BondOASTM is a Speed Demon

How Long to Value and Analyze 6,747 Callable Bonds?
Agency/Corporate/Muni Number of Issues Amt O/S
($bn)
Average Coupon Average Maturity Average
Price
Effective Duration
Fannie Mae 1,054 295.8 2.119 3.86    
Freddie Mac 1,149 284.5 2.179 3.29    
Federal Home Loan Banks 2,585 300.0 1.705 2.93    
Federal Farm Credit Banks 1,959 113.8 1.822 4.10    
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 5.625's due 11/23/2035
Issued 11/22/2005
Callable at 100.000 on 11/23/2015 (BERMUDAN)
Pmt Frequency
Semiannual
Amt Outstanding
768,753,000
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.