Corporate

Comprehensive suite of debt management tools

Functionality

  • Conventional bond calculations:
    • 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

High-precision tool to determine when to call bonds

The refunding bond can be callable and of arbitrary maturity. Allows users to differentiate between volatilities for the outstanding and refunding bonds. Also accounts for the impact of future issuance fees on the option value.

Analysis of retail bonds with survivor's option

Survivor's Option Analyzer™ determines the true cost of borrowing for institutions. It incorporates fees and options, including the estate put, and allows for apples-to-apples comparison with institutional deals.