Intro

Credit Risk

Capital Strct.

Capital Structure, Seniority

Seniority Ranking
Ranking & Recovery Rates

Recovery Rates

Credit Ratings

Rating Agencies, Credit

Ratings & Their Roles in the Issuer vs. Issuer Ratings
Debt Mkts

Risks in Relying on Agency Ratings

R47.Fundamental of
Cre dit Analysis

Similarities

Credit Analysis vs. Equity Analysis

Traditional Credit Analysis: Diff s

Corporate Debt Securities

The Four Cs of Credit Analysis:

A Usef ul Framew ork

Credit Risk vs. Return: Yields & Spreads

Special Considerationf of HY,

Sovereign and Non-Sovereign

High Yield

Credit Analysis Sovereign Debt

Non-Sovereign Gov Debt

Intro

Sources of Return

Macaulay, Modified &

Approximate Duration

Effective Duration

Key Rate Duration

Interest Rate Risk on

Properties of Bond Duration
Fixed-Rate Bonds

R46.Unde rstanding FI
Risk & Re turn Duration of a Bond Portfolio

Money Duration of a Bond &

the Price Value of a Basis Point

Bond Convexity

Yield Volatility

Interest Rate Risk and the

Investment Horizon
Investment Horizon, Macaulay
Duration & Interest Rate Risk

Credit & Liquidity Risk

Intro

Benefit of Securitization for

Economies & Financial Markets

Example

Parties to a Securitization & Their roles

How securitization Works

Structure of a Securitization

Key role of the SPE

Maturity

Interest Rate Determination

Amortization Schedule
Residential Mortgage Loans

Prepayment Options &

Prepayment Penalties

R45.Intro to
Asse t-Backe d Rights of the Lender in a
Securities Foreclosure

MPS

Residential Mortgage-Backed Securities CMO

Non-agency RMBS

Credit risk

CMBS

CMBS Structure

Auto Loan ABS

Non-Mortgage ABS

Credit Card Receivable ABS

CDO Structure

Collateralized Debt Obligation

Fixed Income
Example of a CDO Transaction

Intro

Bond px-ing w ith a Mkt

discount rate

YTM

Bond px and the TVM

Relationships btw . Bond px and

Bond characteristics

Px-ing bonds w ith Spot Rates

Flat Px, Accrued Interest & Full px

Matrix Pricing
R44.Introduction to FI
Valuation

Annual Yields f or Varying

Compounding Periods in the
Year
Px & Yields: Conventions for
Quotes & Calculations

Yield Measures for Fixed-Rate Bonds

Yield Measures for FRN

Yield Measures for MMI

The Maturity Strc. of Interest Rates

Yield spr over Bchmark Rates

Yield Spreads

Yield spr over BM Yield curves

Intro

Classification of FI Markets

Overview of Global FI Markets FI Indexes

Investors in FI Securities

Primary Bond Markets

Primary & Secondary Bond Markets

Secondary Bond Markets

Characteristics of Sovereign Bonds

Sovereign Bonds Credit Quality

Types

Non-SB

R43.FI M arkets: Non-Sovereign Gov,

Issuance, Trading & Quais-Gov & Supranational Quasi-Gov Bond
Funding Bonds

Supra. Bonds

Bank Loans & Syndicated Loans

Corporate Debt Commercial Paper

Corporate Notes & Bonds

Capital Protected Instruments

Structured Financial
Participation Instruments
Instruments

Leveraged Instruments

Retail Deposits

Short-Term Funding
ST-Wholesale Funds
Alternatives Available to Banks

Repo & R-Repo

Intro

Basic feat. of a Bond

Overview of FI security

Yield Measures

Bond Indenture

Legal, Regulatory & Tax Legal & Regulatory

considerations Considerations

R42.FI Securities: Tax Considerations

Defining Elements

Principal Repayment
Structures

Structure of a Bond's Cash Flow s

Coupon Payment Structures

Callable Bonds

Bonds w ith Contingency

Putable Bonds
Provisions

Convertible Bonds

Level 1 - Fixed_Income.mmap - 7/22/2021 - Phuong Viet Nguyen