BondOASTM is a Speed Demon

How Long to Value and Analyze 6,658 Callable Bonds?
Agency/Corporate/Muni Number of Issues Amt O/S
($bn)
Average Coupon Average Maturity Average
Price
Effective Duration
Fannie Mae 1,048 281.8 2.129 3.91    
Freddie Mac 1,141 274.9 2.209 3.27    
Federal Home Loan Banks 2,542 289.2 1.715 2.90    
Federal Farm Credit Banks 1,927 109.2 1.853 4.13    
Interest Rates
Treasury (%)
3-mth
    
6-mth
    
2-yr
    
3-yr
    
5-yr
    
7-yr
    
10-yr
    
30-yr
    
Rates From:
LIBOR Swap (%)
3-mth
    
6-mth
    
2-yr
    
3-yr
    
5-yr
    
7-yr
    
10-yr
    
30-yr
    
 
 
 
 
Selected Bond
FEDERAL HOME LN MTG CORP 5.4's due 03/17/2021
Issued 03/17/2006
Callable at 100.000 on 03/17/2016 (EUROPEAN)
Pmt Frequency
Semiannual
Amt Outstanding
225,000,000
Terms From:
Valuation
  Price
        
Accrued Int.
        
YTM
        
YTC
        
YTW
        
WAM
        
Sprd. to Treas. (bps)
        
Risk Analysis
  Duration Convexity DV 01         Scenario Analysis (1-yr Horizon)
Effective                              OAS to Trsy (bps)
        
  Yield Curve
Shift (bps)
-50 0 +50
Modified                              Volatility
30%
  Horizon
Return (%)
                          

v5.15  Copyright © 2012 Andrew Kalotay Associates, Inc.