Fixed Income Analysis

The essential guide to fixed-income portfolio management, from experts working with CFA Institute

Fixed Income Analysis, 5^th Edition delivers an authoritative overview of how successful investment professionals manage fixed-income portfolios. Back with expanded content on the defining elements of fixed income securities, corporate debt, repurchase agreements, term structure models, and more, the 5^th edition gives students and practitioners alike the tools to understand and apply effective fixed income portfolio management tactics.

Revised and updated by a team of investment experts in collaboration with CFA Institute, this text introduces the fundamental topics of fixed income securities and markets while also providing in-depth coverage of fixed income security valuation. This new edition offers refreshed and expanded content on the analysis and construction of active yield curve and credit strategies for portfolio managers.

Thanks to a wealth of real-world examples, Fixed Income Analysis remains an excellent resource for professionals looking to expand upon their current understanding of this important facet of portfolio management, as well as for students in the undergraduate or graduate classroom.

Through this text, readers will:

• Understand the main features and characteristics of fixed income instruments
• Master the key return and risk measures of fixed income instruments
• Develop and evaluate key fixed income investment strategies based on top-down and bottom-up analysis

The companion workbook (sold separately) includes problems and solutions aligning with the text and allows learners to test their comprehension of key concepts.

CFA Institute is the world’s premier association for investment professionals, and the governing body for the CFA® Program, CIPM® Program, CFA Institute ESG Investing Certificate, and Investment Foundations® Program. Investment analysts, portfolio managers, individual and institutional investors and their advisors, and any reader with an interest in fixed income markets will value this accessible and informative guide.

About CFA Institute

CFA Institute is the global association of investment professionals that sets the standard for professional excellence and credentials. The organization is a champion for ethical behavior in investment markets and a respected source of knowledge in the global financial community. The end goal: to create an environment where investors’ interests come first, markets function at their best, and economies grow. CFA Institute has more than 170,000 members in 160+ countries and territories, including 163,000 CFA^® charterholders, and 150+ member societies. For more information, visit www.cfainstitute.org.

Preface                                                               xv

Acknowledgements                                           xvii

About the CFA Institute Investment Series     xix

PART I: Fixed Income Essentials

CHAPTER 1: Fixed Income Securities: Defining Elements     3 

CHAPTER 2: Fixed Income Markets: Issuance, Trading, and Funding     45

CHAPTER 3: Introduction to Fixed-Income Valuation     91

CHAPTER 4: Introduction to Asset-Backed Securities              149  

CHAPTER 5: Understanding Fixed-Income Risk and Return     201

CHAPTER 6: Fundamentals of Credit Analysis     257

PART II: Fixed Income Term Structure, Advanced Valuation, and Credit Analysis

CHAPTER 7: The Term Structure and Interest Rate Dynamics     325

CHAPTER 8: The Arbitrage-Free Valuation Framework     377

CHAPTER 9: Valuation and Analysis of Bonds with Embedded Options     419

CHAPTER 10: Credit Analysis Models     487

CHAPTER 11: Credit Default Swaps     545

PART III: Fixed Income Portfolio Management

CHAPTER 12: Overview of Fixed-Income Portfolio Management     575 

CHAPTER 13: Liability-Driven and Index-Based Strategies      617

CHAPTER 14: Yield Curve Strategies     693

CHAPTER 15: Fixed-Income Active Management: Credit Strategies     743

Glossary                             823

About the Editors               841

About the CFA Program     843

Index                                    845

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