Fixed Income Analysis Workbook

BARBARA S. PETITT, PD, CFA, is Director, Curriculum Projects, EMEA, in the Education Division at CFA Institute. She holds a master's in management from EDHEC Business School as well as a master's in research and a PhD in finance from the University of Grenoble. She is a member of CFA Institute and CFA Society of the UK. JERALD E. PINTO, PD, CFA, has been at CFA Institute since 2002 as Visiting Scholar, Vice President, and now Director, Curriculum Projects, in the Education Division for the CFA and CIPM programs. He holds an MBA from Baruch College and a PhD in finance from the Stern School and is a member of CFA Virginia. WENDY L. PIRIE, PD, CFA, is Director, Curriculum Projects, in the Education Division at CFA Institute. She holds a PhD in accounting and finance from Queen's University at Kingston, Ontario, and MBAs from the Universities of Toronto and Calgary. She is a member of CFA Institute, New York Society of Security Analysts, and CFA Society of Chicago.

PART I Learning Objectives, Summary Overview, and Problems CHAPTER 1 Fixed-Income Securities: Defining Elements 3 Learning Outcomes 3 Summary Overview 3 Problems 5 CHAPTER 2 Fixed-Income Markets: Issuance, Trading, and Funding 9 Learning Outcomes 9 Summary Overview 9 Problems 11 CHAPTER 3 Introduction to Fixed-Income Valuation 15 Learning Outcomes 15 Summary Overview 15 Problems 18 CHAPTER 4 Understanding Fixed-Income Risk and Return 27 Learning Outcomes 27 Summary Overview 28 Problems 30 CHAPTER 5 Fundamentals of Credit Analysis 35 Learning Outcomes 35 Summary Overview 35 Problems 39 CHAPTER 6 Credit Analysis Models 43 Learning Outcomes 43 Summary Overview 43 Problems 44 CHAPTER 7 Introduction to Asset-Backed Securities 47 Learning Outcomes 47 Summary Overview 47 Problems 50 CHAPTER 8 The Arbitrage-Free Valuation Framework 53 Learning Outcomes 53 Summary Overview 53 Problems 54 CHAPTER 9 Valuation and Analysis: Bonds with Embedded Options 59 Learning Outcomes 59 Summary Overview 60 Problems 62 CHAPTER 10 The Term Structure and Interest Rate Dynamics 67 Learning Outcomes 67 Summary Overview 67 Problems 68 CHAPTER 11 Fixed-Income Portfolio Management Part I 73 Learning Outcomes 73 Summary Overview 74 Problems 75 CHAPTER 12 Fixed-Income Portfolio Management Part II 81 Learning Outcomes 81 Summary Overview 82 Problems 83 CHAPTER 13 Relative-Value Methodologies for Global Credit Bond Portfolio Management 91 Learning Outcomes 91 Summary Overview 91 Problems 93 PART II Solutions CHAPTER 1 Fixed-Income Securities: Defining Elements 103 Solutions 103 CHAPTER 2 Fixed-Income Markets: Issuance, Trading, and Funding 107 Solutions 107 CHAPTER 3 Introduction to Fixed-Income Valuation 111 Solutions 111 CHAPTER 4 Understanding Fixed-Income Risk and Return 125 Solutions 125 CHAPTER 5 Fundamentals of Credit Analysis 131 Solutions 131 CHAPTER 6 Credit Analysis Models 133 Solutions 133 CHAPTER 7 Introduction to Asset-Backed Securities 135 Solutions 135 CHAPTER 8 The Arbitrage-Free Valuation Framework 141 Solutions 141 CHAPTER 9 Valuation and Analysis: Bonds with Embedded Options 145 Solutions 145 CHAPTER 10 The Term Structure and Interest Rate Dynamics 151 Solutions 151 CHAPTER 11 Fixed-Income Portfolio Management Part I 155 Solutions 155 CHAPTER 12 Fixed-Income Portfolio Management Part II 159 Solutions 159 CHAPTER 13 Relative-Value Methodologies for Global Credit Bond Portfolio Management 165 Solutions 165 About the CFA Program 171