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Important points include the following:The three important elements that an investor needs to know when investing in a fixed-income security are: 1 the bond’s features, whichdetermine it
CFA Institute is the premier association for investment professionals around the world, with more than 150,000 CFA charterholders worldwide in ® 165+ countries and regions Since 1963 the organization has developed and administered the renowned Chartered Financial Analyst Program With a rich history of leading the investment profession, CFA Institute has set the highest standards in ethics, education, and professional excellence within the global investment community and is the foremost authority on investment profession conduct and practice Each book in the CFA Institute Investment Series is geared toward industry practitioners along with graduate-level finance students and covers the most important topics in the industry The authors of these cutting-edge books are themselves industry professionals and academics and bring their wealth of knowledge and expertise to this series FIXED INCOME ANALYSIS WORKBOOK Fourth Edition James F Adams, PhD, CFA Donald J Smith, PhD Cover image: Background © maxkrasnov/iStock.com Cover design: Wiley Copyright © 2020 by CFA Institute All rights reserved Published by John Wiley & Sons, Inc., Hoboken, New Jersey The First, Second, and Third Editions of this book were published by Wiley in 2000, 2011, and 2015, respectively Published simultaneously in Canada No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the Web at www.copyright.com Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008, or online at www.wiley.com/go/permissions Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose No warranty may be created or extended by sales representatives or written sales materials The advice and strategies contained herein may not be suitable for your situation You should consult with a professional where appropriate Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages For general information on our other products and services or for technical support, please contact our Customer Care Department within the United States at (800) 762-2974, outside the United States at (317) 572-3993, or fax (317) 572-4002 Wiley publishes in a variety of print and electronic formats and by print-on-demand Some material included with standard print versions of this book may not be included in e-books or in print-on-demand If this book refers to media such as a CD or DVD that is not included in the version you purchased, you may download this material at http://booksupport.wiley.com For more information about Wiley products, visit www.wiley.com ISBN 978-1-119-62744-9 (Paper) ISBN 978-1-119-64687-7 (ePDF) ISBN 978-1-119-62818-7 (ePub) CONTENTS Cover Part I Learning Objectives,Summary Overview, and Problems Chapter Fixed-income Securities: Defining Elements Learning Outcomes Summary Overview Problems Chapter Fixed-Income Markets: Issuance, Trading, and Funding Learning Outcomes Summary Overview Problems Chapter Introduction to Fixed-Income Valuation Learning Outcomes Summary Overview Problems Chapter Introduction to Asset-Backed Securities Learning Outcomes Summary Overview Problems Chapter Understanding Fixed Income Risk and Return Learning Outcomes Summary Overview Problems Chapter Fundamentals of Credit Analysis Learning Outcomes Summary Overview Problems Chapter The Term Structure and Interest Rate Dynamics Learning Outcomes Summary Overview Problems Chapter The Arbitrage-Free Valuation Framework Learning Outcomes Summary Overview Problems Chapter Valuation and Analysis of Bonds with Embedded Options Learning Outcomes Summary Overview Problems 10 Chapter 10 Credit Analysis Models Learning Outcomes Summary Overview Problems Note 11 Chapter 11 Credit Default Swaps Learning Outcomes Summary Overview Problems 12 Chapter 12 Overview of Fixed-Income Portfolio Management Learning Outcomes Summary Overview Problems 13 Chapter 13 Liability-Driven and Index-Based Strategies Learning Outcomes Summary Overview Problems 14 Chapter 14 Yield Curve Strategies Learning Outcomes Summary Overview Problems 15 Chapter 15 Fixed-Income Active Management: Credit Strategies Learning Outcomes Summary Overview Problems Part II Solutions Chapter Fixed-Income Securities: Defining Elements Solutions Chapter Fixed-Income Markets: Issuance, Trading, and Funding Solutions Chapter Introduction to Fixed-Income Valuation Solutions Chapter Introduction to Asset-Backed Securities Solutions Chapter Understanding Fixed Income Risk and Return Solutions Chapter Fundamentals of Credit Analysis Solutions Chapter The Term Structure and Interest Rate Dynamics Solutions Chapter The Arbitrage-Free Valuation Framework Solutions Chapter Valuation and Analysis of Bonds with Embedded Options Solutions 10 Chapter 10 Credit Analysis Models Solutions 11 Chapter 11 Credit Default Swaps Solutions 12 Chapter 12 Overview of Fixed-Income Portfolio Management Solutions 13 Chapter 13 Liability-Driven and Index-Based Strategies Solutions 14 Chapter 14 Yield Curve Strategies Solutions 15 Chapter 15 Fixed-Income Active Management: Credit Strategies Solutions About the CFA Program End User License Agreement Guide Cover Table of Contents Part I Pages 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 ii iii iv 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 27 28 29 30 31 32 33 34 35 36 37 38 39 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 77 78 79 80 81 82 83 84 85 86 87 88 89 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 115 116 117 118 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 118 119 120 121 122 123 124 125 126 127 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 145 146 147 148 149 150 151 153 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 235 236 237 239 240 241 242 243 245 246 247 248 249 250 251 252 253 254 255 257 258 259 260 PART I LEARNING OBJECTIVES, SUMMARY OVERVIEW, AND PROBLEMS