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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
Frank J. Fabozzi, Michael G. Ferri, and Steven V. Mann
Bonds
Preferred Stock
Residential Mortgage-Backed Securities
Commercial Mortgage-Backed Securities
Asset-Backed Securities
Covered Bonds
Key Points
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
Frank K. Reilly and David J. Wright
Uses of Bond Indexes
Building and Maintaining a Bond Index
Description of Alternative Bond Indexes
Risk/Return Characteristics
Correlation Relationships
Key Points
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
Steven I. Dym
The Macro-Economy
Corporate Profits
Interest Rates
The Central Bank
Important Considerations
The Yield Curve
The Spread Curve
Cyclicality of Credit Spreads
Stagflation
Correlation and Capital Structure
Key Points
Chapter 6 Bond Pricing, Yield Measures, and Total Return
Frank J. Fabozzi
Bond Pricing
Conventional Yield Measures
Total Return Analysis
Key Points
Chapter 7 Measuring Interest-Rate Risk
Frank J. Fabozzi, Gerald W. Buetow, Jr., Robert R. Johnson, and Brian J. Henderson
The Full-Valuation Approach
Price Volatility Characteristics of Bonds
Duration
Modified Duration versus Effective Duration
Convexity
Price Value of a Basis Point
The Importance of Yield Volatility
Key Points
Chapter 8 The Structure of Interest Rates
Frank J. Fabozzi
The Base Interest Rate
Risk Premium
The Term Structure of Interest Rates
Key Points
Part Two Government Securities and Corporate Debt Obligations
Chapter 9 U.S. Treasury Securities
Michael J. Fleming and Frank J. Fabozzi
Types of Securities
The Primary Market
The Secondary Market
Zero-Coupon Treasury Securities
Acknowledgments
Key Points
Chapter 10 Agency Debt Securities
Mark O. Cabana and Frank J. Fabozzi
Agency Debt Market Overview
Types of Agency Debt Securities
The Primary Market
The Secondary Market
Agency Debt Issuance
Issuing Agencies
Large, Active Issuers
Smaller, Active Issuers
Nonactive Issuers and Recently Retired GSEs
Acknowledgments
Key Points
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
Frank J. Fabozzi, Steven V. Mann, and Adam B. Cohen
The Corporate Trustee
Some Bond Fundamentals
Security for Bonds
Alternative Mechanisms to Retire Debt before Maturity
Credit Risk
Event Risk
High-Yield Bonds
Default Rates and Recovery Rates
Medium-Term Notes
Key Points
Chapter 13 Leveraged Loans
Stephen J. Antczak, Frank J. Fabozzi, and Jung Lee
Syndicated Bank Loans
Loan Structure
Loan Terms
Recovery Rates
Secondary Market
Key Points
Chapter 14 Convertible Securities and Their Investment Application
Jonathan L. Horne and Chris P. Dialynas
Basic Characteristics of Convertible Securities and Key Terms
Overview of Convertible Bond Valuation and Risk Metrics
Primary Investors in Convertible Bonds
Motivations behind the Issuance of Convertible Securities
Key Points
Chapter 15 Structured Notes and Credit-Linked Notes
John D. Finnerty and Rachael W. Park
Structured Notes
Credit-Linked Notes
Key Points
Chapter 16 Private Money Market Instruments
Frank J. Fabozzi and Steven V. Mann
Commercial Paper
Bankers Acceptances
Large-Denomination Negotiable CDs
Repurchase Agreements
Federal Funds
Key Points
Chapter 17 Floating-Rate Securities
Frank J. Fabozzi and Steven V. Mann
General Features of Floaters and Major Product Types
Call and Put Provisions
Spread Measures
Price Volatility Characteristics of Floaters
Portfolio Strategies
Key Points
Chapter 18 Inflation-Linked Bonds
John B. Brynjolfsson
Mechanics and Measurement
Marketplace
Valuation and Performance Dynamics
Investors
Issuers
Other Issues
Key Points
Chapter 19 International Bond Markets and Instruments
Karthik Ramanathan
Overview and Scope of International Bond Markets
The Instruments: Domestic, Euro, and Foreign
Dollar-Denominated International Bonds
Non-Dollar-Denominated Debt International Bonds
International Fixed Income and Understanding Currency Risk
Key Points
Chapter 20 Emerging Markets Debt
Jane Sachar Brauer
The Debt Universe
Emerging Markets Debt Performance History
Brady Bonds
Defaults, Exchanges, Restructurings, Workouts, and Litigation
