• 1. Introduction
• 2. Pricing of Bonds
• 3. Measuring Yield
• 4. Bond Price Volatility
• 5. Factors Affecting Bond Yields and the Term Structure of Interest Rates
• 6. Treasury and Federal Agency Securities
• 7. Corporate Debt Instruments
• 8. Municipal Securities
• 9. International Bonds
• 10. Residential Mortgage Loans
• 11. Agency Mortgage Pass-Through Securities
• 12. Agency Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities
• 13. Nonagency Residential
• 14. Commercial Mortgage Loans and Commercial Mortgage-Backed Securities
• 15. Asset-Backed Securities
• 16. Pooled Investment Vehicles for Fixed Income Investors
• 17. Interest-Rate Models
• 18. Analysis of Bonds with Embedded Options
• 19. Analysis of Residential Mortgage-Backed Securities
• 20. Analysis of Convertible Bonds
• 21. Measuring Credit Spreads
• 22. Corporate Bond Credit Analysis
• 23. Credit Risk Modeling
• 24. Bond Portfolio Management Strategies
• 25. Bond Portfolio Construction
• 26. Corporate Bond Portfolio Management
• 27. Liability-Driven Strategies
• 28. Bond Performance Measurement and Evaluation
• 29. Interest Rate Futures
• 30. Interest-Rate Options
• 31. Interest-Rate Swaps, Caps, and Floors
• 32. Credit Default Swaps

Offer Hands-On Learning Using and Get Straight to the Point

• Fabozzi’s extensive experience in the field is reflected in his uniquely applied approach. Having served on the board of directors of two BlackRock funds and various high-profile consulting assignments, Fabozzi draws upon his discussions with chief investment officers, portfolio managers, analysts, traders, and regulators to improve the content of this book.
• All chapters end with key points in bullet form instead of a summary, allowing students to quickly and readily identify the key points of the chapter without sorting through more text.

Provide the Latest Information

• NEW! Previous editions focused on individual debt instruments. Chapter 16: Pooled Investment Vehicles For Fixed Income Investors describes investment vehicles that represent pooled investments and are referred to as pooled investment vehicles or collective investment vehicles. They include investment company shares, exchange-traded shares, hedge funds, and real estate investment trusts.  We discuss them from two perspectives: their investment characteristics and they are used as part of a bond portfolio strategy.          
• NEW! Earlier chapters in the book explain how to quantify the interest rate sensitivity of a bond and a bond portfolio to a change in the level of Treasury rates. Chapter 21 Measuring Credit Spread Exposures of Corporate Bonds focuses on how to best model credit spread behavior and how to measure exposure to credit spread risk when Treasury rates change.
• NEW! While earlier chapters describe bond portfolio strategies and management in general, Chapter 26 Considerations in Corporate Bond Portfolio Management covers issues associated specifically with the management of corporate bond portfolios. Coverage includes the stability of the investment characteristics of bond market indexes, credit relative value trades, constraint-tolerating investing, and how to quantify liquidity risk for corporate bonds.
• NEW! The chapter entitled “Liability-Driven Strategies” was removed from the previous edition and replaced with Chapter 27: Liability-Driven Investing for Defined Benefit Pension Plans. This chapter focuses on liability-driven investing for defined benefit pension plans and begins with a description of how pension plan sponsors incorrectly formulated investment policy by focusing solely on the asset side. After describing measures used to describe the health of a defined benefit pension plan, liability-driven investing strategies are described that take into account their liability obligations.
• REVISED!  Chapter 22: Corporate Bond Credit Analysis (Chapter 19 in the previous edition). There is expanded coverage and additional case illustrations: credit analysis and covenant analysis of Sirius XM Holdings Inc. and credit analysis of Sino-Forest Corporation (a commercial forestry company in China).
• REVISED!  Chapter 24 Bond Portfolio Management Strategies (Chapter 22 in the previous edition)  New material on selection of bond benchmarks, the problems with market-capitalisation weighted bond indexes, customised indexes, alternative bond benchmarks, and smart beta strategies is provided.

Use Clear Examples and Illustrations

• Chapter 19 Analysis of Residential Mortgage-Backed Securities (Chapter 18 in the previous edition) includes two real-world illustrations provided by FactSet.
• Chapter 23 Credit Risk Modeling (Chapter 21 in the previous edition) includes an illustration of how to

• Previous editions focused on individual debt instruments. Chapter 16: Pooled Investment Vehicles For Fixed Income Investors describes investment vehicles that represent pooled investments and are referred to as pooled investment vehicles or collective investment vehicles. They include investment company shares, exchange-traded shares, hedge funds, and real estate investment trusts.  We discuss them from two perspectives: their investment characteristics and they are used as part of a bond portfolio strategy.      
• Earlier chapters in the book explain how to quantify the interest rate sensitivity of a bond and a bond portfolio to a change in the level of Treasury rates. Chapter 21 Measuring Credit Spread Exposures of Corporate Bonds focuses on how to best model credit spread behavior and how to measure exposure to credit spread risk when Treasury rates change.
• While earlier chapters describe bond portfolio strategies and management in general, Chapter 26 Considerations in Corporate Bond Portfolio Management covers issues associated specifically with the management of corporate bond portfolios. Coverage includes the stability of the investment characteristics of bond market indexes, credit relative value trades, constraint-tolerating investing, and how to quantify liquidity risk for corporate bonds.
• The chapter entitled “Liability-Driven Strategies” was removed from the previous edition and replaced with Chapter 27: Liability-Driven Investing for Defined Benefit Pension Plans. This chapter focuses on liability-driven investing for defined benefit pension plans and begins with a description of how pension plan sponsors incorrectly formulated investment policy by focusing solely on the asset side. After describing measures used to describe the health of a defined benefit pension plan, liability-driven investing strategies are described that take into account their liability obligations.
• REVISED! Chapter 22: Corporate Bond Credit Analysis (Chapter 19 in the previous edition). There is expanded coverage and additional case illustrations: credit analysis and covenant analysis of Sirius XM Holdings Inc. and credit analysis of Sino-Forest Corporation (a commercial forestry company in China).
• REVISED! Chapter 24 Bond Portfolio Management Strategies (Chapter 22 in the previous edition). New material on selection of bond benchmarks, the problems with market-capitalization weighted bond indexes, customized indexes, alternative bond benchmarks, and smart beta strategies is provided.