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Bond Markets, Analysis, and Strategies

ISBN: 9780131986435 | 0131986430
Edition: 7th
Format: Hardcover
Publisher: Pearson College Div
Pub. Date: 1/1/2010

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SummaryTable of Contents
Target Market: Fixed Income Securities Courses or Bond Markets Courses Fabozzi's, Bond Markets, prepares students to analyze the the bond market and use the tools for managing bond portfolios. Many texts on the market are far too theoretical, Fabozzi is quite the opposite. This text covers Bonds, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client's objectives.
Prefacexv
CHAPTER 1 Introduction1(12)
Sectors of the U.S. Bond Market
2(1)
Overview of Bond Features
... MORE3(3)
Risks Associated with Investing in Bonds
6(3)
Secondary Market for Bonds
9(1)
Financial Innovation and the Bond Market
10(1)
Overview of the Book
11(2)
CHAPTER 2 Pricing of Bonds13(21)
Review of Time Value of Money
13(7)
Pricing a Bond
20(8)
Complications
28(1)
Pricing Floating-Rate and Inverse-Floating-Rate Securities
29(2)
Price Quotes and Accrued Interest
31(1)
Summary
32(2)
CHAPTER 3 Measuring Yield34(24)
Computing the Yield or Internal Rate of Return on Any Investment
35(3)
Conventional Yield Measures
38(8)
Potential Sources of a Bond's Dollar Return
46(3)
Total Return
49(5)
Applications of the Total Return (Horizon Analysis)
54(1)
Calculating Yield Changes
54(1)
Summary
55(3)
CHAPTER 4 Bond Price Volatility58(36)
Review of the Price-Yield Relationship for Option-Free Bonds
59(1)
Price Volatility Characteristics of Option-Free Bonds
60(2)
Measures of Bond Price Volatility
62(11)
Convexity
73(10)
Additional Concerns When Using Duration
83(1)
Don't Think of Duration as a Measure of Time
83(1)
Approximating a Bond's Duration and Convexity Measure
84(2)
Measuring a Bond Portfolio's Responsiveness to Nonparallel Changes in Interest Rates
86(3)
Summary
89(5)
CHAPTER 5 Factors Affecting Bond Yields and the Term Structure of Interest Rates94(33)
Base Interest Rate
95(1)
Risk Premium
96(5)
Term Structure of Interest Rates
101(21)
Summary
122(5)
CHAPTER 6 Treasury and Agency Securities Markets127(28)
Treasury Securities
127(19)
Stripped Treasury Securities
146(1)
Federal Agency Securities
147(6)
Summary
153(2)
CHAPTER 7 Corporate Debt Instruments155(32)
Corporate Bonds
156(18)
Medium-Term Notes
174(3)
Commercial Paper
177(5)
Bankruptcy and Creditor Rights
182(2)
Summary
184(3)
CHAPTER 8 Municipal Securities187(19)
Types and Features of Municipal Securities
188(7)
Municipal Money Market Products
195(1)
Municipal Derivative Securities
196(3)
Credit Risk
199(1)
Risks Associated with Investing in Municipal Securities
200(1)
Yields on Municipal Bonds
201(1)
Municipal Bond Market
202(1)
The Taxable Municipal Bond Market
203(1)
Summary
204(2)
CHAPTER 9 Non-U.S. Bonds206(19)
Classification of Global Bond Markets
207(2)
Foreign Exchange Risk and Bond Returns
209(1)
Eurobond Market
210(4)
Non—U.S. Government Bond Markets
214(7)
The Pfandbriefe Market
221(1)
Emerging Market Bonds
221(1)
Summary
222(3)
CHAPTER 10 Residential Mortgage Loans225(18)
What Is a Mortgage?
226(1)
Participants in the Mortgage Market
226(3)
Alternative Mortgage Instruments
229(6)
Nonconforming Mortgages
235(1)
Risks Associated with Investing in Mortgages
236(5)
Summary
241(2)
CHAPTER 11 Mortgage Pass-Through Securities243(30)
Cash Flow Characteristics
244(1)
WAC and WAM
244(1)
Agency Pass-Throughs
245(1)
Nonagency Pass-Throughs
246(2)
Prepayment Conventions and Cash Flow
248(8)
Factors Affecting Prepayments and Prepayment Modeling
256(7)
Cash Flow for Nonagency Pass-Throughs
263(2)
Cash Flow Yield
265(2)
Prepayment Risk and Asset/Liability Management
267(2)
Secondary Market Trading
269(1)
Summary
270(3)
HAPTER 12 Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities273(31)
Collateralized Mortgage Obligations
274(24)
Stripped Mortgage-Backed Securities
298(2)
Summary
300(4)
CHAPTER 13 Commercial Mortgage-Backed Securities304(24)
Commercial Mortgage Loans
305(2)
Commercial Mortgage-Backed Securities
307(19)
Summary
326(2)
CHAPTER 14 Asset-Backed Securities328(20)
Creation of an ABS
329(8)
Collateral Type and Sectiritization Structure
337(1)
Credit Risks Associated with Investing in ABS
338(3)
Review of Several Major Twos of ABS
341(4)
Summary
345(3)
CHAPTER 15 Collateralized Debt Obligations348(14)
Structure of a CDO
349(1)
Arbitrage Transactions
350(3)
Cash Flow Transactions
353(3)
