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«Bond Calculator Bond calculator is designed to calculate analytical parameters used in assessment of bonds. The tool allows calculating prices, ...»

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Cbonds.Ru Ltd.

Pirogovskaya nab., 21, St. Petersburg

Phone: +7 (812) 336-97-21

http://www.cbonds-group.com

Bond Calculator

Bond calculator is designed to calculate analytical parameters used in assessment of bonds. The tool

allows calculating prices, accrued coupon interest, various types of bond yields, duration, as well as

modified duration, curve, PVBP, making it possible to analyze volatility of the debt market instruments and

assess how bond price changes with the yield.

Software interface allows viewing key issue parameters and simulating them. It is also possible not only to analyze traded issues, but also to simulate bond cash flows and create user models.

Using the calculator Terms and Definitions Bond Classification Face Value, Lot of Multiplicity Minimum Denomination, Minimum Trading Lot Accrued Coupon Interest Calculating the Number of Days between Dates Designations Calculated Values Bond Yield Yield to Maturity Effective Yield to Maturity Nominal Yield to Maturity Simple Yield to Maturity Yield to Offer Yield to the Next Coupon Current Yield Adjusted Current Yield Volatility, Duration, Convexity Years to Maturity Macaulay Duration Modified Duration Price Value of Basis Point (PVBP) Convexity (Conv) Spreads (G-spread, T-spread) References and Contact details © Cbonds.ru 1 Using the calculator To continue working with the calculator, you need to load the issue from the database or create a bond model.

Loading Issues from Cbonds Database

1. Enter either the issuer, or the issue registration number, or ISIN in the search bar, and click "Search".

2. Select a bond issue from the opened list and press "Load".

Creating a Bond Model

1. Click the button "Create a Model" and choose the type of the bond you want to create (coupon bond / discount bond).

2. Fill in the issue parameters.

Calculating Bond Parameters The calculator allows computing analytical parameters either based on the known bond price, or based on the given yield. Price of the bond is the input value by default. To calculate bond parameters based on the given yield, click "Calculate Price from Yield".

Bond price can be shown as a percentage of face value, or directly in units of face value. You can make your calculations based on the known "net price" of the bond (price excluding ACI), or "dirty price" (including ACI). By default, calculations are made from the net price shown as percentage of face value.

Using the Constructor Mode

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Use "Add" button to add coupon payments to an existing coupon chart.

Cash flow on the bond can be edited directly in the table (you can change the date, coupon rate, coupon payment and redemption amount). After editing the cash flow parameters, select respective lines in the stream and click "Update". The system will then recalculate the coupon payments based on your edit.

To delete lines from the "Cash Flow" table, select the lines and click the "Delete" button.

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To continue working with the calculator, you need to load the issue from the database.

Loading Issues from Cbonds Database

1. Enter either the issuer, or the issue registration number, or ISIN in the search bar.

2. Select a bond issue from the opened list and click.

Calculating Bond Parameters The calculator allows computing analytical parameters either based on the known bond price, or based on the given yield. Price of the bond is the input value by default. To calculate bond parameters based on the given yield, click "Calculate Price from Yield".

Bond price can be shown as a percentage of face value, or directly in units of face value. You can make your calculations based on the known "net price" of the bond (price excluding ACI), or "dirty price" (including ACI). By default, calculations are made from the net price shown as percentage of face value.

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Bond is a security bearing an obligation of the issuer to pay its holder (lender) the face value or an equivalent in property at the end of the tenor. A bond may also include the holder's right to receive a percentage of the face value stipulated therein, or other property rights.

Eurobond is a security issued in external (international, offshore) bond market with the following characteristics: international syndicates act as the underwriters; bonds are simultaneously placed with investors from different countries; bonds are issued outside the jurisdiction of any specific country and do not have to be registered. Securities issued both in the domestic and external markets are called global bonds.

Foreign bonds are bonds issued in the domestic market of another country. Issuers of the foreign bond market are not officially registered in the country, where the bond is issued and traded.

