The Yield Book Calculator The Yield Book OAS Pricing Level Indicative Data Price Yield (1) 16 Price Yiel

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1 The Yield Book Calculator

2 The Yield Book Calculator The Yield Book OAS Pricing Level Indicative Data Price Yield (1) 16 Price Yield (2) Historical Data Bond Swap ROR Scenario Rate of Return Forward Pricing Matrix PY Cashflows Prepay History WAL WAL Sensitivity

3 1. Windows [The Yield Book] [The Yield Book Calculator] The Yield Book Calculator [RUN] Java Web Start ID [] Enter ID [OK] 2

4 RUN Java Web Start 3

5 Citicorp 6.375% OAS 12 OAS Indicative Data ROR Scenario ROR Price Yield Forward Pricing Historical Data Matrix PY Bond Swap Prepay History Cashflows WAL WAL Sensitivity : : L : 3 JPY

6 3. 2/15, 5/15, 8/15, 11/

7 3. History 35 Setup 4 Locale [ ] [ ] Date Format dd/mm/yyyy mm/dd/yyyy [ ] [ ] Data Transfer Search Print Clear Stop Help What s This History Mail PDF English 6

8 Mail 7

9 [ ] 1 2 CMO c Citicorp 6.375% c 2006 Citicorp 2006 c 1/2006 Citicorp c 01/15/2006 Citicorp c Citicorp 6.375% 2006 c 1/2006 Citicorp c /15/2006 Citicorp 6.375% c 6.375,2006 Citicorp 6.375% 2006 c 6.375,1/2006 Citicorp 6.375% c 6.375,01/15/2006 Citicorp 6.375% c 6.375,1/ /30 Citicorp 6.375% bp 30 CUSIP GR4 Citicorp 6.375% yr 10 old10yr 10 +, - us 10-, % 2004 % ford% ford GHLC.% MBS CMO (N=FNMA, fnma F=FHLMC, G=GNMA) N94.40 N94.40 FD FD N94.40 FD 156/ FD 156bp 10 fnma 6 tba 6% TBA fnma % 1996 ID N

10 us % 11 USD GBP NZD ARS HKD PLN AUD HUF SEK BRL IDR SGD CAD JPY THB CHF KRW TRL CZK MXN TWD DKK MYR ZAR EUR NOK US DOM LBR ALG EGY LIT ANT EG LUX ARG FIN MAL AU FR MEX AUT GER MLT BEL GIB MOR BHS GRE NG BMU HK NL BRB HRV NWY BRZ HUN NZ BUL IND OMN CDA INO PAK CHI IRL PAN CHL ISL PER CI ISR PHI COL IT POL COS IVC PRI CYM JDN PTE CYP JP QAR CZR KOR RUS DNK LBN SA 9

11 5. MBS CMO 1 C Citicorp 6.375% c [ ] [ ] Enter MBS 2 GHLC.10 MBS GHLC.10 [ ] GHLC.% [ ] MBS PSA CPR Model MBS Model OAS OAS OAS 8. [ ] Enter CMO 3 FNMA01.53 CA CA 1. FNMA01.53 CA [ ] o Model 7. OAS 8. [ ] Enter 10

12 1: : MBS 11

13 6. Pricing Level OAS OAS [ ] [ ] 90 or 12d d 1/ , / or 27y y - 7ds ds CD 5cd cd 8c or 8p c p 8w w 4sy sy 120/i (bp) /i (i: ) 120/30 (bp) / 120c/10 (bp) c/ 120p/10 (bp) p/ 50/5 (bp) / 50/us7.625,25, 50/n (bp) /n 50bp 50/5n (bp) /5n 5 50bp 154m m 150er er OAS 55o OAS (bp) o :, (%) PSA, CPR, MHP, ABS, 50/i@250p m ( ), HEP, PPV p (PSA), c (CPR), h (MHP), a (ABS), e (HEP), V (PPV) 25v v vol 12

14 CMO [ ] 13

15 7. Indicative Data 3 Y: N: MW: Make-Whole Call WAM WAC CMO ABS PAC WAC WAM WALA CMBS WAC Weighted Average Coupon WAM Weighted Average Maturity WALA Weighted Average Loan Age PSA CPR

16 CMO CMBS ABS 15

17 8. Price Yield 1 OAS Vol 3 Vol :% Vol 1 CAP EDF SWAPTION CPR PSA Constant Prepayment Rate Bond Market Association PSA PSA: Public Securities Association Model ARM ABS MBS 16

18 2 DV01 1bp 10,000 17

19 8. Price Yield 2 T L WAL WAL WAL 200 OAS Option Adjusted Spread 200 DV01 1bp OAS WAL WAL OAS 1% 1 CPR PSA: 1 CPR PSA CPR PSA: WAL WAL CPR PSA 18

