Trade Press

Muni OS Boilerplate Headscratcher: Price is ‘Priced to the Call Date’?

The Bond Buyer - Aug 26, 2019

Andy Kalotay's commentary in The Bond Buyer exposes inaccurracy and inconsistecy in muni bond official statements.

Muni OS Boilerplate Headscratcher: Price is ‘Priced to the Call Date’?

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.

Yield shocks underestimate the interest rate risk of callable bonds

Bond Buyer

When thinking of interest rates in the taxable world, practitioners look at bellwether indicators such as the 10-year U.S. Treasury yield, and more broadly at the Treasury yield curve — a representation of the interest rates that investors demand across the maturity spectrum. The frequency of the U.S.

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