Table of Contents

Preface
Acknowledgments
Contributors

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

Index

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