FrameworkFrameworkSS15R52 e

Securities:DefiningElementsR53 e

Markets:

Issuance,

Trading,

and

FundingR54

Introduction

to e

ValuationR55

Introductionto

Asset-Backed

SecuritiesSS16R56

Understanding e

Risk

and

ReturnR57

Fundamentals

of

Credit

ysis2-30R52Fixed

– e

Securities

：

Defining

Elements3-30五要素IssuerMaturity

/

TenorPar

valueCoupon

rate

&

frequencyPayment

currencyDual

currency

bondCurrency

option

bondBond

marketNationalDomestic

bondForeign

bondGlobal

bondEurobond4-30Legal

issues還款來源IssuerSovereign

bondtax

、print

moneyNon

–

sovereign

bondtax

、revenueof

projectCorporate

bondoperationSecuritizationcash

flow

of

underlying

assetsSPV：

bankruptcy

remoteCollateral

backingCollateralCollateral

trust

bondFinancial

assetsEquipment

trustsEquipment

or

physical

assetsMBSMortgage

loansCovered

bond“covered

pool”目的：降低credit

risk5-30Covenants☆A(yù)ffirmative

：requireNegative

：limit

/

prohibit

/notTaxOID

（original

issue

discount

tax

provision）Credit

enhancementInternal

☆overcollateralizationTrances

（senior

/subordinated）Excess

spread- Reserve

fund:Cash

reserveExcess

spreadExternalSurety

bondBank

guaranteeLetter

of

creditLegal

issues6-30按照cash

flow

的特征分類☆☆PrincipalPlain

vanilla

bond

/

Bullet

bondAmortizing

loanFully

amortizingPartially

amortizingSinkingfund

provision優(yōu)點(diǎn)：降低credit

risk缺點(diǎn)：增加reinvestmentCoupon①

Coupon

rate

=

referencerate

+

quoted

margin②

Coupon

reset

dateFloating

rate

security

③

Cap

&

floor④

variable-rate

notes

&inverse

floaterStep

up

coupon

bondDeferred

coupon

bond

：zero

coupon

bondCredit

linked

coupon

bondPay

–in-kind

bond（PIK）Equity

–

linkednotes（ELN）TIP:Indexed-linked

bond

Capital-indexed

bondPrincipal

protected

bond7-30Bonds

with

embedded

option

☆☆Contingent

convertible

bonds（“CoCos”）：不是賦予人或者投資者的權(quán)利，是合約里規(guī)定的特定時(shí)間發(fā)生時(shí)債券自動(dòng)的轉(zhuǎn)成，銀行多。Callablebond①r下降，issuer贖回，benefit

to

issuer②三種執(zhí)行方式：American

style\European

style\Bermuda

style③

Value

of

callable

bond

=

value

of

identical

noncallable

bond

–call

optionvaluePutable

bond①r上升，bondholder會(huì)賣還給issuer，benefit

to

bondholder②

Valueof

callable

bond

=

value

of

identical

nonputable

bond

+

put

optionvalueWarrants不是embedded

option8-30R53Fixed

– e

markets：Issuance，Trading，and

Funding9-30分類-by

type

ofissuer

（性質(zhì)）Supranational

anizations:IMF、worldbankernment

andernment-relatedsector

☆Supranational

anizations：IMF、worldbankSovereign ernments：no

credit

risk，發(fā)行量最大Non-sovereign（local）

ernments：highcredit

qualityQuasi– ernment

entities：agency

bondFinancial

company：

量最大Corporate

sectorNon

–financial

companySecuritization10-30Issuing

&

trading（概念）參考利率：LIBORPublic

offeringPrimary

market①Underwrittenoffering：特殊的–Grey

market②

Bestefforts③

Auction④

Shelf

registrationPrivate

placementExchange

marketSecondary

marketsOTCElectric

Trading

Network11-30不同機(jī)構(gòu)的融資方式CorporatedebtBank

debtCommercial

p

r☆注意對(duì)比：U.S

commercial

p

rmercial

p

rCorporate

bondsFundingof

BankMTNs

☆Customer

depositsNegotiableCDsCentral

bank

funds

market：central

bank

funds

rate（FFR）Interbank

fundsRepurchase

agreement

☆☆①Repo

rate（計(jì)算、影響因素）②Repo

margin（計(jì)算、影響因素）③

Reverse

repo

agreement12-30R54Introduction

to e

Valuation

☆☆(整章都非常重要)13-30計(jì)算priceValue

using

singleyield（YTM）??????2??+??????

??????1

??????2bond

price=(1+??????/2)

+

(1+??????)2+

?

+(1+??????/2)2??No-arbitrage

price??????1

??????2no-arbitrage

price=(1+??1)

+

1+??2

2

+

?

+????????+??????(1+????)??Fullprice&

Accruedinterest①

Full

Price=Clean

Price

+

Accrued

Interest②Full

price：折現(xiàn)求和得到的價(jià)格Matrix

pricing（Linear

interpolation）①已知identical

Treasury

bond，通過求spread得到②Yield

of

identical

Treasury

bond不知道，直接求解PRN(floating

rate

notes)①Price和Par

value的關(guān)系；Selling

at

par（credit

unchanged）：requiredmargin=quoted

marginSelling

at

discount（creditdowngrade）：quoted

margin＜required

marginSelling

at

premium（credit

upgrade）：quotedmargin＞required

margin②已知price，計(jì)算required

margin；③已知required

margin，計(jì)算price14-30Price

&

Time定性①

At

maturity

date

，price=par②

Discount

：隨著到期日

，price上升③

Premium

：隨著到期日

，price下降定量 計(jì)算the

value

change

attributable

to

the

passageof

time15-30計(jì)算yieldCurrent

yield、YTM、YTC、YTP、YTWEffective

yieldeffective

yield=

1

+

??????

m-1??APRm1

+

??????????

