Tuesday April 23, 5:30 PM – 8:30 PM
“US Fixed Income Outlook” – Tom Tzitzouris, Director, Head of Fixed Income Research at Strategas Research Partners
“Proper Analytics for Munis Now Critical” – Andrew Kalotay, PhD, Kalotay Analytics
Event URL: https://newyork.qwafafew.org/event/apr23
FIASI members: Special Offer to attend at $35, same as QWAFAFEW Members
Bourbon Street Bar & Grill, 346 W 46th St., between 8th/9th Ave., NY
5:30 – 6:10 Registration/Networking
6:10 – 6:15 Greetings from Mike Carty, Chapter President, Treasurer, Program Chair and Organizer of all QWAFAFEW-NYC Events
6:15 – 6:55 “US Fixed Income Outlook” – Tom Tzitzouris, Director, Head of Fixed Income Research at Strategas Research Partners
6:55 – 7:10 Refreshment/Networking Break
7:10 – 7:55 “Proper Analytics for Munis Now Critical” – Andrew Kalotay, PhD, Kalotay Analytics
The prices of discount munis are depressed due to the tax on the gain at maturity, the applicable rate depending on the size of the discount. This ‘de minimis’ effect creates a formidable analytical challenge, and few have access to the right valuation tools. Most institutional investors avoid bonds priced near or below par, in favor of 5% bonds selling at substantial premiums.
However, they can run but can’t hide. According to the forthcoming SEC N-Port regulation, funds are required to report how a 100 bps increase of interest rates would affect their value. Due to a 100 bps rate increase, even 5% bonds would fall below par – but how far? Conventional bond analytics significantly underestimate the potential loss, creating both a regulatory and a risk management problem. He will discuss the magnitude of the problem and suggest a solution.
7:55 – 8:15 Adjournment
To learn more about QWAFAFEW: visit http://qwafafew.org/
Tom Tzitzouris, Director & Head of Fixed Income Research, Strategas
Tom Tzitzouris is a Director at Strategas, directing the Firm’s fixed income research efforts. His work touches on all aspects of broad market fixed income strategy, as well as clients’ asset/liability management needs. His focus includes interest rate and credit term structure strategies, callable bond analysis, sector relative value research, and valuation analysis for Treasury, Agency, and high grade corporates.Prior to joining Strategas, Mr. Tzitzouris worked as a senior analyst at Fannie Mae, leading Fannie’s independent debt valuation team, and had previously spent time as a debt and derivatives analyst at Freddie Mac.Mr. Tzitzouris began his career as a quantitative research analyst with JPMorgan Asset Management’s fixed income group. Mr. Tzitzouris holds an MS in Mathematics from Fairfield University, an MA in Economics from George Mason University, and a BS in Finance from Bryant Univers
Chief Market Strategist
Dr. Andrew Kalotay, the President of Andrew Kalotay Associates, is a leading authority on institutional debt management and fixed-income valuation. He is widely published in leading academic and industry journals, with more than 50 articles to his credit on a wide range of topics including bond refunding, interest rate derivatives, the valuation of bonds with embedded options, and residential mortgages. His innovations in fixed-income include the concept of Refunding Efficiency – a tool widely used for managing callable debt, the Ratchet Bond – a surrogate for conventional callable bonds, and the Volatility Reduction Measure – for hedge effectiveness testing under FAS133.
Before founding Andrew Kalotay Associates, Andy was Director in the Bond Portfolio Analysis Group at Salomon Brothers from 1981 till 1990. From 1979 until 1981 he was Senior Analyst at Dillon Read. Before coming to Wall Street, he supervised financial planning at AT&T and was involved with operations research and systems engineering at Bell Laboratories.
Andy has provided expert testimony in several well-publicized cases involving municipal issuers. In particular, he was retained by the Massachusetts Water Resources Authority and by the Commonwealth of Massachusetts in two separate yield burning cases.
On the academic side, Andy was the founder and first Director of the Center for Finance and Technology, a graduate program in financial engineering at Polytechnic University. Prior to that, he was a Professor of Finance at Fordham University. He has been an adjunct professor at the Wharton School of the University of Pennsylvania and at Columbia University. He also currently serves as an associate editor and referee for several academic journals. Andy received his BS and MS in Mathematics from Queen’s University and his PhD in Mathematics from the University of Toronto.
In 1997 Andy was inducted into the Fixed Income Analysts Society’s Hall of Fame. This select group includes Fischer Black, Henry Kaufman, John Bogle, Martin Leibowitz, and William Gross. He is also a charter member of the Risk “Who’s Who.”
An avid chess enthusiast, Andy is an over-the-board master as well as an internationally known problemist.