Cutting-edge Structuring and Refunding Analysis

MuniCycle enables issuers, advisors, and underwriters to analyze contemplated transactions. This powerful tool offers option-based analysis for new issue structuring with different coupons and call protection periods, and for calling / refunding.



  • 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