BondOASTM is a Speed Demon

How Long to Value and Analyze 6,872 Callable Bonds?
Agency/Corporate/Muni Number of Issues Amt O/S
($bn)
Average Coupon Average Maturity Average
Price
Effective Duration
Fannie Mae 1,144 333.3 2.073 3.98    
Freddie Mac 1,084 306.8 2.167 3.47    
Federal Home Loan Banks 2,679 321.4 1.786 3.03    
Federal Farm Credit Banks 1,965 120.5 1.757 4.20    
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 5.18's due 06/22/2035
Issued 06/22/2005
Callable at 100.000 on 06/22/2015 (BERMUDAN)
Pmt Frequency
Semiannual
Amt Outstanding
50,000,000
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 (%)
                          

v5.13  Copyright © 2012 Andrew Kalotay Associates, Inc.