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Depending on the method of interest payment:

1. Interest bearing bonds:

- coupon bonds (bonds with periodic coupon payments)

- accrual bonds (at maturity investors are paid the bond's face value together with the accrued coupon interest)

2. Zero-coupon bonds (bonds paying no coupon interest). Investors in zero-coupon bonds, as a rule, earn on the difference between the placement price and the face value.





Depending on the method of income generation:

1. Fixed permanent coupon bonds

2. Fixed variable coupon bonds

3. Floating rate bonds

4. Index-linked bonds

By method of face value repayment:

1. Bonds with redemption of face value in one payment in the end of tenor

2. Bonds with repayment in installments distributed over time (amortization)

Depending on early redemption terms:

1. Bonds without an option of early redemption

2. Bonds with a call option (redemption is initiated by the issuer). The issuer has the right to fully or partially repay the debt before the maturity date.

3. Bonds with a put option, including:

a) bonds with an option of early redemption initiated by the investor The holder has the right for redemption of the bond at a predetermined price on the agreed date.

b) bonds with an option of resale (early repurchase) initiated by the investor (Russian analogue is the bond with irrevocable offer, which can be traded after the sale). Holder of such bonds has the right to sell them back to the issuer at a predetermined price on an agreed date.

–  –  –

Face Value Face value of a bond is par value set by the issuer and is usually indicated directly on the security.

The notion of outstanding face value applies to bonds structured with amortization. It is a part of the face value remaining after partial repayments of par over the life of the bond. Analytical indicators on such bonds are calculated based on the outstanding face value.

Lot of Multiplicity Lot of multiplicity (denomination increment, trading lot increment) is the minimum number of securities at face value, with which settlement and depository operations are performed.

Minimum Denomination Minimum denomination (minimum trading lot, minimum trading volume) is a parameter of a certificated bearer Eurobond. The borrower determines the total size of the issue at face value, the lowest denomination and denomination increment Depositary can register trade and settlement transactions only if the amount of securities exceeds the minimum denomination (for example, USD 100,000) and is a multiple of the denomination (e.g., USD 1,000).

Minimum Trading Lot Minimum trading lot is the minimum amount of securities at face value, available for sale. Cash flow on the bond is calculated from the minimum trading lot.

Coupon Coupon is a periodic interest payment made during the life of the bond. Coupon is calculated as a percentage (per annum) of face value and/or an amount payable to bondholders.

Accrued Coupon Interest Accrued coupon interest (ACI) is a value measured in monetary units, and characterizing the part of coupon income, which has "accrued" from the beginning of the coupon period. Coupon on the bonds is paid periodically, usually once every quarter, six months or a year. Accordingly, when one coupon is paid and the next coupon period begins, the coupon begins to "accrue". On the coupon due date, investors receive a coupon payment for the respective coupon period, and ACI is zero. Calculating this indicator is important due to the fact that in most markets, bonds are traded at so-called "net price" excluding the ACI (there are exceptions, however: for example, in the bond market of Ukraine bonds are quoted at full price). Thus, in order to get the full price payable by the bond buyer to the seller (also known as "gross" price), one needs to add ACI to the net price.

t t A  Ci 0 i 1 ti  ti 1 ACI may also be expressed as coupon rate in percentage points (usually these are the formulas given in issue

prospectus), rather than the coupon size in monetary units. Then the ACI formula will be as follows:

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Calculating the Number of Days between Dates Days calculation method determines the formula used to calculate the notional number of days between the starting and ending dates of the ACI period, and the notional number of days in a year (calculation basis). The choice of method affects the discount value when calculating analytical parameters of the bond.

For Russian bonds, the generally used method is Actual/365F; for Ukrainian bonds, we usually use methods 30/360 or Actual/365F; 30E/360 is the most commonly used method for Eurobonds.

