fixed income - issuance, trading, funding
global fixed-income market
issuing & trading
primary and secondary market
characteristics of government bond
funding
types of corporate debt
short-term fund alternatives to bank
fixed-income indice
investors
classification
original maturity
coupon structure
credit quality
currency
type of issurer
geography
corporate
securitized
government and related
investment grade - Baa3 above Moody - BBB- above S&P
non-investment grade - high yield
money market <1year
capital market >1 year
floating-rate
fixed
domestic bond
foreign bond
eurobond
global bond
developmed market
emerging - higher yield than developed
J.P Morgan emerging market bond index
FTSE Bond index - coverage different classess
Barclays capital global aggregate bond index
institutional - pnesion fund, endowment - asset liability management
sovereign wealth fund - state-owned fund - long horizon
central bank - open market operations - monetary policy - directly invest
retail - invest indirectly - in fixed-income securitires
secondary - trade issued bond
primary - newly issued bond
public offering
private placement - to limited qualified investors
best effort - commision basis
auction - issue government bond
underwritten - purchase entire and sell to dealer
shelf registration - issue over time when needed (分批发行）
grey market: 发行前小规模试发行
market
settlement
exchange market (场内交易）
OTC - spread between bid and ask price are narrower for liquid issues
electronic trading network - growth
government bond (T+1)
money market - on the day
corporate bond (T+3)
characteristic
non-sovereign government bond : high credit quality
treasure strips: zero coupon securities of various maturity
coupon strips - coupon strip from original security
principal strip -
on-the-run: more activly traded
off-the-run: replaced by a more recently auctioned issue
GO (general obligation / tax-backed debt) - almost no credit risk
revenue bond - revenue by project - more risk- higher yield
quasi-government bond: back by government
ferally related - ginnie mae
government sponsored enterprise
fannie mae
freddie mae
corporate bank
medium-term notes( MTN)
commercial paper
bank debt
bilateral load - one bank
syndicated load - several bank
bridge financing - roll over when mature
backup liquidity lines - credit enhancement by bank ensure sufficient liquidity
short term 0 unsecured - low rate - issue by high credit quality corporate
serial bone issue - several maturity dates
term maturity structure - mature on same date
9 months to 100years
bank, life insurance largest buyer - customize-shelf-registration
short-term wholesale fund
repurchase (repo) aggrement
retail deposit
saving account - pay interest - very liquid
money market mutual fund (ETF) - intermediate between
checking account - form of payment
reserve fund - sell excess reserve
interbank fund - one day to a year- unsecured
negotiable certificate of deposit (CDs) - <1 year pay interest at maturity
with commitment to buy it back at specified price
repurchase price - greater than selling price - account for interest
repo rate low - risk low - (repurchase price - selling price)/selling price
repo margin low - risk low - (market value of bond - selling price)/market value
not regulated
reverse repo - 借钱转利息
structured financial instrucment
yield enhancement instrucment
participation (和股指连接）
capital protected instrucment (保本）
leveraged
will recieve 100% even if call expire
zero coupon bond + call option
full capital protection - guarantee certificate
depend on credit event - not occure receive par value - occur: par value - nominal value of reference asset
issue at discount - higher coupon - significant capital gain
credit linked notes (CLN)
participate in tretun of underlying asset
floating rate bond - indirect exposure to asset price
incerse floater
C (max coupon rate) - (L conpon leverage * R reference rate
delerage (0-1), leveraged >1