14-09-2015 by 
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Dear Fixed Income Professional and Bond Investor,

We invite you to take advantage of the excel based Bond Analytics prepared for Nigerian Bonds by the Quantitative Financial Analytics Co Ltd. This analytics is unique because it has almost all that you need to make decisions on your bond positions already precalculated. With the analytics, you have  the following information at your finger tips:

(1) when the next coupon will be paid,

(2) how much interest has been accrued on a particular bond as at report date,

 (3) the number of days interest has been accrued since the last coupon date,

  (4) the annual coupon on a particular bond

 (5) How many years before a bond matures

(6) The Yield to Maturity

(7) The current Yield

(8) Maturity Alert letting you which bond will mature soon

(9) A bond simulation tab that lets you simulate the value of you actual bond holding by changing just one cell on the excel sheet

(10) Risk Analytics that shows you how a basis point (bsp) change in yield will affect your bond portfolio.

(11) A Glossary that explains some of the concepts or data points on the analytics report.

This is a first of its kind in Nigerian Bond Analysis.



                                                       Glossary To Bond Analytics

Current Yield:

The current yield is the annual return on the Naira amount paid for a bond, not regarding its maturity. If you buy a bond at par, the current yield equals its stated interest rate.


Yield To Maturity:

Yield to maturity tells an investor the total return that will be received if the bond is held  until maturity. It  enables the investor to compare bonds with different maturities and coupons. The YTM is analogous to the internal rate of return used in capital budgeting. It is a measure of the rate at which the investment grows. 

Macaulay Duration

Wall Street bond expert Michael Brandes, in his book "Naked Guide to Bonds," defines duration as "the percentage change in a bond's price given each 1 percent rise or fall in interest rates." Therefore a bond with 6 years' duration would rise or fall by approximately 6 percent, while a 20-year bond with a 12-year duration would rise or fall by approximately 12 percent for every 1 percent change in rates.


Duration and DV01 (dollar duration) measure price sensitivity and provide the basic risk measure for bonds  and other fixed income instruments. The modified duration is measured as the percent change in price per 1 percentage point change in yield. The DV01 is the change in price per change in yield 

Accrued Interest

accrued interest is the total interest accumulated on a bond since its last coupon date. interest accrues between coupon payments on a pro-rated basis. The accrued interest is paid by the buyer of a bond to the seller; the issuer is not involved in the process. The accrued interest payment is added to the market price, so bonds will always cost more than the quoted price. 

Accrued Days

This shows  how many days the current investor of a bond has held it since the last coupon payment date.

 Next Coupon Date

This data shows the next time interest on a particular bond will be paid

 Next Coupon Value

This metric tells you how much the next interest payment will be. This does not depend on how long you have held the bond because for those  that bought between coupon payment dates, the accrued interest up to the date of purchase was already paid as part of the purchase price. 

Annual Income

This shows how much interest a bond pays in a year. Note that most bonds pay interest twice a year and this metrics helps in  planning about the cash flow derivable from a bond investment.

 TTM (Years)

TTM stands for Time (Term) To Maturity which means the number of years before a bond matures. It helps an investor to know precisely how long more he has to hold a bond before getting the principal investment back.

                                                     How To Use The Analytics


The analytics is a very valuable decision making tool for bond investors because it has almost all the decision variables pre-calculated for you. However, the analytics is based on a N1000 bond value, anyone can apply it to his/her situation by using the simulation tab.



As noted above, the DV01 is the change in price of a bond per 1BSP change in yield. With this it is possible to find out in advance the extent to which the price of a bond, and by implication the value of a bond portfolio by using the DV01. All you need to do is to identify the bond on the Fixed Income Analytics Report, find the DV01 and multiply that by the change in yield. As an example, using the Bond quote that appeared on the FMDQ web site on September 3, 2015, you can see that the yield for FGN_15.10 27-APR-2017 expanded by .02%  from 15.78 to 15.81(for bid yield) and from 15.68 to 15.70 (for offer yield), meaning that the yield expanded .03, and  according to the Bond Analytics Report, the DV01 for that bond is .01, so multiplying .01 by .03 and by 100, would give .03, implying that the price of that bond will go down by .03, from N98.98 to N98.95 With that metric (DV01), you can figure out by how much your bond position or portfolio will change if yield changes by a certain number.

Inverse Yield Price Relationship:

Note that because of the inverse relationship between yield and Bond price, the price will move in the opposite direction of the movement in yield changes. In this case, since yield expanded, prices will contract.

 Maturity Alert

The last column on the Analytics report is the Bond Maturity Alert, which lets you know bond that will be maturing soon. his alert is very useful in that it helps you to plain on possible reinvestment of the matured bond proceeds and helps you manage reinvestment risk.

Bond Risk

This shows how much your bond value will change if the price of a particular bond decreases because of a one basis point increase in yield. This helps in Bond risk management                                                          


To simulate, all you need to do is to input your bond notional position on CellT4 and every other number on the simulate tab will be calculated.

                                                                The Analytics

Click on the Bond Analytics to open the report