The Yield Book Calculator
The Yield Book Calculator The Yield Book OAS 17 1. 2 2. 4 3. 6 4.. 8 5.. 10 6. Pricing Level 12 7. Indicative Data 14 8. Price Yield (1) 16 Price Yield (2) 18 9. Historical Data 20 10. Bond Swap. 22 11. ROR Scenario Rate of Return 24 12. Forward Pricing 26 13. Matrix PY. 28 14. Cashflows 30 15. Prepay History 32 16. WAL WAL Sensitivity 34 17.. 36. 38 1
1. Windows [The Yield Book] [The Yield Book Calculator] The Yield Book Calculator http://ybcalculator.yieldbook.com [RUN] Java Web Start ID [] Enter ID [OK] 2
http://ybcalculator.yieldbook.com RUN Java Web Start 3
2. 4 6 1 8 Citicorp 6.375% 2006 1 OAS 12 OAS 36 2 3 4 1 14 Indicative Data ROR Scenario ROR Price Yield Forward Pricing Historical Data Matrix PY Bond Swap Prepay History Cashflows WAL WAL Sensitivity 2 2 3 2 : : L : 3 JPY 1. 2. 4
3. 2/15, 5/15, 8/15, 11/15 120 2 3 4 1 2 3 4 5
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
Mail 7
4. 2 1 [ ] 1 2 CMO c 6.375 Citicorp 6.375% c 2006 Citicorp 2006 c 1/2006 Citicorp 2006 1 c 01/15/2006 Citicorp 2006 1 15 c 6.375 2006 Citicorp 6.375% 2006 c 1/2006 Citicorp 2006 1 c 6.375 1/15/2006 Citicorp 6.375% 2006 1 15 c 6.375,2006 Citicorp 6.375% 2006 c 6.375,1/2006 Citicorp 6.375% 2006 1 c 6.375,01/15/2006 Citicorp 6.375% 2006 1 15 c 6.375,1/2006 147/30 Citicorp 6.375% 2006 1 147bp 30 CUSIP 173034GR4 Citicorp 6.375% 2006 1 15 002560067 10 256 10yr 10 old10yr 10 +, - us 10-,2004+ 10% 2004 % ford% ford GHLC.% MBS CMO (N=FNMA, fnma94.40 1994-40 F=FHLMC, G=GNMA) N94.40 N94.40 FD 1994-40 FD N94.40 FD 156/10 1994-40 FD 156bp 10 fnma 6 tba 6% TBA fnma 7 1996 7% 1996 ID N313524 313524 38 8
us 2014 3 11.75% 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
5. MBS CMO 1 C 6.375 2006 Citicorp 6.375% 2006 1. c 6.375 2006 [ ] 8 2. 12 3. 4 4. 5. 4 5 16 6. [ ] Enter MBS 2 GHLC.10 MBS 10 1. GHLC.10 [ ] GHLC.% [ ] 2. 3. 4. 5. MBS 1 10 6. PSA CPR Model MBS Model 16 7. OAS OAS OAS 8. [ ] Enter CMO 3 FNMA01.53 CA 2001-53 CA 1. FNMA01.53 CA [ ] 2. 2 30o 3. 4. 5. 6. Model 7. OAS 8. [ ] Enter 10
1: 1. 2. 4. 5. 6. 3. 2: MBS 11
6. Pricing Level OAS OAS [ ] [ ] 90 or 12d 25 25 d 1/32 90-20, 90-20+ - 1/64 + 10 or 27y 25 25 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 :, 98@100m @ (%) PSA, CPR, MHP, ABS, 50/i@250p m ( ), HEP, PPV p (PSA), c (CPR), h (MHP), a (ABS), e (HEP), V (PPV) 25v v 95@6vol @ vol 12
CMO 10/i@250p [ ] 13
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 1 3 12 14
CMO CMBS ABS 15
8. Price Yield 1 OAS 19 10 Vol 3 Vol :% Vol 1 CAP EDF SWAPTION 2 3 2 3 10 3 30 CPR PSA Constant Prepayment Rate Bond Market Association PSA PSA: Public Securities Association Model ARM ABS MBS 16
2 DV01 1bp 10,000 17
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
MBS MBS 10% Vol 13.0 CPR CPR Microsoft Excel 19
9. Historical Data OAS A B C 1 [ ] A B C A B [ ] Citicorp 6.375% 2006 1 1. C 6.375 01/2006 [ ] 2. 3. Citicorp 1 4. 2 Price 5. 3 6. 7. [ ] Microsoft Excel 20
Price Microsoft Excel B 21
10. Bond Swap OAS 1 1 1 2 2 1 PV01 PV01 1 1 FNMA 5.25% 2007 4 FNMA 3.6% 2004 10 FNMA= 1. [ ] 2. [ ] FNMA 5.25,04/07 [ ] 3. [ ] FNMA 3.6,10/04 [ ] 4. 2 PV01 PV01 5. [ ] [ ] [ ] 6. 7. 2 [ ] US 3.5% 2006 11 US 5.75% 2010 8 US 4.375% 2007 5 US= 1. 2 1 2. [ ] US 3.5 11/15/2006 US 5.75 08/15/2010 [ ] 3. [ ] US 4.375 05/15/2007 [ ] 4. 3 PV01 PV01 & 5. 3 US 3.5% 6. [ ] 22
1 1 23
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 1 1 2 3 ROR ROR ROR Method ROR OAS OAS 0bp OAS ROR OAS Change OAS OAS OAS OAS OAS OAS bp ROR OAS 3 24
GM 6.25% 2005 5 1. GM 6.25,05/01/2005 [ ] 2. ROR 3. 4. 5. 0 6. OAS ROR 7. CMO 8. [ ] Enter ROR 25
12. Forward Pricing 1 CD CD BE 1 GM 6.25% 2005 5 1. GM 6.25,05/01/2005 [ ] 2. 3. 1 104.795 1.10 4. [ ] 2 1 5. [ ] [ ] 6. 104.795 103.00 7. [ ] CD 3 1 8. [ ] [ ] 9. 1 104.795 1.10 10. [ ] 26
27
13. Matrix PY WAL ARM CMO Row Col PSA CPR ABS HEP (HEP: ) 1 /WAL/Bnch N313524 313524 1. N313524 [ ] 2. 100 3. 4. 5. [ ] 6. 7. RowCol 100 0.01 [ ] 28
29
14. Cashflows CPR 1 CPR 2% MBS 13 1. GHLC.13 [ ] 2. 2 3. CMO 4. 5. 100,000 6. [ ] 2 100% MBS 13 1 7. 3 8. 9. Model 10. 11. [ ] 12. 1 2 Microsoft Excel 30
CPR 2% 100% 31
15. Prepay History G28646X 28646 1. G28646X [ ] 2. 3. Microsoft Excel 32
CMO 33
16. WAL WAL Sensitivity WAL Weighted Average of Life CMO PAC CPR PSA LowHigh Step WAL 200 0 1000 5 10 5 5 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 2003-46 PU WAL 1. FNMA03.46 PU [ ] 2. WAL 3. PSA 4. 0 2000 1 5 [ ] WAL 34
WAL 35
17. US 11.75% 2014 US= 1. US 11.75,2014 [ ] 2. 6 [ ] 6 6% 3. 1 4. 3 Y N 5. 6 [ ] 6. 2 7. 1 [ ] 8. [ ] [ ] [] 1 [ ] [ ] Mail/Download HTML 1 [ ] 36
Mail/Download HTML 37
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