• NEW - "Review of Accounting" chapter.
• NEW - Updated analytical techniques - In the valuation of bonds with embedded options and measures.
  • Enables students to assess the interest rate risk of complex instruments.
• NEW - Strategies for accomplishing investment objectives - In particular, coverage on employing derivative instruments has been updated to reflect recent developments.
  • Allows students to have the most current information available.
• NEW - Recent product information.
  • Provides students with the latest developments in mortgage and asset backed securities.
• Offers detailed coverage of various market sectors.
  • Includes mortgage-backed securities, asset-backed securities, technologies for valuing complex bond structures, actual bond portfolio management strategies, and interest rate derivatives.
• Excerpts from weekly trade publications.
  • Presents students with valuable information and components of end-of-chapter questions.
• Links between theory and practice.
  • Helps students understand the latest analytical techniques for valuing complex bond structures.
• Explains the bond strategies that are used by institutional investors.
  • Students can see how professional money managers employ strategies using bonds.
• Explains portfolio strategies employing interest rate derivative instruments.
  • Students see actual applications of interest rate derivatives.
• Numerous problems in each chapter.
  • Gives students the opportunity to apply learned skills on all topics.

The first edition of Bond Markets, Analysis, and Strategies was published in 1989. The objective was to provide coverage of the products, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. In the two editions subsequently published and in the current edition, the coverage of each of these areas has been updated. In the product area, the updating has been primarily for the latest developments in mortgage-backed securities and asset-backed securities. The updating of analytical techniques has been in the valuation of bonds with embedded options and measures for assessing the interest rate risk of complex instruments. Strategies for accomplishing investment objectives, particularly employing derivative instruments, have been updated in each edition.

Each edition has benefited from the feedback of readers, instructors using the book at universities and training programs, and CFA candidates who have used the book in their studies. Many discussions with portfolio managers and analysts, as well as my experiences serving on the board of directors of several funds and consulting assignments, have been invaluable in improving the content of the book. Moreover, my fixed income course at Yale’s School of Management and various presentations to institutional investor groups throughout the world provided me with the testing ground for new material.

I am indebted to the following individuals who shared with me their views on various topics covered in this book: Scott Amero (BlackRock Financial Management), Anand Bhattacharya (Countrywide Securities), Douglas Bendt (Mortgage Risk Assessment Corporation), David Canuel (Charter Oak Capital Management), John Carlson (Fidelity Management and Research), Dwight Churchill (Fidelity Management and Research), Ravi Dattatreya (Sumitomo Bank Capital Markets), Mark Dunetz (Guardian Life), Sylvan Feldstein (Guardian Life), Michael Ferri (George Mason University), John Finnery (Fordham University), Gifford Fong (Gifford Fong Associates), Jack Francis (Baruch College, CUNY), Laurie Goodman (Paine Webber), Joseph Guagliardo (FNX), David Horowitz (Miller, Anderson & Sherrerd), Frank Jones (Guardian Life), Andrew Kalotay (Andrew Kalotay Associates), Dragomir Krgin (Merrill Lynch), Martin Leibowitz (CREF), Jack Malvey (Lehman Brothers), Steven Mann (University of South Carolina), Jan Mayle (TIPS), William McLelland, Franco Modigliani (MIT), Ed Murphy (Merchants Mutual Insurance), Scott Pinkus (White Oak Capital Management), Sharmin Mossavar-Rahmani (Goldman Sachs Asset Management), Chuck Ramsey (Mortgage Risk Assessment Corporation), Scott Richard (Miller, Anderson & Sherrerd), Ron Ryan (Ryan Labs), Dexter Senft (Lehman Brothers), Richard Wilson (Fitch IBCA), Ben Wolkowitz (Morgan Stanley), David Yuen (Susquehanna Advisors Group), Paul Zhao (TIAA-CREF), and Yu Zhu (Merrill Lynch).

I also received extremely helpful comments from a number of colleagues using the text in an academic setting. These individuals helped me refine this edition, and I am sincerely appreciative of their suggestions. They are:

      Russell R. Wermers, University of Colorado at Boulder

      John H. Spitzer, University of Iowa

      John Edmunds, Babson College

I am confident that the fourth edition continues the tradition of providing up-to-date information about the bond market and the tools for managing bond portfolios.

Frank J. Fabozzi

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 Agency Securities Markets.
7. Corporate Debt Instruments.
8. Municipal Securities.
9. Non-U.S. Bonds.
10. Mortgage Loans.
11. Mortgage Pass-Through Securities.
12. Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities.
13. Asset-Backed Securities.
14. Analysis of Bonds with Embedded Options.
15. Analysis of Mortgage-Backed Securities.
16. Analysis of Convertible Bonds.
17. Active Bond Portfolio Management Strategies.
18. Indexing.
19. Liability Funding Strategies.
20. Bond Performance Measurement and Evaluation.
21. Interest-Rate Futures Contracts.
22. Interest-Rate Options.
23. Interest-Rate Swaps and Agreements.

Index.

• Solutions Manual (0-13-08096-8); (8609F-5)

• FinCoach, Version A: The Financial Management Math Practice Program (0-13-552076-2); (55207-5)
• Surfing for Success in Finance 1998-1999 (0-13-081527-6); (8152G-4)