Market Value Transactions
356(2)
Synthetic CDOs
358(1)
Summary
359(3)
CHAPTER 16 Interest-Rate Models362(15)
Mathematical Description of One-Factor Interest-Rate Models
363(3)
Arbitrage-Free Versus Equilibrium Models
366(3)
Empirical Evidence on Interest-Rate Changes
369(2)
Selecting an Interest-Rate Model
371(1)
Estimating Interest-Rate Volatility Using Historical Data
372(3)
Summary
375(2)
CHAPTER 17 Analysis of Bonds with Embedded Options377(30)
Drawbacks of Traditional Yield Spread Analysis
378(1)
Static Spread: An Alternative to Yield Spread
378(5)
Callable Bonds and Their Investment Characteristics
383(3)
Components of a Bond with an Embedded Option
386(1)
Valuation Model
387(13)
Option-Adjusted Spread
400(1)
Effective Duration and Convexity
401(2)
Summary
403(4)
CHAPTER 18 Analysis of Residential Mortgage-Backed Securities407(25)
Static Cash Flow Yield Methodology
408(9)
Monte Carlo Simulation Methodology
417(10)
Total Return Analysis
427(1)
Summary
428(4)
CHAPTER 19 Analysis of Convertible Bonds432(12)
Convertible Bond Provisions
432(2)
Minimum Value of a Convertible Bond
434(1)
Market Conversion Price
435(1)
Current Income of Convertible Bond Versus Stock
436(1)
Downside Risk with a Convertible Bond
437(1)
Investment Characteristics of a Convertible Bond
438(1)
Pros and Cons of Investing in a Convertible Bond
438(2)
Types of Investors in Convertible Bonds
440(1)
Options Approach
441(1)
Summary
442(2)
CHAPTER 20 Corporate Bond Credit Analysis444(49)
Overview of Corporate Bond Credit Analysis
445(2)
Analysis of Business Risk
447(3)
Corporate Governance Risk
450(3)
Financial Risk
453(3)
Corporate Bond Credit Analysis and Equity Analysis
456(1)
Summary
457(2)
Appendix A
459(30)
Appendix B
489(4)
CHAPTER 21 Credit Risk Modeling493(17)
Difficulties in Credit Risk Modeling
494(1)
Overview of Credit Risk Modeling
495(1)
Credit Ratings Versus Credit Risk Models
496(1)
Structural Models
496(8)
Reduced-Form Models
504(3)
Incomplete Information Models
507(1)
Summary
508(2)
HAPTER 22 Active Bond Portfolio Management Strategies510(40)
Overview of the Investment Management Process
511(3)
Tracking Error and Bond Portfolio Strategies
514(8)
Active Portfolio Strategies
522(17)
The Use of Leverage
539(6)
Summary
545(5)
CHAPTER 23 Indexing550(10)
Objective of and Motivation for Bond Indexing
551(1)
Factors to Consider in Selecting an Index
552(1)
Bond Indexes
553(1)
Indexing Methodologies
554(2)
Logistical Problems in Implementing an Indexing Strategy
556(1)
Enhanced Indexing
557(1)
Summary
558(2)
CHAPTER 24 Liability Funding Strategies560(32)
General Principles of Asset/Liability Management
561(5)
Immunization of a Portfolio to Satisfy a Single Liability
566(15)
Structuring a Portfolio to Satisfy Multiple Liabilities
581(3)
Extensions of Liability Funding Strategies
584(1)
Combining Active and Immunization Strategies
585(1)
Summary
586(6)
CHAPTER 25 Bond Performance Measurement and Evaluation592(17)
Requirements for a Bond Performance and Attribution Analysis Process
593(1)
Performance Measurement
593(7)
Performance Attribution Analysis
600(5)
Summary
605(4)
CHAPTER 26 Interest-Rate Futures Contracts609(31)
Mechanics of Futures Trading
610(2)
Futures Versus Forward Contracts
612(1)
Risk and Return Characteristics of Futures Contracts
613(1)
Currently Traded Interest-Rate Futures Contracts
613(9)
Pricing and Arbitrage in the Interest-Rate Futures Market
622(8)
Bond Portfolio Management Applications
630(7)
Summary
637(3)
CHAPTER 27 Interest-Rate Options640(43)
Options Defined
641(1)
Differences Between an Option and a Futures Contract
641(1)
Types of Interest-Rate Options
641(3)
Intrinsic Value and Time Value of an Option
644(2)
Profit and Loss Profiles for Simple Naked Option Strategies
646(12)
Put–Call Parity Relationship and Equivalent Positions
658(2)
Option Price
660(1)
Models for Pricing Options
661(8)
Sensitivity of Option Price to Change in Factors
669(4)
Hedge Strategies
673(5)
Summary
678(5)
CHAPTER 28 Interest-Rate Swaps and Agreements683(36)
Interest-Rate Swaps
684(24)
Interest-Rate Agreements (Caps and Floors)
708(7)
Summary
715(4)
CHAPTER 29 Credit Derivatives719(22)
Types of Credit Risk
720(1)
Categorization of Credit Derivatives
721(1)
ISDA Documentation
721(2)
Asset Swaps
723(2)
Total Return Swaps
725(2)
Credit Default Swaps
727(6)
Credit Spread Options
733(2)
Credit Spread Forwards
735(1)
Structured Credit Products
736(1)
Summary
737(4)
Index741

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