BondOASTM is a Speed Demon

How Long to Value and Analyze 6,133 Callable Bonds?
Agency/Corporate/Muni Number of Issues Amt O/S
($bn)
Average Coupon Average Maturity Average
Price
Effective Duration
Fannie Mae 1,027 257.8 2.188 3.54    
Freddie Mac 1,102 241.8 2.248 2.98    
Federal Home Loan Banks 2,212 202.9 2.189 3.29    
Federal Farm Credit Banks 1,792 94.4 2.009 4.02    
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 NATL MTG ASSN 6.21's due 06/05/2036
Issued 06/05/2006
Callable at 100.000 on 06/05/2017 (BERMUDAN)
Pmt Frequency
Semiannual
Amt Outstanding
140,000,000
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.