Fixed Income Securities

The book aims to put the whole fixed income market into one text with one voice. It covers bond features, valuation and interest-rate risk, then works through each sector, from Treasuries, agencies and municipals to corporates, mortgage-backed and asset-backed securities, CDOs and international bonds, and closes with portfolio management and strategy.

Fabozzi is among the most prolific authors in fixed income. When this edition appeared he edited the Journal of Portfolio Management, taught as an adjunct professor of finance at Yale's School of Management and sat on the boards of the BlackRock and Guardian Life fund complexes. He holds a PhD in economics from the City University of New York and is a CFP and CPA. He also edits The Handbook of Fixed Income Securities, a multi-author reference of more than 1,300 pages, and wrote the textbook Bond Markets, Analysis, and Strategies.

Its advantage over the Handbook is concision and consistency. The caveat is age: the second edition dates from late 2001, so its treatment of nonagency mortgages and CDOs predates the subprime collapse, and it has nothing on post-crisis rules, central-bank balance sheets or the end of LIBOR. We found few independent reviews; the assessment here rests on the publisher's materials and the table of contents.

New analysts on rates, credit or securitized desks, CFA candidates and generalists who need the mechanics of each sector will get the most from it.

1. Measure rate risk explicitly. Price sensitivity to yield changes is the first thing to know about any bond position, and the book's valuation chapter gives the tools for estimating it.
2. Yield is not the same as return. Yield and spread measures rest on assumptions about reinvestment and holding period, so compare securities on consistent measures.
3. Embedded options change the risk. Call features and mortgage prepayments mean the investor has sold an option, which alters how a security behaves when rates move.
4. Structure redistributes risk. CMOs, ABS and CDOs carve cash flows into tranches; know which tranche absorbs prepayments and credit losses, a lesson the 2007-08 crisis made expensive.
5. Financing and taxes matter. Repo and securities lending determine leverage and funding costs, and tax treatment changes after-tax yields across Treasuries, municipals and corporates.

Fabozzi starts with tools that apply to every bond, applies them sector by sector, and ends with how positions are financed, taxed and managed. The 18 chapters fall into five blocks.

1. Foundations. Features and risks of fixed income securities, how to value them and measure their sensitivity to interest rates, and the yield and yield-spread measures used to compare one bond with another.
2. Government and municipal debt. US Treasury securities, federal agency securities and municipal bonds.
3. Corporate debt. Two chapters on senior corporate instruments, the debt that ranks ahead of equity in a company's capital structure.
4. Mortgages and structured credit. Agency mortgage passthroughs, agency collateralized mortgage obligations, nonagency mortgage-backed securities, asset-backed securities and collateralized debt obligations, moving from government-backed pools to private-label deals and repackaged pools of bonds and loans.
5. Markets and portfolios. International bonds, the collateralized borrowing and securities-lending markets that finance bond positions, tax treatment, an introduction to fixed income portfolio management and an overview of portfolio strategies.

A Comprehensive Guide to All Aspects of Fixed IncomeSecurities Fixed Income Securities, Second Edition sets thestandard for a concise, complete explanation of the dynamics andopportunities inherent in today's fixed income marketplace. FrankFabozzi combines all the various aspects of the fixed incomemarket, including valuation, the interest rates of riskmeasurement, portfolio factors, and qualities of individualsectors, into an all-inclusive text with one cohesive voice. This comprehensive guide provides complete coverage of the widerange of fixed income securities, including: U.S. Treasury securities Agencies Municipal securities Asset-backed securities Corporate and international bonds Mortgage-backed securities, including CMOs Collateralized debt obligations (CDOs) For the financial professional who needs to understand thefundamental and unique characteristics of fixed income securities,Fixed Income Securities, Second Edition offers themost up-to-date facts and formulas needed to navigate today'sfast-changing financial markets. Increase your knowledge of thismarket and enhance your financial performance over the long-termwith Fixed Income Securities, Second Edition. www.wileyfinance.com