The Handbook of Fixed Income Securities, 9th Edition

The field’s definitive guide for nearly 40 years—thoroughly updated to address the realities of today’s finance industry Providing the knowledge and insights of the world’s best minds in fixed income securities, this unsurpassed resource brings readers fully up to date on bonds, cash and derivative products, analytical tools, and portfolio strategies and management. The Handbook of Fixed Income Securities, Ninth Edition presents comprehensive, current, reliable information on everything professional investors need to stay on top of the market and ahead of the curve. 1) The book has long been the industry standard for a wide range of professional investors, including traders, money managers, financial advisers, pension fund managers, investment banks, credit unions, mutual fund managers, hedge funds, insurance companies, REITs, endowments, and family offices 2) The last edition sold more than 10,000 units, making the author one of McGraw- Hill’s top-selling authors 3) One of the world’s most recognized authorities on the subject, Frank Fabozzi has gathered a peerless team of global experts who provide the newest and best techniques for winning in today’s markets,

Preface
Acknowledgments
Contributors

Part I : Introduction
Chapter 1 : Overview of the Types and Features of Fixed Income Securities
Chapter 2 : Risks Associated with Investing in Fixed Income Securities
Chapter 3 : The Structure of Interest Rates

Part II : Basics of Fixed Income Analytics
Chapter 4 : Bond Pricing, Yield Measures, and Total Return
Chapter 5 : Measuring Interest-Rate Risk
Chapter 6 : Data Science and the Corporate Credit Markets

Part III : Treasury, Agency, Municipal, and Corporate Bonds
Chapter 7 : U.S. Treasury Securities
Chapter 8 : Agency Debt Securities
Chapter 9 : Municipal Bonds
Chapter 10 : Corporate Bonds
Chapter 11 : Leveraged Loans
Chapter 12 : Structured Notes and Credit-Linked Notes
Chapter 13 : Commercial Paper
Chapter 14 : Floating-Rate Securities
Chapter 15 : Inflation-Linked Bonds
Chapter 16 : Non-U.S. Sovereign Bonds
Chapter 17 : The Emerging Markets Debt
Chapter 18 : Fixed Income Exchange Traded Funds
Chapter 19 : Nonconvertible Preferred Stock
Chapter 20 : Private Infrastructure Debt

Part IV : Mortgage-Backed and Asset-Backed Securities
Chapter 21 : An Overview of Mortgages and the Mortgage Market
Chapter 22 : Agency Mortgage Passthrough Securities
Chapter 23 : Agency Collateralized Mortgage Obligations
Chapter 24 : Stripped Mortgage-Backed Securities
Chapter 25 : Nonagency Residential Mortgage-Backed Securities : Legacy, RMBS 2.0, and Non-QM
Chapter 26 : Covered Bonds
Chapter 27 : Commercial Mortgage-Backed Securities
Chapter 28 : Credit Card Asset-Backed Securities
Chapter 29 : Securities Backed by Auto Loans and Leases, Equipment Loans and Leases, and Student Loans
Chapter 30 : Collateralized Loan Obligations

Part V : The Yield Curve and The Term Structure
Chapter 31 : Overview of Forward Rate Analysis
Chapter 32 : A Framework for Analyzing Yield-Curve Trades
Chapter 33 : Empirical Yield-Curve Dynamics and Yield-Curve Exposure
Chapter 34 : Term Structure Modeling with No-Arbitrage Interest Rate Models

Part VI : Valuation and Relative Value
Chapter 35 : Relative Value Trading
Chapter 36 : Valuation of Bonds with Embedded Options
Chapter 37 : Valuation of Mortgage-Backed Securities
Chapter 38 : Convertible Securities
Chapter 39 : Risk Neutral Pricing of Convertible Bonds

Part VII : Credit Analysis
Chapter 40 : Credit Analysis for Corporate Bonds
Chapter 41 : The Credit Analysis of Municipal General Obligation and Revenue Bonds
Chapter 42 : Credit-Risk Modeling

Part VIII : Portfolio Management and Strategies
Chapter 43 : Introduction to Bond Portfolio Management
Chapter 44 : Trading in the Bond Market
Chapter 45 : Bond Indexes and Bond Portfolio Management
Chapter 46 : Quantitative Management of Benchmarked Portfolios
Chapter 47 : Factor Investing in Fixed Income Securities
Chapter 48 : Active Factor Fixed Income Investing
Chapter 49 : Introduction to Multifactor Risk Models in Fixed Income and Their Applications
Chapter 50 : Analyzing Risk from Multifactor Fixed Income Models
Chapter 51 : Cash-Flow Matching
Chapter 52 : Building Corporate Bond Portfolios
Chapter 53 : Managing the Spread Risk of Credit Portfolios Using the Duration Times Spread Measure
Chapter 54 : Constructing and Managing High-Yield Bond Portfolios
Chapter 55 : Corporate Bonds and ESG
Chapter 56 : Global Credit Bond Portfolio Management
Chapter 57 : International Bond Portfolio Management
Chapter 58 : Factor Investing in Sovereign Bond Markets
Chapter 59 : Hedge Fund Fixed Income Strategies
Chapter 60 : Financing Positions in the Bond Market

Part IX : Derivative Instruments and Their Applications
Chapter 61 : Introduction to Interest-Rate Futures and Options Contracts
Chapter 62 : Pricing Futures and Portfolio Applications
Chapter 63 : Controlling Interest-Rate Risk with Futures and Options
Chapter 64 : Interest-Rate Swaps
Chapter 65 : The Valuation of Interest-Rate Swaps and Swaptions
Chapter 66 : The Basics of Interest-Rate Options
Chapter 67 : Interest-Rate Caps and Floors
Chapter 68 : Credit Derivatives
Chapter 69 : Credit Derivative Valuation and Risk

Part X : Performance Attribution Analysis
Chapter 70 : Principles of Performance Attribution
Chapter 71 : Performance Attribution for Portfolio of Fixed Income Securities
Chapter 72 : Advanced Topics in Performance Attribution

Index