=(1

+

????????)n??

??Option-adjusted

yield（不用計(jì)算）①

callable

bond：option-adjusted

yield＜YTM②

putable

bond：option-adjustedyield＞YTMDiscount

yield（U.S.

Treasury

bills）????????PV=FV*(1-????????

?

????)Add-on

yield（LIBOR,

bank

CDrates）????PV=????????（1+

???????）Bond

equivalent

yield??

??

??

??for

money

market

securityStreet

convention

yield

&

True

yield（不用計(jì)算）16-30Yield

curveSpot

curve①Spot

rate：零息債券的折現(xiàn)率=零息債券的YTM②Spot

rate

&

Forward

rate（計(jì)算）Yield

curve

for

coupon（YTM）不需要計(jì)算，了解概念Par

bond

yield

curve：parrate

不需要計(jì)算，了解概念Yield

spreadBen

arkspreadG-spread：the

ben ark

is

rn t

bond

yield

計(jì)算Interpolatedspread（I-spread）：the

ben ark

is

swap

rate概念Z-spreadThe

difference

between

the

GS

and

the

ZS：①

The

steeper

theben ark

spot

rate

curve，the

greaterthe

difference

between

the

two

spreadmeasures.②

The

earlier

bond

principal

is

paid，the

greater

thedifference

between

the

two

spread

measuresOAS①

Callable

bond：ZS＞OAS②

Putable

bond

：ZS＜OAS17-30R55Introduction

to

Asset-Backed

Securities

★（NEW）18-30Securitizationprocess

→

Benefitsof

Securitization→（各個(gè)參與人的角色☆）The

seller

of

the

collateral（originator

ordepositor，e.g.

Bank）The

SPV（issuer

or

trust；）Servicer（if

different

from

the

seller）RMBS☆☆①

Loan-to-value

ratio（LTV）②

Term

of

a

mortgageResidential條款③

Interest

rate

determination④Amortization

schedule

名詞辨析⑤

Foreclosure

：recourseloan

&

nonrecourse

loan⑥

Prepaymentmortgage

loans分類Conforming

loans→Agency

RMBS名詞辨析Non-conforming

loans

→

Non-Agency

RMBS

名詞辨析19-30AgencyRMBS☆☆MPS①WAM、WAC②

Monthly

cash

flow

for

MPS=monthly

cashflowof

the

underlying

pool

of

mortgage

–servicing

and

otherfees③

Monthly

cash

flow

of

the

underlying

pool

ofCash

計(jì)算

mortgage

=

int.+scheduledprin.+prepayment（prin.）④

Pass-through

rate（net

interest

or

netcoupon）=mortgage

rateon

the

underlyingpool

of

mortgage–

Servicing

and

other

fees①

Contraction

risk

&

Extension

risk

名詞辨析Prepayment

②

PSA、CPR、SMM

計(jì)算risk

③Weighted

average

life：prepay導(dǎo)致WAL不一定COMSequential

Pay

tranches

各個(gè)層次特點(diǎn)、風(fēng)險(xiǎn)特征的對(duì)比PAC

&

Support

tranches

各個(gè)層次特點(diǎn)、風(fēng)險(xiǎn)特征的對(duì)比Non-AgencyRMBSCredit

enhancement（同R51）題目條件是哪一種信用增級(jí)方式？20-30CMBS☆性質(zhì)No

recourse

loanDebt

to

service

coverage

計(jì)算Loan

to

value

ratio

計(jì)算Balloon

maturity

provision→balloon

risk

（extension

risk）概念Call

protection方法、概念Loan

levelPrepayment

lockout.Defeasance

.Prepayment

penalty

points.Yield

maintenance

charges（make-wholecharge）CMBS-level21-30Non-mortgageABSAuto

Loan

Receivable-backed

securitiesCredit

card

receivable-backedsecurities

☆Non-amortizing

loans特點(diǎn)Lockout

periods

特點(diǎn)CDO→CDOmanagerSenior

tranches Highest

creditratingsMezzanine

tranche

Credit

ratings

between

senior

andsubordinate

bond

classesSubordinate/residual

Receive

the

residual

cash

flowor

equity

tranche22-30R56Understanding e

Risk

and

Return

★

★（整章都非常重要）23-30計(jì)算total

return（realized

return）Cost

（P0）Total

revenue：①

Coupon②

Reinvestment③

Sell

pricet=0時(shí)刻求成本，cost=P0持有到期或交割日求total

revenue復(fù)利求realized

return，P0(1+r)t=TR，反求r24-30duration①計(jì)算：Macdur

,

ED

,approximation

DMoney

D

,

PVBPPortfolio

duration②Interpreting

duration（三個(gè)解釋）③影響因素△y→（影響）

TotalPrice

risk(Y上升→P下降)convexity①計(jì)算：EC,approximation

convexity②性質(zhì)：漲多跌少③????

=?????

?

???? +

[0.5

?

????????

?

????2]??④

Callable

bond：negativeconvexity（y

↓）Putable

bond：more

convex

（y↑）Yield

volatility％Δbond

value=-duration（Δspread）21+

??????????????????

??????????????2二者相互抵消Spread

riskReinvestment

risk

Y上升→RI上升25-30二者相互抵消①

Short

investment

horizon：market

price

risk＞reinvestment

risk②

Duration

gap

=

Macaulay

duration

–

investment

horizonPositive

g xposes

the

investor

to

market

price

risk

fromincreasing

interest

ratesNegative

g xposes

the

investor

to

reinvestment

risk

fromdecreasin