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Starting date: D1.M1.Y1 (day.month.year) Ending date D2.M2.Y2 (day.month.year) Difference between the dates (Day count) = (Y2-Y1)*360+(M2-M1)*30+(D2-D1) 30/360 German (other names: 30E/360 ISDA) Source: 2006 ISDA Definitions (Section 4.16(h))

D1 and D2 adjustment rules:

• if D1=31, then D1=30

• if D2=31, then D2=30

• if D1 is the last day of February, then D1=30

• if D2 is the last day of February, then D2=30 The last day of February: February 29 in any leap year, February 28 in any non-leap year.

30/360 ISDA (30/360) (other names: Bond Basis, 30-360 U.S. Municipal) Source: 2006 ISDA Definitions (Section 4.16(f))

D1and D2 adjustment rules:

• if D1=31, then D1=30

• if D2=31 and D1=30, then D2=30 30/360 US (other names: 30U/360, 30US/360)1

D1 and D2 adjustment rules:

• if D1=31, then D1=30

• if D2=31 and D1=31, then D2=30

• if D1 is the last day of February, then D1=30

• if D1 is the last day of February and D2 is the last day of February, then D2=30 Last day of February: February 29 in any leap year, February 28 in any non-leap year.

30E+/3601

D1 and D2 adjustment rules:

• if D1=31, then D1=30

• if D2=31, then D2.M2.Y2 is the first day of the following month ((D2=1; Y2=Y2+integral part((M2+1)/12); M2 = ((M2 +1) mod 12) – remainder of dividing (M2+1) by 12)

–  –  –

Actual/360 (other names: Act/360, French) Source: 2006 ISDA Definitions (Section 4.16(e)) Number of days in the period is calculated as the difference between the dates without any adjustments, based on 360day year. Calculation basis = 360.

Actual/365A (other names: Actual/365 Actual) Source: The Actual-Actual Day Count Fraction (1999)(Section 2 (с)) Number of days in the period is calculated as the difference between the dates without any date adjustments.

Calculation basis = 366, if the leap day (February 29) falls on the period, otherwise ACI calculation basis = 365.

Actual/365F (other names: Actual/365 Fixed, English) Source: 2006 ISDA Definitions (Section 4.16(d)) Number of days in the period is calculated as the difference between the dates without any date adjustments.

Calculation basis = 365.

Actual/365L (other names: Actual/365 Leap year)1 Number of days in the period is calculated as the difference between the dates without any date adjustments.

Calculation basis = 366, if the end date of the period falls on a leap year, otherwise ACI calculation basis = 365.

Actual/Actual (other names: Act/Act, Actual/Actual (ISDA)) Sources: 2006 ISDA Definitions (Section 4.16(b), The Actual-Actual Day Count Fraction (1999)(Section 2 (a)) Fractional number of days = (Number of days in the period, which falls on a leap year) / 366 + + (number of days in the period, which falls on a non-leap year) / 365.

Actual/Actual (ISMA) (other names: Actual/Actual (ICMA)) Sources: 2006 ISDA Definitions (Section 4.16(c), ISMA Rule Book (Rule 251.1 (iii)), The Actual-Actual Day Count Fraction (1999)(Section 2 (b)) In this method, all coupon payments are always the same size. ACI is the same for every day of the coupon period.

Size of the coupon payment is equal to the annual coupon rate divided by payment frequency per year and multiplied by face value of the bond. Number of days in the period is calculated as the difference between the dates without any date adjustments.

Fractional number of days = Number of days in the period / ((number of days in the current coupon period)*(number of payments per year)).

Actual/364 - instance Actual/Actual (ISMA), when the coupon period is 91 or 182 days. Used for some short-term securities. Calculation basis = 364.

NL/365 (other names: Actual/365 No Leap year, NL 365)1 Number of days in the period is calculated as the difference between the dates without any date adjustments.

1 is deducted from the number of days in the period, if the leap day (February 29) falls on this period. Calculation basis = 365.

–  –  –

Fractional number of days means the number of days in the period divided by the number of days in the year (ACI calculation basis). Depends on the ACI Calculation Method applied.

–  –  –



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