Cost of Carry - Forward Rates

Cost of Carry is an analytical tool which allows the user to compare the yield and earnings generated by a bond or bonds relative to future expected financing rates. It is a tool primarily used by salespeople, analysts, and portfolio managers to determine relative profitability of individual investments and to compare two or more bonds (or groups of bonds) for a client's portfolio.

Features:

• Base case financing rates are 3 month Libor forward rates but users can override as needed
• Compares the yield on a bond (or portfolio of bonds) to expected financing (or funding rates) over any time horizon and cost of funds.
• Allows the user to compare the return on one bond or portfolio of bonds with another bond or portfolio of bonds over customized time horizons and funding scenarios
• Makes allowance for any principal pay-downs, calls, or changes in coupon
• Calculates the shift in forward rates needed to break even on the prospective investments
• Robust agency step-up call and yield approximations