Actuarial Notes

The Handbook of Fixed Income Securities

By Frank J. Fabozzi, Steven V. Mann and Francesco Fabozzi · McGraw Hill · 2021

Study guides: Exam ILA-101, Exam INV-101

A reference on fixed income securities and their derivatives, with chapters written by leading experts in their fields. The publisher describes the ninth edition as revised and updated for a market that has changed dramatically since the last edition, covering the basics of fixed income analytics, Treasury, agency, municipal and corporate bonds, mortgage-backed and asset-backed securities, the yield curve and the term structure, valuation and relative value, credit analysis, portfolio management and strategies, derivative instruments and their applications, and performance attribution analysis.

On the syllabus

  • Exam ILA-101 — outcome 5d: Ch. 10 (Corporate Bonds), pp. 235-262, excluding exhibits 10-1 and 10-2; and Ch. 21 (An Overview of Mortgages and the Mortgage Market)
  • Exam INV-101 — outcome 1a: Ch. 1 (Overview of the Types and Features of Fixed Income Securities), Ch. 2 (Risks Associated with Investing in Fixed Income Securities) and Ch. 7 (U.S. Treasury Securities), background only; Ch. 10 (Corporate Bonds); Ch. 11 (Leveraged Loans); Ch. 21 (An Overview of Mortgages and the Mortgage Market); Ch. 22 (Agency Mortgage Passthrough), pp. 471-491 before the Anatomy of the Agency Passthrough Market section; Ch. 23 (Agency Collateralized Mortgage Obligations), pp. 499-520 before the Exotics section; and Ch. 60 (Financing Positions in the Bond Market)

Part One Introduction

1 Overview of the Types and Features of Fixed Income Securities

2 Risks Associated with Investing in Fixed Income Securities

3 The Structure of Interest Rates

Part Two Basics of Fixed Income Analytics

4 Bond Pricing, Yield Measures, and Total Return

5 Measuring Interest-Rate Risk

6 Data Science and the Corporate Credit Markets

Part Three Treasury, Agency, Municipal, and Corporate Bonds

7 U.S. Treasury Securities

8 Agency Debt Securities

9 Municipal Bonds

10 Corporate Bonds

11 Leveraged Loans

12 Structured Notes and Credit-Linked Notes

13 Commercial Paper

14 Floating-Rate Securities

15 Inflation-Linked Bonds

16 Non-U.S. Sovereign Bonds

17 The Emerging Markets Debt

18 Fixed Income Exchange Traded Funds

19 Nonconvertible Preferred Stock

20 Private Infrastructure Debt

Part Four Mortgage-Backed and Asset-Backed Securities

21 An Overview of Mortgages and the Mortgage Market

22 Agency Mortgage Passthrough Securities

23 Agency Collateralized Mortgage Obligations

24 Stripped Mortgage-Backed Securities

25 Nonagency Residential Mortgage-Backed Securities: Legacy, RMBS 2.0, and Non-QM

26 Covered Bonds

27 Commercial Mortgage-Backed Securities

28 Credit Card Asset-Backed Securities

29 Securities Backed by Auto Loans and Leases, Equipment Loans and Leases, and Student Loans

30 Collateralized Loan Obligations

Part Five The Yield Curve and The Term Structure

31 Overview of Forward Rate Analysis

32 A Framework for Analyzing Yield-Curve Trades

33 Empirical Yield-Curve Dynamics and Yield-Curve Exposure

34 Term Structure Modeling with No-Arbitrage Interest Rate Models

Part Six Valuation and Relative Value

35 Relative Value Trading

36 Valuation of Bonds with Embedded Options

37 Valuation of Mortgage-Backed Securities

38 Convertible Securities

39 Risk Neutral Pricing of Convertible Bonds

Part Seven Credit Analysis

40 Credit Analysis for Corporate Bonds

41 The Credit Analysis of Municipal General Obligation and Revenue Bonds

42 Credit-Risk Modeling

Part Eight Portfolio Management and Strategies

43 Introduction to Bond Portfolio Management

44 Trading in the Bond Market

45 Bond Indexes and Bond Portfolio Management

46 Quantitative Management of Benchmarked Portfolios

47 Factor Investing in Fixed Income Securities

48 Active Factor Fixed Income Investing

49 Introduction to Multifactor Risk Models in Fixed Income and Their Applications

50 Analyzing Risk from Multifactor Fixed Income Models

51 Cash-Flow Matching

52 Building Corporate Bond Portfolios

53 Managing the Spread Risk of Credit Portfolios Using the Duration Times Spread Measure

54 Constructing and Managing High-Yield Bond Portfolios

55 Corporate Bonds and ESG

56 Global Credit Bond Portfolio Management

57 International Bond Portfolio Management

58 Factor Investing in Sovereign Bond Markets

59 Hedge Fund Fixed Income Strategies

60 Financing Positions in the Bond Market

Part Nine Derivative Instruments and Their Applications

61 Introduction to Interest-Rate Futures and Options Contracts

62 Pricing Futures and Portfolio Applications

63 Controlling Interest-Rate Risk with Futures and Options

64 Interest-Rate Swaps

65 The Valuation of Interest-Rate Swaps and Swaptions

66 The Basics of Interest-Rate Options

67 Interest-Rate Caps and Floors

68 Credit Derivatives

69 Credit Derivative Valuation and Risk

Part Ten Performance Attribution Analysis

70 Principles of Performance Attribution

71 Performance Attribution for Portfolios of Fixed Income Securities

72 Advanced Topics in Performance Attribution

Sources