Author Description

About the Authors vii Study Session 15: Fixed Income: Basic Concepts Reading 50: Fixed Income Securities: Defining Elements 3 Lesson 1: Overview of a Fixed-Income Security 3 Lesson 2: Legal, Regulatory, and Tax Considerations 11 Lesson 3: Structure of a Bond's Cash Flows 12 Lesson 4: Bonds with Contingency Provisions 18 Reading 51: Fixed-Income Markets: Issuance, Trading, and Funding 25 Lesson 1: Overview of Global Fixed-Income Markets 25 Lesson 2: Primary and Secondary Bond Markets 27 Lesson 3: Types of Instruments 29 Lesson 4: Short-Term Funding Alternatives Available to Banks 35 Reading 52: Introduction to Fixed-Income Valuation 39 Lesson 1: Bond Prices and the Time Value of Money 39 Lesson 2: Prices and Yields (Part I): Conventions for Quotes and Calculations 45 Lesson 3: Prices and Yields (Part II): Matrix Pricing and Yield Measures for Bonds 51 Lesson 4: Prices and Yields (Part III): The Maturity Structure of Interest Rates and Calculating Spot Rates and Forward Rates 63 Lesson 5: Yield Spreads 70 Reading 53: Introduction to Asset-Backed Securities 73 Lesson 1: Introduction, the Benefits of Securitization, and the Securitization Process 73 Lesson 2: Residential Mortgage Loans and Residential Mortgage-Backed Securities (RMBS) 77 Lesson 3: Commercial Mortgage-Backed Securities (CMBS) and Non-Mortgage Asset-Backed Securities (ABS) 93 Lesson 4: Collateralized Debt Obligations (CDOs) 96 Study Session 16: Fixed Income: Analysis of Risk Reading 54: Understanding Fixed-Income Risk and Return 103 Lesson 1: Sources of Risk 103 Lesson 2: Interest Rate Risk on Fixed-Rate Bonds 109 Lesson 3: Yield Volatility, Interest Rate Risk and the Investment Horizon, and Credit and Liquidity Risk 130 Reading 55: Fundamentals of Credit Analysis 135 Lesson 1: Credit Risk, Capital S