Fixed Income, Credit & Rates

The price and every yield measure that reads it.

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  Topic 01

  The Policy Rate and a Bond Yield: What Separates Them

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  Topic 01

  Current Yield and Yield to Maturity: What Each Reads

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  Topic 01

  Yield to Maturity and Yield to Call: Which One Binds

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  The Coupon and the Yield: Why They Match Only at Par

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  Spread Return and Price Return: Splitting One Price Move

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The first risk. How much the price moves when the rate does.

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  Key-Rate Duration

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  Modified Duration: One Number or Ten

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  Topic 01

  Spot Rate and Forward Rate: Two Rates on the Same Curve

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  Prepayment Risk and Extension Risk: When Cash Flows Move

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  A Rate View and a Credit View: Same Bond, Two Questions

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  Interest-Rate Risk and Reinvestment Risk: Opposite Signs

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The curve itself. Term structure, forwards and what compensates a longer holding.

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  Parallel Shift

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  Steepening

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  Flattening

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  Twist

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The benchmark issuer. Government securities, bills, the benchmark yield and the policy link.

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  Topic 01

  Par Bond and Premium Bond: What the Price Difference Is

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  Treasury Bill

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  Sovereign Bond: One Payment or Many

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The second risk. What a spread compensates for, and what a rating claims.

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  Topic 01

  Credit Risk and Interest Rate Risk: Two Limbs of One Yield

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  Term Premium and Credit Spread: Two Parts of One Yield

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  Collateral

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  Guarantee: A Thing, and a Second Party

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Judging the borrower. Seniority, covenants, collateral and the leverage picture.

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  Topic 01

  Gross Leverage and Net Leverage: One Subtraction Apart

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When it goes wrong. Default, restructuring, the distressed exchange and recovery.

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  Credit Event

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  Liquidity Event: Telling Them Apart

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  Covenant Breach

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  Restructuring Event: The Difference

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Structure. Pooling loans, slicing risk, and the waterfall that pays.

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  Asset-Backed Security

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  Mortgage-Backed Security: The Pool

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Holding many bonds. Ladder, barbell, bullet and portfolio-level measures.

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  Barbell

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  Bullet: Two Shapes, One Average Maturity

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The output. What the analyst produces, on what assumptions, with what limits stated.

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  Topic 01

  A Liquidity Assumption and a Liquidity Fact Compared

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