Handbook of Fixed Income Securities, Ninth Edition

McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide Frank J. Fabozzi is adjunct professor of finance at Yale University's School of Management. He is the author, co-author, or editor of literally dozens of titles on a plethora of investing topics.

• PrefaceAcknowledgmentsContributorsPART ONE: INTRODUCTION1. Overview of the Types and Features of Fixed Income Securities2. Risks Associated with Investing in Fixed Income Securities3. The Structure of Interest RatesPART TWO: BASICS OF FIXED INCOME ANALYTICS4. Bond Pricing, Yield Measures, and Total Return5. Measuring Interest-Rate Risk6. Data Science and the Corporate Credit MarketsPART THREE: TREASURY, AGENCY, MUNICIPAL, AND CORPORATE BONDS7. U.S. Treasury Securities8. Agency Debt Securities9. Municipal Bonds10. Corporate Bonds11. Leveraged Loans12. Structured Notes and Credit-Linked Notes13. Commercial Paper14. Floating-Rate Securities15. Inflation-Linked Bonds16. Non-U.S. Sovereign Bonds17. The Emerging Markets Debt18. Fixed Income Exchange Traded Funds19. Nonconvertible Preferred Stock20. Private Infrastructure DebtPART FOUR: MORTGAGE-BACKED AND ASSET-BACKED SECURITIES21. An Overview of Mortgages and the Mortgage Market22. Agency Mortgage Passthrough Securities23. Agency Collateralized Mortgage Obligations24. Stripped Mortgage-Backed Securities25. Nonagency Residential Mortgage-Backed Securities: Legacy, RMBS 2.0, and Non-QM26. Covered Bonds27. Commercial Mortgage-Backed Securities28. Credit Card Asset-Backed Securities29. Securities Backed by Auto Loans and Leases, Equipment Loans and Leases, and Student Loans30. Collateralized Loan ObligationsPART FIVE: THE YIELD CURVE AND THE TERM STRUCTURE31. Overview of Forward Rate Analysis32. A Framework for Analyzing Yield-Curve Trades33. Empirical Yield-Curve Dynamics and Yield-Curve Exposure34. Term Structure Modeling with No-Arbitrage Interest Rate ModelsPART SIX: VALUATION AND RELATIVE VALUE35. Relative Value Trading36. Valuation of Bonds with Embedded Options37. Valuation of Mortgage-Backed Securities38. Convertible Securities39. Risk Neutral Pricing of Convertible BondsPART SEVEN: CREDIT ANALYSIS40. Credit Analysis for Corporate Bonds41. The Credit Analysis of Municipal General Obligation and Revenue Bonds42. Credit-Risk ModelingPART EIGHT: PORTFOLIO MANAGEMENT AND STRATEGIES43. Introduction to Bond Portfolio Management44. Trading in the Bond Market45. Bond Indexes and Bond Portfolio Management46. Quantitative Management of Benchmarked Portfolios47. Factor Investing in Fixed Income Securities48. Active Factor Fixed Income Investing49. Introduction to Multifactor Risk Models in Fixed Income and Their Applications50. Analyzing Risk from Multifactor Fixed Income Models51. Cash-Flow Matching52. Building Corporate Bond Portfolios53. Managing the Spread Risk of Credit Portfolios Using the Duration Times Spread Measure54. Constructing and Managing High-Yield Bond Portfolios55. Corporate Bonds and ESG56. Global Credit Bond Portfolio Management57. International Bond Portfolio Management58. Factor Investing in Sovereign Bond Markets59. Hedge Fund Fixed Income Strategies60. Financing Positions in the Bond MarketPART NINE: DERIVATIVE INSTRUMENTS AND THEIR APPLICATIONS61. Introduction to Interest-Rate Futures and Options Contracts62. Pricing Futures and Portfolio Applications63. Controlling Interest-Rate Risk with Futures and Options64. Interest-Rate Swaps65. The Valuation of Interest-Rate Swaps and Swaptions66. The Basics of Interest-Rate Options67. Interest-Rate Caps and Floors68. Credit Derivatives69. Credit Derivative Valuation and RiskPART TEN: PERFORMANCE ATTRIBUTION ANALYSIS70. Principles of Performance Attribution71. Performance Attribution for Portfolios of Fixed Income Securities72. Advanced Topics in Performance AttributionIndex