In creating fixed-income analytic models, Andrew Kalotay Associates draws upon pioneering research published by Dr. Kalotay and his associates over more than three decades. A member of the Fixed Income Analysts Society’s Hall of Fame, Dr. Kalotay’s innovations include the ratchet bond and ratchet mortgage; the Volatility Reduction Measure (for hedge effectiveness testing under FAS 133); and the concepts of refunding efficiency as applied to both corporate and municipal bonds and mortgages. He has authored or co-authored more than 50 journal articles on a wide range of topics. 


Bond Valuation and Structuring

Debt Management

Municipal Finance

Trade Press

Wealth Management

Consumer Finance



Recent Research

Tax-Smart Portfolio Valuation and Performance Measurement

The Journal of Portfolio Management, August 2021

The reported performance of a portfolio is consequential for both investors and managers. One component of the return calculation is the beginning and ending value of the portfolio. The standard in the industry is to calculate portfolio values from the market prices of the constituent securities. Assuming that the portfolio can be liquidated at these prices, in the absence of tax considerations the market value accurately represents the true value of the portfolio, and therefore the resulting measure of performance is uncontroversial.


When It Comes To Showing Savings From Refunding, Cost Is No Object

The Bond Buyer - May 18, 2021

Andy Kalotay calls to task the lobbying effort by muni trade assocations to restore advance refunding. He notes that the primary beneficiaries of the resulting churning would be the transaction infrastructure, at the expense of the municipal issuers and their taxpayers. The source of the problem is that 5% bonds are callable at par, and then refunded even if interest rates increase.


Taxable Advance Refundings: A Critical Examination

Municipal Finance Journal, Winter 2021

The Tax Cuts and Jobs Act of 2017 (TCJA) eliminated advance refundings with tax-exempt bonds but it is silent on advance refundings with taxable bonds. In today’s low interest rate environment, such taxable refundings have become a trend. Although these transactions generate large savings, the odds favor waiting until the call date and then refunding with tax-exempt bonds. Unless interest rates rise significantly, waiting would result in much greater savings. The interest rate risk can be mitigated by issuing callable taxable bonds, which afford eventual refunding with tax-exempt bonds.


Interest Rate Risk Management of Municipal Bonds

By Andrew Kalotay with foreword by Stephen Winterstein

"This work is the culmination of Dr. Kalotay's intellectual pursuit of what works and what should be reexamined in the municipal bond market. No shrinking violet, he challenges the orthodoxy and examines its problems from fresh and distinctive angles. The reader will find his contribution an unparalleled resource."

Stephen Winterstein, Head of Municipal Fixed Income, MarketAxess Holdings Inc.


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