20 MBS MBS 10% Vol 13.0 CPR CPR Microsoft Excel 19

21 9. Historical Data OAS A B C 1 [ ] A B C A B [ ] Citicorp 6.375% C /2006 [ ] Citicorp Price [ ] Microsoft Excel 20

22 Price Microsoft Excel B 21

23 10. Bond Swap OAS PV01 PV FNMA 5.25% FNMA 3.6% FNMA= 1. [ ] 2. [ ] FNMA 5.25,04/07 [ ] 3. [ ] FNMA 3.6,10/04 [ ] 4. 2 PV01 PV01 5. [ ] [ ] [ ] [ ] US 3.5% US 5.75% US 4.375% US= [ ] US /15/2006 US /15/2010 [ ] 3. [ ] US /15/2007 [ ] 4. 3 PV01 PV01 & 5. 3 US 3.5% 6. [ ] 22

24 1 1 23

25 11. Scenario Rate of Return ROR -150bp to +150bp by step of 50bp 50bp -150bp +150bp -75bp to +75bp by step of 25bp 25bp -75bp +75bp -300bp to +300bp by step of 100bp 100bp -300bp +300bp Bull-Bear-Steep-Flat Combos (100) from 2 PCs 100bp Bull-Bear-Steep-Flat Combos (50) from 2 PCs 50bp USD 1-Year Principal Components Up/Down ROR ROR ROR Method ROR OAS OAS 0bp OAS ROR OAS Change OAS OAS OAS OAS OAS OAS bp ROR OAS 3 24

26 GM 6.25% GM 6.25,05/01/2005 [ ] 2. ROR OAS ROR 7. CMO 8. [ ] Enter ROR 25

27 12. Forward Pricing 1 CD CD BE 1 GM 6.25% GM 6.25,05/01/2005 [ ] [ ] [ ] [ ] [ ] CD [ ] [ ] [ ] 26

28 27

29 13. Matrix PY WAL ARM CMO Row Col PSA CPR ABS HEP (HEP: ) 1 /WAL/Bnch N N [ ] [ ] RowCol [ ] 28

30 29

31 14. Cashflows CPR 1 CPR 2% MBS GHLC.13 [ ] CMO , [ ] 2 100% MBS Model [ ] Microsoft Excel 30

32 CPR 2% 100% 31

33 15. Prepay History G28646X G28646X [ ] Microsoft Excel 32

34 CMO 33

35 16. WAL WAL Sensitivity WAL Weighted Average of Life CMO PAC CPR PSA LowHigh Step WAL PAC PAC PAC Range as of PAC Last Update Hrizon CPR PSA PAC PAC (PAC Range) PAC PAC None Found WAL WAL WAL WAL FNMA03.46 PU PU WAL 1. FNMA03.46 PU [ ] 2. WAL 3. PSA [ ] WAL 34

36 WAL 35

37 17. US 11.75% 2014 US= 1. US 11.75,2014 [ ] 2. 6 [ ] 6 6% Y N 5. 6 [ ] [ ] 8. [ ] [ ] [] 1 [ ] [ ] Mail/Download HTML 1 [ ] 36

38 Mail/Download HTML 37

39 30 30yr 5 old5yr 10 c10yr TINT TP When Issued USX AUT JGB US CANG, CTB FFTN, FFRG BOBL, BUND, TREU, BUNP, BUNS BTP, CTZ SPAG NDLD RPAU OLOB, BLDK DENK SWDK NKRG UKT CMO FNMA N94.37 P FNMA 1992-G6 FNMA92.G6 FHLMC 1255 F1255 FHLMC/GNMA FHLMCG3 FHLMC FHL.PC.7 FNMA FN.TR.201 GNMA 30 FNMA 30 FHLM 30 FHLG 30 FNCI 15 FHNG 15 FHNM 15 GNMG midget 15 FHBF Balloon 5 FHBS Balloon 7 FNBS Balloon 7 N pool ID G pool ID X G pool ID M F pool ID GHLC.18 MBS18 38

Microsoft Word - 付録-レコードフォーマット

Microsoft Word - 付録-レコードフォーマット付録レコードフォーマット付録 - 0 付録レコードフォーマット各明細種類に関して以下の条件でデータを作成してください項目の並び順は異なっていても問題はありません総合振込 2 種別コード H 数字 2 固定値 :21( 総合振込 ) 4 振込依頼人コード H 数字 10 振込依頼人識別のため銀行が採番したコード 5 振込依頼人名 H 文字 40 6 取組日 H 日付 4 振込日 :MMDD