Investortools Incorporates Kalotay’s After-tax Muni Bond Methodology into Perform®

New York - 3 November 2015

Approach is Essential for Proper Risk Management of Munis 

Kalotay Analytics, a provider of high-speed, high precision, fixed income valuation libraries, and Investortools, whose platform is utilized by over 250 financial institutions to support portfolio management and credit analysis, have released to Perform® clients enhanced taxaware municipal bond analytics, using Kalotay’s patent-pending approach.   

Managers are often caught off guard when interest rates rise and the prices of lower coupon bonds drop much more precipitously than predicted by traditional risk calculations. The reason is that when prices fall below par, traditional calculations fail to account for the tax payable at maturity on the discount — which pushes prices down further.  

“Incorporating tax treatment is vital for proper risk management of munis. The enhanced analytics will allow market participants to more accurately quantify the sensitivity of holdings to rate movements. We’re delighted to partner with Investortools to bring this innovation to the market,” said Andy Porter, Managing Director at Kalotay Analytics.  

“Investortools is excited to offer our clients cutting-edge option adjusted analytics that takes into consideration the real-world effect of taxes on municipal bond prices,” said Stuart Graydon, Chairman of Investortools. Dan Garrett, Vice President of Investortools added, “With the new Kalotay functions, portfolio strategists won’t be blindsided when there is a sudden rise in interest rates.” 

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