount can be calculated in Principal Amount and Market
Values the graph has both of these as clustered bars at each range
along the Y-axis. Available are distributions by: Coupon,
Maturity, Average Life, Duration, Rating, Class, (Columns: 1 2 3 4
104 105) and up to three of any column available in the report
writer. (Use F3 over menu to see list of available.)
Future Cash Flows Vertical Bar Chart - shows the cash amounts that
the portfolio will spin off over some chosen time horizon. There
will be a vertical bar for each periodicity chosen up to the cut
off date. Each stacked bar has Principal and Interest from the
Combined Cash Flow Report (which see above). It is also sensitive
to the Cut-off Date on the Shftf6 Parameter Screen. If these
parameters are changed while viewing the graph, the graph will be
redrawn to the new parameters. The graph can be composed of cash
flows ENDING on: 1-Maturity, 2-Next Call, 3-Worst Call, 4-First Par
Call, and 5-Specified Date. The TYPE can be either: 1-Pretax,
2-After tax, 3-After Financing, or 4-Converted back to Base
Currency.
-> If Specific Date is chosen is will affect all other portfolio
calculations that are being done to worst. Set date on Alt-O
or enter in portfolio "Opt. Date" column which will override
Alt-O date.
Pie Charts - split up the portfolio and build two pies, Principal
Amount and Market Value. Available are breakdowns by: Input Schema
(A-L), Rating, Class, and up to three of any column available in
the report writer. (Use F3 over menu to see list of available.)
Scatter Plot - The default has Yield on the X-axis and Duration on
the Y-axis or select from any numeric report writer columns.
Price to Yield Sensitivity Matrix - Report has ending variations as
available in the combined cash flow reports above along the top and
prices along the left. Set increment for prices on ShftF5 Report
Parameters screen. Note that After Financing will process the
portfolio a second time to collect numbers by varying each
security's price by the difference between the portfolio price
sensitivity vector and the portfolio price (at the vector's
center). If portfolio processing is set to multi-currency then the
pretax will become after FX.
Yield to Price Sensitivity Matrix - Same as above but left side has
Yields instead of Prices.
Portfolio Service Fee Totals - Left column has dates, second has
periods, and other are columns for the each security in portfolio
with service fees.
Diversification by Selected Code - Sorts by distribution category and
shows totals for each. A blank code defaults to Issuer. Use F3 at
menu to see list of codes available. Has columns for Par and
Market Value for monetary and percent of portfolio.
Credit Distribution - Prints distributions for the various rating
scales that can be inputed into the securities. Can have columns
for S&P, Moody's, NAIC, Best, and D&P. If weighting is set on (see
Rating Control Screen) then a Blended column will be included.
Weekend & Bank Holiday Analysis - Similiar to Cash Flows Due Report
above but only includes flows that fall on a weekend or holiday.
Shows days delay and if global yield curve is entered will include
opportunity cost. Note that it is sensitive to the cut-off date
settable on the ShftF6-Parameters Screen.
Aging Summary - With a perspective of 360 days and under report shows
amounts maturing in various day ranges. Many report writer codes
are available. Popular here are: Security Type-99, Issuer-300,
Market Sector-27, and Rating-104. [Under Development.]
Various Yield Calculation Comparisons - Prints portfolio yields
calculated using various weighted average methodologies and
compares them to BondCalc's Cash Flow IRR (the mathematically
correct way). The results of this report can be used to tune the
weighting used in the Report Writer for subtotalling and non-cash
flow columns.
Cash Available Report - This is a two section report. The first
shows the detail and summary by payment type. The second is a
daily recap report with a row for each day with activity, columns
for the payment type, and a daily balance column.
Closing Price Report when Ending on Specified Date - Only works when
ending on Specified Date is checked above and it has the -1 option
turned on. This option matrix prices the portfolio on the future
date and this report shows how this was done.
