DebtPays™ Software Library

High Precision Software Management

DebtPays™ is a transaction-oriented analysis program for 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.
  • (New!) EstatePut™ Calculator. Determines fair value of a retail note with an estate put option. Overview (PowerPoint, 670KB)

Coverage

  • Investment corporate bonds
  • US Agencies
  • US Treasury notes and bonds
  • US municipal bonds
  • Foreign sovereigns
  • Foreign investment grade corporate bonds

Valuation

  • Option Adjusted Spread (OAS) corresponding to a price
  • Fair value given issuer's yield curve
  • Effective duration, convexity, DV01
  • Determines implied volatility given bond's price
  • Solves for fair coupon for a specified structure

Conventional Bond Calculations

  • Yields
  • Accrued interest
  • Modified duration and convexity

Refunding Analysis

  • For call or market purchase
  • Reports cashflow savings and refunding efficiency
  • Includes wait-until-call 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)
  • Portfolio-based statistic
  • 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

Applications

  • Capital market transactions: structuring, refunding, and hedging
  • Mark-to-market, FAS reporting requirements

Distinguishing Features

  • Rigorous after-tax valuation of both cashflows and options
  • Call and put options optimally exercised during holding period in scenario analysis
  • Numerical pitfalls avoided in lattice-based calculation of risk measures

Methodology

  • Arbitrage-free valuation
  • Proprietary lattice implementation of industry-standard Black-Karasinski process

Technical Specifications

  • Runs on 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