DebtPays™
DebtPays™ – High Precision Debt Management Software
Description
DebtPays™ is a transaction-oriented analysis program for agency, corporate, and municipal debt issuers. DebtPays™ is a modular system providing a wide variety of debt management tools including:
- Determines OAS and fair value for bonds and preferred stocks with embedded options
- Determines refunding efficiency for calls and tenders along with sinking fund repurchase analysis
- Determines OAS and fair value of bond portfolios
- Determines total return and value-at-risk (VaR) analysis under multiple yield curve scenarios
- Determines the fair value for interest rate swaps, cancelable swaps, and options on swaps
- Provides comparative analysis of new-issue structures
Applications:
- Capital market transactions: structuring, refunding, and hedging
- Mark-to-market, FAS 157 reporting requirements
Distinguishing features:
- Valuation of interrelated call, acceleration and delivery options on a sinking fund bond
- Call and put options optimally exercised during holding period in scenario analysis
- Numerical pitfalls avoided in lattice-based calculation of risk measures
Coverage
- US agency bonds
- US corporate bonds
- US municipal bonds
- US Treasury notes and bonds
- Foreign sovereigns
- Foreign corporate bonds
Functionality
- Conventional bond calculation:
- Price/yield (YTM, YTC, YTP, YTW, CFY) conversion for standard daycounts
- Accrued interest for standard daycounts
- Modified duration/convexity/DV01
- Cashflows
- Valuation:
- Option adjusted spread (OAS) corresponding to a price
- Fair value given issuer's yield curve
- Effective duration/convexity/DV01
- Implied volatility given bond's price
- Fair coupon given a specified structure
- Refunding analysis:
- For call or market purchase
- Reports cashflow savings and refunding efficiency
- Includes wait-until-call analysis
- Municipal bond current and advance refunding analysis
- New issue structuring:
- Solves for fair coupon for multiple structures
- Measures mispricing given market coupons
- Compares after-tax expected cost across maturity spectrum (including structures with embedded options)
- Portfolio analysis:
- Valuation (including effective duration)
- Current and advance refunding analysis
- Portfolio-based statistics
- Scheduled cashflows
- Portfolio-based scenario analysis and stress testing:
- Total return over specified holding period and interest rate scenario
- Scenario-dependent calls and puts
- Yield curve analysis:
- Discount factors, zero-coupon rates and forward rates corresponding to a par yield curve
- Volatility term structure
Methodology
- Industry standard Black-Karasinski lognormal short rate model with user-specified short-term interest rate volatility and mean reversion
- Built with AKA's lightning fast proprietary implementation of an arbitrage-free multinomial lognormal interest rate model
Technical Specifications
- Platforms: all versions of Windows
- All reports export to Excel
- Can be customized to accept live benchmark rate feeds
- Can be adapted to import user's bond database
- Functionality available as a library
Supporting Documents