ZM Financial System's OnlineBondSwap.com provides an easy-to-use yet powerful analytical
tool for analyzing security trades and loan funding/leverage decisions.
Users can upload their securities portfolio and perform bond swap analysis and then determine if the purchase candidate provides an incremental earnings or OAS pickup over the sell candidates with an acceptable risk profile. Securities attributes are obtained by automatic links to the Interactive Data Corporation. Structured mortgage cash flows are provided by Markit.
Users can upload their loan portfolio and then analyze a securitization strategy or alternative funding strategies. User can analyze almost any type of loan structure against any combination of fixed or floating and bullet or callable funding.
User can easily change prices, sizes and include or exclude positions to simulate just about any strategy. Scenarios include standard parallel and slope shocks as well as ramping and other yield curve or assumptions distortions. This provides for virtually unlimited "what if" analysis.
Reporting is a snap as all output is exported directly to Microsoft Excel. The reports include a summary tab with separate detailed output on each tab.
- Market vs Book Gain or Loss
- Break-even analysis
- HTM, AFS, Trading impact
- Monthly balances by scenario
- Monthly income by scenario
- Monthly yield by scenario
- Effective Duration
- Effective Convexity
- Market Value change in scenarios
- Forward market change in scenarios
- Earnings change in scenarios
- Earnings pickup or shortfall
- Option-adjusted spread
- Internal rate of return
- Yield to worst, call, maturity
- Starting EVE and net income sensitivity directly from OnlineALM.com or manually from another model
- Layer on bond swap analysis
- See impact of bond swap on institution