Derivatives
Credit-Linked Notes (CLNs)
Valuation Methods
Conclusion
Collateralized Brady Bonds
Noncollateralized Brady Bonds
Chapter 21 Fixed Income Exchange Traded Funds
Matthew Tucker and Stephen Laipply
Investment Characteristics
Fixed Income ETF Management
Fixed Income ETF Characteristics and Mechanics
Trading Behavior: A Closer Look at Premiums and Discounts
Key Points
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
Steven V. Mann
Preferred Stock Issuance
Trust Preferred
Preferred Stock Ratings
Tax Treatment of Dividends
Key Points
Part Three Securitized Products
Chapter 24 An Overview of Mortgages and the Mortgage Market
Anand K. Bhattacharya and William S. Berliner
Product Definition and Terms
Mechanics of Mortgage Loans
The Mortgage Industry
Generation of Mortgage Lending Rates
Component Risks of Mortgage Products
Key Points
Chapter 25 Agency Mortgage-Backed Securities
Andrew Davidson, Anne Ching, and Eknath Belbase
Mortgage Loans
History of Secondary Mortgage Market
Agency Pool Programs
Trading Characteristics
Prepayment and Cash-Flow Behavior
Prepayment Conventions
Sources of Prepayments
Prepayment Models
Valuation
Key Points
Chapter 26 Agency Collateralized Mortgage Obligations
Alexander Crawford
The CMO Market
The Reasons Why CMOs Exist
CMO Tranche Types
Agency versus Nonagency CMOs
Agency CMO Analysis
Key Points
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
Linda Lowell
The Basic Accrual Structure
How the Z Interacts with Other Bonds in the Structure
CMOs with PACs and a Z-Bond
Performance of Z-Bonds
More Fun with Accrual Bonds
PAC Zs
Structures with More Than One Z-Bond
Key Points
Chapter 29 Support Bonds with Schedules in Agency CMO Deals
Linda Lowell
Support Bond Basics
Support TAC Bonds
Reverse TACs
Layered PAC Bonds
Summary of Average Life Volatilities
Key Points
Chapter 30 Stripped Mortgage-Backed Securities
Cyrus Mohebbi, Gary Li, Todd White, and David Kwun 629
Overview of the SMBS Market
Investment Characteristics
Key Points
Chapter 31 Nonagency Residential Mortgage-Backed Securities
Dapeng Hu and Robert Goldstein
Market Overview
Collateral
Capital Structure
Housing Market
Mortgage Modification
Relative Value and Risk Analysis
Key Points
Chapter 32 Commercial Mortgage-Backed Securities
Wayne M. Fitzgerald II and Mark D. Paltrowitz
The Collateral Pool
CMBS Trust Structure
Transaction Participants
Transaction Features
Market Development
Modeling
Key Points
Chapter 33 Credit Card Asset-Backed Securities
John McElravey
Securitization of Credit Card Receivables
The Credit Card ABS Life Cycle
Cash-Flow Allocations
Credit and Investment Considerations
Key Points
Chapter 34 Securities Backed by Auto Loans and Leases, Equipment Loans and Leases, and Student Loans
John McElravey
Securitization in Brief
Auto Loans and Leases
Equipment Loans and Leases
Student Loans
Key Points
Chapter 35 Collateralized Loan Obligations
Frank J. Fabozzi
Assets
Capital Structure
Creation Purpose
Credit Structures
Key Points
Part Four Term Structure of Interest Rates
Chapter 36 Overview of Forward Rate Analysis
Antti Ilmanen
Computation of Par, Spot, and Forward Rates
Main Influences on the Yield-Curve Shape
Using Forward Rate Analysis in Yield-Curve Trades
Key Points
Chapter 37 A Framework for Analyzing Yield-Curve Trades
Antti Ilmanen
Forward Rates and Their Determinants
Decomposing Expected Returns of Bond Positions
Key Points
Chapter 38 Empirical Yield-Curve Dynamics and Yield-Curve Exposure
Wesley Phoa
Fundamental Determinants of Yield-Curve Dynamics
Empirical Analysis of Yield-Curve Dynamics
Beyond Level and Slope Risk
Key Points
Chapter 39 Term Structure Modeling with No-Arbitrage Interest Rate Models
Gerald W. Buetow, Jr., and Brian J. Henderson
Introduction to Models of the Short Rate
Binomial Interest Rate Lattices
Trinomial Lattice
Key Points
Part Five Valuation Modeling
Chapter 40 Valuation of Bonds with Embedded Options
Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan
The Interest Rate Lattice
Calibrating the Lattice
Using the Lattice for Valuation
Fixed-Coupon Bonds with Embedded Options