Securitization Package - This facility allows for the securitization
of commerical mortgages and other asset backed securities into a
Senior/Sub structure or a Senior only structure. Before running
one must fill out the input on the Alt-S Securitization input
screen. Checking this option will produce another menu upon
running.
Create PAM Standard Price Record File - Creates ASCII text file in
standard format for Princeton's Financial System's PAM accounting
system. Specify pathname on F10 off ShftF6 Portfolio Parameter
screen. If running only this option and matrix pricing then
numbers will be from the matrix pricing. If running other output
then numbers will come from general calculations.
Create 3 Column Price Record File - Similar to previous selection but
has columns for: CUSIP, Price, and Price Date (in MM/DD/YY).
Create 6 Column Price Record File - Has columns for CUSIP, Price
Date, Market Price, Market Yield, Duration and Average Life.
Create Valuation File for EJV/UniVu -
Sweep Prices into Price Database - Stores worst end dates, prices,
yields-to-maturity, yields-to-worst, and spreads-to-worst in
database for later use in custom reports. See Alt-P from Portfolio
input screen.
BondCalc Prices in Transfer Format - File that will allow another
user to bring in the prices to their securities or portfolios.
Next user uses the Import facility off the File Maintenance Menu.
Camra Price Record Format -
Export Securities in Portfolio - The securities that underly the
portfolio can be exported to another drive or path. The securities
can come from different source paths. If the name is in use in the
target path it will be overwritten. Path will be prompted for.
EJV/UniVu Security & Holdings Export - Full security descriptions in
ASCII file. Security only included if it passes all edits.
Holdings Export in CMS Private Placement Format -
Derivative Solutions IRD Files - Should only run this into a
completely empty directory.
Sinking Funds for PAM -
Yield Curve Shift +/- 100, 200, 300 b.p. - Produces an export file
with 41 columns, each separated by two spaces. The columns are:
Field Field No.
Type Length Dec.
1 First 10 char of filename Char 10
2 CUSIP Char 9
3 Average Life - Book Num 9 4
4 Market Yield - Book Num 9 4
5 Mod Duration - Book Num 9 4
6 Convexity - Book Num 9 4
7 Average Life - Flat Num 9 4
8 Market Yield - Flat Num 9 4
9 Mod Duration - Flat Num 9 4
10 Convexity - Flat Num 9 4
11 Market Price - Flat Num 12 6
12-41 repeated for +100, -100, +200, -200, +300, -300.
Clone Cash Flows - This option will take the cash flows to maturity,
prompt for a new file name, then create a new security using the
"N" input screen. If grouped (as set on ShftF6) and no flows are
in that period, then that date will be omitted.
Build Collective Sinking Fund File - Will put all sinking funds, from
all securities, into a file as named on Export Pathname screen on
F10 off ShftF6. Skips if no CUSIP in security file. Sinking funds
in past are included. Layout: 1-12 CUSIP, 13-21 Date in CCYYMMDD,
22-39 Amount.
Create ASCII Text File of CUSIPs - This format is suitable for the
municipal CUSIP list that Hub Data needs monthly to include the
issue in the month end prices. The columns are: CUSIP,
Description, Coupon, Maturity Date and State. File will be put in
path and filename specified on F10 off ShftF6. For Hub it should
be called HUBMUNI.TXT. It could be used for other purposes.
GAT IBS Sinking Fund Correction Format - Will put all sinking funds,
from all securities, into a file as named on Export Pathname screen
on F10 off ShftF6. Skips if no CUSIP in security file. Only
includes future sinking funds.
Camra Cash Flows -
Cash Flows Due Records - Columns: 1 - CUSIP, 2 - Pay Date,
3 - Principal, 4 - Interest, 5 - Security Filename. Like Cash
Flows Due report above. Cash flows will end based on date set on
ShftF6.
PRSWEEP Reorg - Reorganizes the Price Sweep database when names have
been changed. Expects CUSIP to the later part of security name.