Managing a Corporate Bond Portfolio
John Wiley & Sons, Apr 21, 2003 - Business & Economics - 336 pages
Praise for Managing a Corporate Bond Portfolio
"Crabbe and Fabozzi's Managing a Corporate Bond Portfolio is a refreshingly good book on the neglected topic in fixed income portfolio management. If you want to understand the latest thinking in corporate bonds, what drives prices and why, read this book. You will emerge with knowledge that will help you get an edge in the competitive investing arena."
Director, Financial Strategy Group, CSFB
"A practitioner's guide . . . a creative, comprehensive, and practical book that addresses the myriad of challenges facing managers of corporate bond portfolios. The chapter on liquidity, trading, and trading costs is a must read."
Head of Credit Strategy, Merrill Lynch
"As a Senior Portfolio Manager responsible for managing billions of dollars invested in fixed income product during the mid-1990s, Lee Crabbe was the one Wall Street strategist that I would read every week to help me figure out where value was in the corporate bond market, and for insightful and easy-to-understand special reports that educated me and most investors on the risks and opportunities inherent in new structures and subordinated products. Fortunately for me and investors, Lee Crabbe and Frank Fabozzi have written this book, which compiles much of their previous work on corporate bond valuation, along with new features that are a must read, especially in light of the volatile times in the corporate bond market over the past few years. For portfolio managers, analysts, traders, and even strategists, if there is one book in your bookshelf that you should have on corporate bond portfolio management, it is this one."
-William H. Cunningham
Managing Director, Director of Credit Strategy, J.P. Morgan Securities Inc.
Other editions - View all
1-year horizon 1-year rate 100 basis points analysis assets assumed assumption basis points benchmark bid-ask spread bond market bond swap bondholder box trade breakeven spread calculated call option callable bond cash flow change in yield Chapter company’s convertible bond convexity measure corporate bond corporate spreads coupon payments coupon rate credit quality credit risk credit spread debt default rate deferrable bonds downgraded embedded options example excess return Exhibit forward rates forward spread high-yield indenture interest rate tree investment horizon investment-grade investor issue issuer key rate duration liquidity on-the-run option value option-free bond percentage price change period portfolio managers present value put option putable bond rating transition ratio Recovery Rate redemption reference rate reset scenario sector sell senior bonds single-A spot rate spread curve straight value strategy structured notes trading costs Treasury rate Treasury securities widen yield curve yield spread yield to maturity zero-coupon
Page 7 - A more recent example of an open-ended industrial debenture issue is found in the Eastman Kodak Company debt prospectus dated March 23, 1988 and supplemented October 21, 1988, which says that "the Indenture does not limit the aggregate principal amount of debentures, notes or other evidences of indebtedness ("Debt Securities") which may be issued thereunder and provides that Debt Securities may be issued from time to time in one or more series.