Valuation of Two More Exotic Structures
Extensions
Key Points
Chapter 41 Valuation of Agency Mortgage-Backed Securities
Frank J. Fabozzi, Scott F. Richard, and Peter Ru
Static Valuation
Dynamic Valuation Modeling
Illustrations
Key Points
Chapter 42 Convertible Securities: Their Structures, Valuation, and Trading
Mihir Bhattacharya
Evolution in the Convertible Markets
Basic Characteristics of Convertible Securities
Approaches to Valuation of Convertibles
Exercising the Embedded Options
Looking Forward
Key Points
Part Six Credit Risk
Chapter 43 Credit Analysis for Corporate Bonds
Martin Fridson, Frank J. Fabozzi, and Adam B. Cohen
Approaches to Credit Analysis
Industry Considerations
Financial Analysis
Combining Financial and Nonfinancial Analysis
Indenture Provisions
Utilities
Finance Companies
The Analysis of High-Yield Corporate Bonds
Credit Scoring Models
Key Points
Chapter 44 The Credit Analysis of Municipal General Obligation and Revenue Bonds
Sylvan G. Feldstein, Alexander Grant, and David Ratner
The Legal Opinion
The Need to Know Who Really Is the Issuer
On the Financial Advisor and Underwriter
General Credit Indicators and Economic Factors in the Credit Analysis
Red Flags for the Investor
Information Sources for the Analyst
Key Points
Chapter 45 Credit-Risk Modeling
Tim Backshall, Kay Giesecke, and Lisa Goldberg
Structural Credit Models
Reduced-Form Credit Models
Incomplete-Information Credit Models
Key Points
Part Seven Multifactor Risk Models
Chapter 46 Introduction to Multifactor Risk Models in Fixed Income and Their Applications
Anthony Lazanas, António Baldaque da Silva, Radu Găbudean, and Arne D. Staal
Motivation and Structure Underlying Fixed Income Multifactor Risk Models
Fixed Income Risk Models
Applications of Risk Modeling
Key Points
Chapter 47 Analyzing Risk from Multifactor Fixed Income Models
Anthony Lazanas, António Baldaque da Silva, Radu C. Găbudean, and Arne D. Staal
Approaches Used to Analyze Risk
Key Points
Chapter 48 Hedging Interest-Rate Risk with Term-Structure Factor Models
Lionel Martellini, Philippe Priaulet, and Frank J. Fabozzi
Defining Interest-Rate Risk(s)
Hedging with Duration
Relaxing the Assumption of a Small Shift
Relaxing the Assumption of a Parallel Shift
Comparative Analysis of Various Hedging Techniques
Key Points
Part Eight Bond Portfolio Management
Chapter 49 Introduction to Bond Portfolio Management
Kenneth E. Volpert
Overview of Traditional Bond Management
Overview of the Core/Satellite Approach
Why Choose Indexing?
Which Index Should Be Used?
Primary Bond Indexing Risk Factors
Enhancing Bond Indexing
Measuring Success
Key Points
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
Jack Malvey
Credit Relative-Value Analysis
Total-Return Analysis
Primary Market Analysis
Liquidity and Trading Analysis
Secondary Trade Rationales
Spread Analysis
Structural Analysis
Credit-Curve Analysis
Credit Analysis
Asset Allocation/Sector Rotation
Key Points
Chapter 52 Elements of Managing a High-Yield Bond Portfolio
Mark R. Shenkman and Nicholas R. Sarchese
Bottom-Up–Credit/Security Analysis
Top-Down High-Yield Market Drivers and Macro Considerations
Portfolio Considerations
Key Points
Chapter 53 International Bond Portfolio Management
Karthik Ramanathan, James M. Gerard, and Frank J. Fabozzi
Overview of International Bond Market Investing
Investment Objectives and Policy Statements
Developing a Portfolio Strategy
Sources of Excess Return
The Fundamental-Based Investment Approach
Portfolio Construction
Key Points
Chapter 54 Fixed Income Transition Management
Ananth Madhavan and Daniel Gallegos
Basics of Fixed Income Transitions
Transition Metrics and Objectives
Case Study of Risk Management
Key Points
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
Alfred Murata
Background
Economic (Credit) Risk versus Financial (Leverage) Risk
Analysis of Nonagency Mortgage-Backed Securities
Key Points
Chapter 57 Hedge Fund Fixed Income Strategies
Ellen Rachlin, Chris P. Dialynas, and Vineer Bhansali
Macro Investing
Asset-Backed Credit Strategy
Capital Structure Arbitrage
Long/Short Credit Strategy
