MuniOAS facilitates efficient hedging and rich/cheap analysis by delivering accurate, ‘tax-neutral’ risk measures for all fixed coupon munis.

Discount muni prices are depressed by the tax payable at maturity. This de minimis tax effect is well understood by professionals. When rates rise, prices of munis near par fall much further than predicted by standard duration calculations. Another problem is that prices of discounts look deceptively cheap with standard OAS. MuniOAS gets both right.

Duration – 10-Yr Bonds (various coupons), 10-Yr Rate 3%

OAS – 10-Yr 3% Bond (various prices)

Fixed coupon tax-exempt municipal bonds

  • OIDs
  • Callable
  • Sinking fund (term bonds)
  • After-tax OAS, given price
  • Price given after-tax OAS
  • After-tax duration and convexity
  • After-tax scenario analysis and stress testing
  • Risk management
  • Pre-trade (rich-cheap) analysis
  • After-tax scenario analysis and stress testing