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Fixed Income Portfolio Management Professor Paul Bolster Northeastern University Boston, Massachusetts USA Fixed Income Portfolio Management What is fixed income? Valuation of fixed income securities Sources of risk in fixed income portfolios Passive, active, and other management strategies What is fixed income? “Fixed income” refers to all securities that provide (or promise to provide) contractual payments during their lifetime. Fixed income securities often make regular payments of interest. Bonds, Notes, some money market instruments Some variable-interest instruments are classified as fixed income Bonds – Basic Features Contract: interest, par, maturity Senior or Junior claim? Collateral or Debenture Sinking Fund Call (or Put) feature Conversion feature Other types (floating rate, ZCB,…) Bond Ratings Assessment of creditworthiness Issues are rated, not firms Ratings agencies Investment grade vs. Junk Ratings changes and value Bond Ratings – SP Outline Industry Analysis Industry Risk Market Position Operating Efficiency Management Evaluation Financial Analysis Earnings Protection Financial Leverage and asset protection Cash flow adequacy Financial flexibility Accounting quality Bond Rating Springfield debt downgraded to junk-bond status (Boston Globe, June 3, 2004) “only 2 percent of cities nationwide are considered to be such a risky investment. The move by Standard Poors puts Springfield in the company of such downtrodden economically burdened cities as Camden, N.J.; Troy, N.Y.; Cranston, R.I.; and Pittsburgh” One year transition matrix From\To Aaa Aa A Baa Ba B CD Aaa 91.9 7.38 0.72 0 0 0 0 Aa 1.1 91.3 7.1 0.3 0.2 0 0 A 0.1 2.6 91.2 5.3 0.6 0.2 0 Baa 0 0.2 5.4 87.9 5.5 0.8 0.2 Bond Valuation Present value! Assume cash flows are known, adjust for risk in the required return (or Yield-to-Maturity) Example: ATT 6s 10 (as listed on the NY Bond Exch.) Par value = $1,000; Matures: Oct. 15, 2011 Semiannual coupon=(6% of $1,000)/2=$30 Payments: April 15, October
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