3.
by Steven V. Mann, Frank J. Fabozzi
The Handbook of Fixed Income Securities, Eighth Edition, 8th Edition
- Cover Page
- The Handbook of Fixed Income Securities
- Copyright Page
- Contents
- Preface
- Acknowledgments
- Contributors
- Part One Background
- Chapter 1 Overview of the Types and Features of Fixed Income Securities
- Chapter 2 Risks Associated with Investing in Fixed Income Securities
- Ravi F. Dattatreya, Frank J. Fabozzi, and Sergio M. Focardi
- Interest-Rate Risk
- Reinvestment Risk
- Call/Prepayment Risk
- Credit Risk
- Inflation, or Purchasing-Power, Risk
- Liquidity Risk
- Exchange-Rate, or Currency, Risk
- Volatility Risk
- Political or Legal Risk
- Event Risk
- Sector Risk
- Other Risks
- Statistical Measures of Portfolio Risk: Standard Deviation, Skewness, and Kurtosis
- Tracking Error Risk
- Key Points
- Chapter 3 Bond Market Indexes
- Chapter 4 Electronic Trading for Fixed Income Markets
- Marshall Nicholson
- Overall Bond Market Growth
- The Rise of Electronic Trading
- The Impact of Regulatory Requirements
- Shift to a Fee-Based Broker-Dealer Revenue Model
- Universe of Electronic Trading Platforms
- Current Technologies
- Market Data and the Aggregation of Fixed Income ECNs
- Retail-Fixed Income Market Participation
- Retail Access to Individual Bonds
- Fixed Income Pricing
- Key Points
- Chapter 5 Macro-Economic Dynamics and the Corporate Bond Market
- Chapter 6 Bond Pricing, Yield Measures, and Total Return
- Chapter 7 Measuring Interest-Rate Risk
- Chapter 8 The Structure of Interest Rates
- Part Two Government Securities and Corporate Debt Obligations
- Chapter 9 U.S. Treasury Securities
- Chapter 10 Agency Debt Securities
- Chapter 11 Municipal Bonds
- Sylvan G. Feldstein, Frank J. Fabozzi, Alexander Grant, and David Ratner
- Features of Municipal Securities
- Types of Municipal Obligations
- The Commercial Credit Rating of Municipal Bonds
- Municipal Bond Insurance
- Valuation Methods
- Tax Provisions Affecting Municipals
- Yield Relationships within the Municipal Bond Market
- Primary and Secondary Markets
- Bond Indexes
- Official Statement
- Regulation of the Municipal Securities Market
- Key Points
- Chapter 12 Corporate Bonds
- Chapter 13 Leveraged Loans
- Chapter 14 Convertible Securities and Their Investment Application
- Chapter 15 Structured Notes and Credit-Linked Notes
- Chapter 16 Private Money Market Instruments
- Chapter 17 Floating-Rate Securities
- Chapter 18 Inflation-Linked Bonds
- Chapter 19 International Bond Markets and Instruments
- Chapter 20 Emerging Markets Debt
- Chapter 21 Fixed Income Exchange Traded Funds
- Chapter 22 Covered Bonds
- Vinod Kothari
- Covered Bonds: From Europe to the Rest of the World
- Understanding Covered Bonds
- Structure of Covered Bonds
- Cover Assets and Credit Enhancements
- Asset/Liability Mismatches and Liquidity Risk
- Ratings of Covered Bonds
- Covered Bonds and Securitization
- Accounting for Covered Bonds
- Key Points
- Chapter 23 Nonconvertible Preferred Stock
- Part Three Securitized Products
- Chapter 24 An Overview of Mortgages and the Mortgage Market
- Chapter 25 Agency Mortgage-Backed Securities
- Chapter 26 Agency Collateralized Mortgage Obligations
- Chapter 27 The Effect of Agency CMO PAC Bond Features on Performance
- Linda Lowell
- The Term Structure of CMO Yields
- Collars and Collateral
- Interaction of Collars and Collateral
- PAC Collar Drift
- When the PAC Breaks
- Windows
- Lockout
- Is There a Z in the Deal?
