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In this issue we discuss enhancements made to our
security calculators.
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Kynex, Inc.
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Kynex Enhancements
Kynex has enhanced several
features of its fixed income analytics.
Below is a summary of our enhancements.
Fix-to-Float
and Changes to Payment Frequency, Day Count and Business Day Adjustments
Our calculators now accommodate
those securities whose coupons, pay frequency and business day adjustment
method change during the life of the security. Those securities issued with a
fixed coupon but which change to a floating coupon after an initial period
are fully implemented. Any number of fixed-to-float or float-to-fixed changes
are accurately valued and maintained. The ability to analyze these
instruments in terms of conventional measures such as yield and/or discount
margin allow you to setup effective trades.
Accretion
Methods
To handle the recent nuances of
various accreting structures in the market, we now support three additional
accretion methods: Principal Only, Principal Only (CD rollover) and Straight
Line. The Principal & Interest method is the most widely used, and it has
always been supported by our calculators.
We have seen these three new accretion methods used in new issues,
exchange offers as well as in zero coupon accreting bonds when the Co-Pa has
been triggered. The new accretion
methods will more accurately value the small percentage of structures that
have these features.
Price/Yield
Analytics Using Foreign Benchmark Curves
Kynex now provides the
flexibility of valuing a fixed income (non-convertible) instrument using a
yield curve whose currency is different from that of the security. Kynex first converts future cash flows
using forward FX rates into the foreign currency. The converted flows are
then discounted using the foreign curve, and the price is then converted back
to the security’s currency at spot.
PIK
Bonds & PIK Toggles
A full range of PIK price/yield analytics are now available for
standard PIKs, PIK
toggles and PIK floaters.
COMPLETE ARTICLE
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