RVMunis on Bloomberg for Accurate Portfolio Risk

November 21, 2019

Muni traders, portfolio managers and analysts can now access a convenient OAS-based app on Bloomberg. RVMunis calculates portfolio risk with unprecedented accuracy and speed. It combines the unique functionality of Kalotay's patent-pending tax-neutral MuniOAS methodology and RiskVal's award winning RVFI fixed income platform.

Kalotay MuniOAS

MuniOAS captures the so-called de minimis tax effect, which depresses the prices of discount munis. However, standard analytics fail to account for de minimis, and consequently underestimate effective duration and overestimate OAS, often by wide margins. As shown above, the incorrectly estimated duration of a 10-year discount muni is currently about 9, while the correct, ‘tax-neutral’ duration is closer to 13.

RVMunis - Kalotay

The app seamlessly integrates Bloomberg bond terms and prices, and stores portfolios for ongoing analysis. For OAS-based calculations, users can access several benchmark yield curves. RVMunis reports tax-neutral risk measures, including OAS, effective duration and convexity, see below.

RVMunis - Kalotay Analytics

It also displays the effect of a 100 basis point shift on the portfolio value, as required by SEC N-Port.

Convenient features include:

  • Interest rate volatility setting, at portfolio or individual bond level
  • Calculation of OAS given price, or price given OAS
  • Portfolio level measures, including DV01, Vega, and Key Rate Risk
  • Single-screen risk profile of a selected CUSIP at various prices

Try it free for 30 days and call us for a walk-through if needed. Feedback appreciated. Access for Bloomberg users: APPS RVMUNIS <GO>. Live MuniOAS demo at kalotay.com/rvmunis.