Yield book manual

Consulting expertise is available upon request to work with you to create customized solutions for your analytic needs. Used by broker-dealers, institutional investors, government agencies, consultants and educational institutions.

Yield Book provides government yield and swap curves for Euro participating and non-participating countries. For US dollar securities, users have the choice of using an interpolated on-the-run curve or a proprietary off-the-run fitted yield curve, called the Treasury Model Curve. This curve, pictured in yellow in the graph, provides relative value analysis for treasury securities.

When doing pricing calculations, users can select whether their spread output is computed relative to a government, a swap, or a corporate credit curve. Prepayment projections are key to the analysis and evaluation of all mortgage backed securities. The mortgage Prepayment Model incorporation in Yield Book allows users the choice of running the model "as is" or customizing the model by modifying various "dials" for prepayment factors, including the effect of housing turnover or refinancing.

The sample page illustrates the effect of modifying the Refinancing Threshold on prepayments. Yield Book's interest rate models are calibrated using a term structure of volatility. This allows a more accurate evaluation of securities with embedded options e. The sample page below shows Yield Book's Curve Analysis page, which allows users to display and analyze current and historical yield curves.

The Delivery Option Model analyzes all of the underlying deliverable bonds, including any special financing rates. The Model DV01 is used for hedging and risk analysis. The Model Futures Price can be compared to the marked price to determine relative value trading the basis. To assist Portfolio Managers in analyzing their trade ideas and portfolio strategies, Yield Book is capable of addressing scenarios involving individual securities, multiple security types, or portfolios, and in one or more currencies.

Yield Book also provides the ability to easily customize reports. Automate Yield Book operations including portfolio uploads, pricing, scenario analysis, return attribution, report generation and downloads. Batch jobs can be set to run overnight on a daily, weekly, or monthly frequency, so that results are waiting for you the next day. Generate issue specific and portfolio Scenario Dependent Cashflows. In addition to the dozens of pre-defined reports, users can create their own customized report templates.

The rows can be individual securities or sectors averages. Get a better understanding of the sources of return for Individual Securities, Trades, and Portfolios including Dynamic Portfolios. By comparing the portfolio's return components and sector weightings to a benchmark, Yield Book measures the Issue Selection and Sector Weighting effects. Yield Book tracking error module conducts tracking error and risk decomposition analysis at the security, trade, portfolio, and portfolio versus benchmark level.

The sample page on the right shows total ex-default return distributions for a portfolio versus benchmark analysis; distributions are shown at the portfolio, benchmark, and portfolio versus benchmark level. Yield Book analytics calculate consistent yield, risk, and return measures for a broad spectrum of bonds, enabling users to perform analysis on portfolios composed of a wide range of fixed income security types.

Our continuously updated database maintains coupon rate, credit rating, redemption schedules, prepayment history, and other indicative data for a large number of securities. We provide daily Prices, Yields, Option-Adjusted Spreads, Effective Durations, and other calculated values for over 20, securities, including all securities in our Family of Indexes.

We also provide Matrix Pricing tools and benchmark data yield curves, volatility curves, "leader" prices, etc. The fitted Treasury Model curve can also be updated with real-time inputs and can be used for pricing. We provide historical Yields, Prices, Spreads, and other measures for securities, market benchmarks, and yield curves, dating back to as early as In addition to access to the Yield Book databases, each user is provided a personal database that can be used to store portfolio holdings, customized indexes, user created bond structures, and customized calculated values for any set of securities.

Yield Book customers have access to a set of FTSE Russell's domestic and international fixed income indexes, as well as select third-party indexes. This allows for the comparison of portfolios to their appropriate index benchmark. Comprehensive notes, tables, and other documentation of fixed income index data are available on this Web site. Click here. Since indexes are available on an issue level basis, customized indexes can be constructed by selecting and re-weighting any of the components.

Historical returns and descriptive measures are provided for fixed income indexes and published sectors since inception, since inception in In addition, statistical analysis can be performed on the historical measures, as well as re-weighting of the indexes. Yield Book architecture enables users convenience of running the system on their desktop computer via a dedicated connection or Internet connection, while accessing the power of our central calculation facility.

Integrate Yield Book with your accounting system, spreadsheets, and other applications by connecting it to your local area network. All historical data sets are stored in single cells, which allows for dynamic graphing capabilities while keeping spreadsheets clean. An integrated statistics package builds on historical data functionality, allowing for easy analysis.

Yield Book Add-In offers access to Yield Book's analytics libraries and fast calculation servers, allowing you to quickly calculate multi-path dependent measures like OAS and effective duration.

Additionally, users have the ability to define and manage their own securities. Login Logout. Spreadsheet Flexibility. Portfolio Analysis System Create a portfolio by simply referencing a list of securities and par amounts.

Contact Us. Email this Page. Download Fact Sheet. Customized User Inputs Provide your own data, including user bonds, curves, volatility surfaces, scenarios, partial durations, and prepayment model dials to customize analysis.