Distressed
Basis Trading
Index Arbitrage and Correlation Trading
Volatility Trading
Key Points
Chapter 58 Financing Positions in the Bond Market
Frank J. Fabozzi and Steven V. Mann
Repurchase Agreement
Dollar Rolls
Margin Buying
Securities Lending
Key Points
Part Nine Derivatives
Chapter 59 Introduction to Interest-Rate Futures and Options Contracts
Frank J. Fabozzi, Steven V. Mann, Mark Pitts, and Robin Grieves
Basic Characteristics of Derivative Contracts
Representative Exchange-Traded Interest-Rate Futures Contracts
Mechanics of Futures Trading
Representative Exchange-Traded Futures Options Contracts
OTC Contracts
Key Points
Chapter 60 Pricing Futures and Portfolio Applications
Frank J. Fabozzi, Mark Pitts, and Bruce M. Collins
Pricing of Futures Contracts
Applications to Portfolio Management
Portable Alpha
Key Points
Chapter 61 Controlling Interest-Rate Risk with Futures and Options
Frank J. Fabozzi, Shrikant Ramamurthy, and Mark Pitts
Controlling Interest-Rate Risk with Futures
Hedging with Options
Key Points
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
Gerald W. Buetow and Brian J. Henderson
Swap Valuation Using the Lattice Approach
Forward-Start Swaps
Valuing Swaptions
Valuing Basis Swaps and Non-LIBOR-Based Swaps
Factors Affecting Swap Valuation
Key Points
Chapter 64 The Basics of Interest-Rate Options
William J. Gartland and Nicholas C. Letica
How Options Work
Options Strategies—Reorganizing the Profit/Loss Graph
Classic Option Strategies
Practical Portfolio Strategies
Volatility
Key Points
Chapter 65 Interest-Rate Caps and Floors
George L. Albota and Radu S. Tunaru
Caps and Floors Defined
Collars and Corridors
Hybrid Type Instruments
Potential Applications of Caps and Floors
Caplets and Floorlets
Insights on Trading Caps and Floors
Caps and Floors versus Swaptions Wedge
Key Points
Chapter 66 Credit Derivatives
Dominic O’Kane
Evolution of the Credit Derivatives Market
The Credit Default Swap
CDS Mechanics
Credit Events
The CDS Settlement Timeline
CDS Indices
Importance of the CDS Market
Key Points
Chapter 67 Credit Derivative Valuation and Risk
Dominic O’Kane
CDS Valuation
The CDS–Bond Relationship
Model
New and Existing Contracts
Risk Management
CDS Index Valuation
Key Points
Chapter 68 Hedging Tail Risk
Stephen J. Antczak
Step-by-Step Guide to Hedging
The Need to Hedge
Overview of Select Tail Risks
Generic Challenges Facing Hedgers
Unfunded Hedges (Insurance)
Funded Hedges (Alpha Trades)
Key Points
Part Ten Performance Evaluation and Return Attribution Analysis
Chapter 69 Principles of Performance Attribution
Anthony Lazanas, António Baldaque da Silva, Chris Sturhahn, Eric P. Wilson, and Pam Zhong
Principles of Performance Attribution
Mathematics of Performance Attribution
Applications of Performance Attribution
Key Points
Chapter 70 Performance Attribution for Portfolios of Fixed Income Securities
Anthony Lazanas, António Baldaque da Silva, Chris Sturhahn, Eric P. Wilson, and Pam Zhong
Return Splitting
Outperformance Breakdown
Total Return Model
Excess Return Model
Fully Analytical Model
Selecting an Appropriate Attribution Model
Key Points
Chapter 71 Advanced Topics in Performance Attribution
Anthony Lazanas, António Baldaque da Silva, Chris Sturhahn, Eric P. Wilson, and Pam Zhong
Multicurrency Attribution
Derivatives and Leverage
From Theory to Practice
Key Points
Appendix Methodology for Calculating Currency Exposures in Bond Portfolios and Indexes
Curt Hollingsworth
Main Formula for Bond Portfolios
Main Formula for Citigroup Indexes
Main Formula for Barclays Capital Indices
Index
Footnotes
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1 This section is adapted from Nicholas Sarchese, Amy Levine, “Credit Analysis and Analyzing a High-Yield Issuance,” Chapter 7 in William F.
2 This section is adapted from Mark R.
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Chapter 71
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Chapter 47
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3.
2.
For an explanation of Isolated TEV, see
Chapter 46
.
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