- Effect of Jump-Z and VADM Structures on PAC Bonds
- Priority to Receive Excess Cash Flows
- The Option Costs of PAC Features
- Key Points
- Chapter 28 Agency CMO Z-Bonds
- Chapter 29 Support Bonds with Schedules in Agency CMO Deals
- Chapter 30 Stripped Mortgage-Backed Securities
- Chapter 31 Nonagency Residential Mortgage-Backed Securities
- Chapter 32 Commercial Mortgage-Backed Securities
- Chapter 33 Credit Card Asset-Backed Securities
- Chapter 34 Securities Backed by Auto Loans and Leases, Equipment Loans and Leases, and Student Loans
- Chapter 35 Collateralized Loan Obligations
- Part Four Term Structure of Interest Rates
- Part Five Valuation Modeling
- Part Six Credit Risk
- Part Seven Multifactor Risk Models
- Part Eight Bond Portfolio Management
- Chapter 49 Introduction to Bond Portfolio Management
- Chapter 50 Quantitative Management of Benchmarked Portfolios
- Lev Dynkin, Jay Hyman, Vadim Konstantinovsky, and Bruce D. Phelps
- Selection and Customization of Benchmarks
- Diversification Issues in Benchmarks
- Portfolio Analysis Relative to a Benchmark
- Quantitative Approaches to Benchmark Replication
- Replication with Cash Instruments: Stratified Sampling
- Controlling Issuer-Specific Risk in the Portfolio
- Quantitative Methods for Portfolio Optimization
- Tools for Quantitative Portfolio Management
- Key Points
- Chapter 51 Global Credit Bond Portfolio Management
- Chapter 52 Elements of Managing a High-Yield Bond Portfolio
- Chapter 53 International Bond Portfolio Management
- Chapter 54 Fixed Income Transition Management
- Chapter 55 Managing the Spread Risk of Credit Portfolios Using the Duration Times Spread Measure
- Arik Ben Dor, Lev Dynkin, and Jay Hyman
- The Need for a New Measure of Credit Spread Exposure
- Spread Volatility and DTS
- Risk Projection: Predicting Spread Volatility
- Hedging: Predicting Sensitivities to Market Spread Changes
- Replication: Creating Index Tracking Portfolios
- Expressing Macro Views in Active Portfolios
- Portfolio Construction: Optimal Diversification of Issuer Risk
- Modeling: Calibrating Credit-Risk Factors
- Key Points
- Chapter 56 Investing in Distressed Structured Credit Securities
- Chapter 57 Hedge Fund Fixed Income Strategies
- Chapter 58 Financing Positions in the Bond Market
- Part Nine Derivatives
- Chapter 59 Introduction to Interest-Rate Futures and Options Contracts
- Chapter 60 Pricing Futures and Portfolio Applications
- Chapter 61 Controlling Interest-Rate Risk with Futures and Options
- Chapter 62 Interest-Rate Swaps and Swaptions
- Frank J. Fabozzi, Steven V. Mann, and Moorad Choudhry
- Description of an Interest-Rate Swap
- Interpreting a Swap Position
- Terminology, Conventions, and Market Quotes
- Valuing Interest-Rate Swaps
- Primary Determinants of Swap Spreads
- Nongeneric Interest-Rate Swaps
- Canceling a Swap
- Credit Risk
- Swaptions
- Key Points
- Chapter 63 The Valuation of Interest-Rate Swaps and Swaptions
- Chapter 64 The Basics of Interest-Rate Options
- Chapter 65 Interest-Rate Caps and Floors
- Chapter 66 Credit Derivatives
- Chapter 67 Credit Derivative Valuation and Risk
- Chapter 68 Hedging Tail Risk
- Part Ten Performance Evaluation and Return Attribution Analysis
- Appendix Methodology for Calculating Currency Exposures in Bond Portfolios and Indexes
- Index
- Footnotes
- Chapter 1
- Chapter 2
- Chapter 3
- Chapter 4
- Chapter 5
- Chapter 6
- Chapter 7
- Chapter 8
- Chapter 9
- Chapter 10
- Chapter 11
- Chapter 12
- Chapter 13
- Chapter 15
- Chapter 16
- Chapter 17
- Chapter 18
- Chapter 19
- Chapter 20
- Chapter 21
- Chapter 22
- Chapter 23
- Chapter 24
- Chapter 25
- Chapter 26
- Chapter 27
- Chapter 28
- Chapter 29
- Chapter 30
- Chapter 31
- Chapter 32
- Chapter 34
- Chapter 35
- Chapter 36
- Chapter 37
- Chapter 38
- Chapter 39
- Chapter 40
- Chapter 41
- Chapter 42
- Chapter 43
- Chapter 45
- Chapter 46
- Chapter 47
- Chapter 48
- Chapter 50
- Chapter 51
- Chapter 53
- Chapter 54
- Chapter 55
- Chapter 57
- Chapter 58
- Chapter 59
- Chapter 60
- Chapter 61
- Chapter 62
- Chapter 63
- Chapter 64
- Chapter 65
- Chapter 66
- Chapter 67
- Chapter 68
- Chapter 69
- Chapter 70
- Chapter 71
3. The required margin is the spread (either positive or negative) the market requires as compensation for the risks embedded in the issue. If the required margin equals the quoted margin, a floater’s price will be at par on coupon reset dates.
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