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1、CHAPTERFORTY-SIXGLOBALCREDITBONDPORTFOLIOMANAGEMENTJACKMALVEY,CFAManagingDirectorLehmanBrothersCorporatebondsarethesecondoldestand,formostassetmanagers,themostdemandingandfascinatingsubsetoftheglobaldebtcapitalmarkets.Thelabel,“cor-porate,”understatesthescopeofthisburgeoningassetclass.Ascommonlytrad
2、edandadministeredwithinthecontextofanoveralldebtportfolio,the“corporateassetclass”actuallyencompassesmuchmorethanpurecorporateentities.Insteadofthetitle,“corporateassetclass,”thissegmentoftheglobalbondmarketreallyshouldbeclassifiedasthe“creditassetclass,”includinganynonagencymortgage-backedsecu-ritie
3、s(MBS),commercialmortgage-backedsecurities(CMBS),andasset-backedsecurities(ABS).Sovereignsandgovernment-controlledentitieswithforeigncurren-cydebtissuesthoughttohavemorecreditriskthanthenationalgovernmentalsoshouldbeincluded.Inkeepingwithconventionalpracticeinthefixedincomemarket,however,theapplicati
4、onofthetermcreditassetclassinthischapterwillpertainonlytocorporatebonds,sovereigns,andgovernment-controlledentities.Fromsixcontinents,thousandsoforganizations(corporations,governmentagencies,projects,andstructuredpoolsofdebtsecurities)withdifferentcredit“stories”havesolddebttosustaintheiroperationsa
5、ndtofinancetheirexpansion.Theseborrowersusedozensofdifferenttypesofdebtinstruments(firstmortgagebonds,debentures,equipmenttrustcertificates,subordinateddebentures,medium-termnotes,floating-ratenotes,privateplacements,preferredstock)andinmulti-plecurrencies(dollars,yen,euros,Swissfrancs,pounds)frommaturi
6、tiesrangingfromoneyeartoevenathousandyears.Sometimesthesedebtstructurescarryembeddedoptions,whichmayallowforfullorpartialredemptionpriortomatu-rityattheoptionofeithertheborrowerortheinvestor.Sometimesthecouponpaymentfloatswithshort-terminterestratesorresetstoahigherrateafterafixedintervaloracredit-rat
7、ingchange.Thischapterisadaptedfrom“Relative-ValueMethodologiesforGlobalCreditBondPortfolioManagement,”Chapter5inFrankJ.Fabozzi(ed.),FixedIncomeReadingsfortheCharteredFinancialAnalystProgram(NewHope,PA
