Municipal Finance - For Practitioners

Hedging munis — Easier said than done

The Bond Buyer - May 28, 2019

Hedging a muni portfolio which contains bonds priced close to or below par is surprisingly complicated. First, the tax-aware effective duration of such bonds is considerably longer than indicated by conventional OAS models, reflecting the market impact of taxes on price changes not captured by such models. Additionally, tax-aware KRDs may not sum up to the effective duration, and therefore may need to be adjusted to determine the appropriate hedge ratios.

Tax Optimization - Investment Selection and Tax Rate Arbitrage

The Journal of Portfolio Management 2018

Tax-exempt municipal bonds are usually held in taxable accounts. This article discusses how after-tax performance can be increased by tax-beneficial sales.

Don't Let Your Tax-loss Harvest Become a Harvest of Regret

Bond Buyer January 30, 2018

Andy Kalotay's commentary in The Bond Buyer explains how NOT to harvest munis. Financial advisors lack the tools to calculate the benefit from selling, and they routinely recommend transactions that are actually wasteful. With rates set to move higher, many opportunities will present themselves; smart players will want to be prepared with the right tools.

Municipal bond insurance: identifying the best payment plan

emeraldinsight.com

http://www.emeraldinsight.com/doi/full/10.1108/JRF-06-2016-0082

Don’t Waste a Free Lunch: Managing the Advance Refunding Option

Journal of Applied Corporate Finance

Making Bond Insurance Pay

The Bond Buyer, June 30, 2016

Optional redemption features are standard in municipal bond issues, so even a seemingly simple decision — selecting the best insurance plan — requires modern option-based analytics

Defective Curves, Faulty Analysis

The Bond Buyer, April 20, 2016

Spread(ing) Confusion

The Bond Buyer, November 23, 2015

Many muni professionals shy away from option-adjusted spread (OAS) in favor of the archaic 'yield-to-worst' approach. Correct implementation would undoubtedly attract converts.

Muni Buyers: Beware of Tax-Deficient Analytics!

The Bond Buyer. June 18, 2015

Bonds trading near or below par are much more sensitive to interest rates than reported by standard analytics systems. What happens to muni prices when rates rise? 

Why Buy-and-Hold Is Dead

The Bond Buyer, February 24, 2015

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