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AAA baseline curve

BVAL’s AAA Municipal Curves use real-time trades and contributed
sources to reflect movement in the Municipal market as it ishappening. The curves are produced hourly (9:00 am — 4:00 pm ET)
and are available on the Terminal shortly after each hour. TheAAA curves are monitored on an hourly basis by BVAL’s teamof municipal evaluators. The production of these curves rely
on sophisticated modeling techniques that normalizes credit
differences of eligible AAA-rated credits, removes outlier trades
and contributed levels, intelligently seeks corroboration within
the data sources, and leverages BVAL’s proprietary curvebuilding technique.

The AAA baseline curve normalizes callable bonds using
BVAL’s expected redemption date (BERD) and is used for
BVAL pricing. This curve assumes a normalized 5% coupon
and is plotted as a bid side yield to worst.

The BVAL AAA Municipal Curves are transparent, timely andeasy to use.

When accounting for the value of the embedded options,
we determine the implied level of interest rate volatility inthe municipals market by modeling the relationships between
callables with various structures and non-calls. BVAL does notuse a static assumption of interest rate volatility. Ultimately,
the level of the AAA baseline curve is dependent on themarket implied level of interest rate volatility for municipals.
With all else equal, a lower level of market implied volatility
will generate higher non-call yields than a higher level ofmarket implied volatility.

AAA callable curve
BVAL’s AAA callable curve is a standard market scale with non-callyields up to year 10 and callable yields thereafter. This curve
assumes a normalized 5% coupon and is plotted as an offer side
yield to worst.

BVAL’s AAA Municipal Curves offer hour by hour updates right on the Bloomberg Terminal® with transparency.

Pricing

Better AAA Municipal Curves

Content & Data Solutions

BVAL municipal AAA curves

Transparent
BVAL’s AAA Municipal Curves offer hour-by-hour updates righton the Bloomberg Terminal®. AAA <GO> shows eligible trades
since the previous day’s closing levels along with normalizing
adjustments. Further, AAA <GO> shows the movement impliedby our contributed sources in the form of a bar chart. Contributed
sources are particularly important in the early hours of the trading
day when the number of observable trades is limited.

in red. Current and prior day yields are shown in table format as well,and the data can be easily exported in Microsoft® Excel. AAA <GO>
is back datable so you can see longer term movements. Lastly, all
32 tenor points are tickerized so you can load an individual tenor
using functions like Line Chart (GP <GO>) and Historical Price Table(HP <GO>). By way of example, BVMB10Y INDEX <GO> loads the10 year point of the BVAL AAA baseline curve.

TimelyMethodology

The curves are produced hourly (9:00 am — 4:00 pm ET) andare available on the Terminal shortly after each hour. AAA <GO>shows all the relevant trading activity leading right up to the hour.

The BVAL AAA Municipal Curves are constructed using trades from
the Municipal Securities Rulemaking Board (MSRB) and contributed
data. Constituents eligible for the curve must have a rating of AAA,
minimum maturity and issuance sizes of $2mm and $30mm respectively,
minimum trade size of $500K for MSRB Dealer trades and $1mm forall other MSRB trades and contributed quotes. All observations arenormalized for differences in credit, optionality and coupon size.

Easy to use
AAA <GO> offers Terminal users an immediate indication into theday’s market movement. The change column on the left hand side
is color coded to show a market rally in green and a market selloff

Take the next step.

Beijing+86 10 6649 7500

Hong Kong+852 2977 6000

New York+1 212 318 2000

Singapore+65 6212 1000

For additional information,press the <HELP> key twiceon the Bloomberg Terminal®.

Dubai+971 4 364 1000

London+44 20 7330 7500

San Francisco+1 415 912 2960

Sydney+61 2 9777 8600

Frankfurt+49 69 9204 1210

Mumbai+91 22 6120 3600

São Paulo+55 11 2395 9000

Tokyo+81 3 3201 8900

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