Intro Credit Risk Capital Strct. Capital Structure, Seniority Ranking & Recovery Rates Seniority Ranking Recovery Rates Credit Ratings Rating Agencies, Credit Ratings & Their Roles in the Debt Mkts Issuer vs. Issuer Ratings Risks in Relying on Agency Ratings R47.Fundamental of Cre dit Analysis Similarities Credit Analysis vs. Equity Analysis Traditional Credit Analysis: Corporate Debt Securities Diff s 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 Fixed-Rate Bonds Properties of Bond Duration 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 Securities Rights of the Lender in a 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: Issuance, Trading & Funding Non-Sovereign Gov, Quais-Gov & Supranational Bonds Quasi-Gov Bond Supra. Bonds Bank Loans & Syndicated Loans Corporate Debt Commercial Paper Corporate Notes & Bonds Capital Protected Instruments Structured Financial Instruments Participation Instruments Leveraged Instruments Retail Deposits Short-Term Funding Alternatives Available to Banks ST-Wholesale Funds Repo & R-Repo Intro Basic feat. of a Bond Overview of FI security Yield Measures Bond Indenture Legal, Regulatory & Tax considerations Legal & Regulatory Considerations Tax Considerations R42.FI Securities: Defining Elements Principal Repayment Structures Structure of a Bond's Cash Flow s Coupon Payment Structures Callable Bonds Bonds w ith Contingency Provisions Putable Bonds Convertible Bonds Level 1 - Fixed_Income.mmap - 7/22/2021 - Phuong Viet Nguyen