Knowledge Base

Fixed Income

Bond characteristics, valuation, yield measures, risk analysis, credit assessment, and structured products across fixed-income markets.

Residential and commercial MBS, mortgage pass-throughs, CMOs, prepayment risk, and time tranching structures.

Non-mortgage ABS, collateralized debt obligations, covered bonds, and credit enhancement structures used in securitizations.

The securitization process, its parties and roles, and the benefits it provides to issuers, investors, and capital markets.

Qualitative and quantitative credit analysis, financial ratio interpretation, and the seniority and recovery framework for corporate debt.

Evaluating sovereign and non-sovereign government creditworthiness, including special considerations for public-sector issuers.

Components of credit risk, the role of credit ratings, and macroeconomic and issuer-specific factors driving yield spreads.

Effective duration, effective convexity, key rate duration, and empirical duration for bonds with embedded options or complex exposures.

Convexity adjustment, portfolio duration and convexity, and their limitations in estimating price changes for large yield shifts.

Modified duration, money duration, and price value of a basis point as measures of bond price sensitivity to yield changes.

Sources of bond return, the investment horizon effect, and the relationship between holding period return and Macaulay duration.

Spot, par, and forward yield curves, their relationships, and how to derive rates and price bonds from each curve.

Yield and spread measures specific to floating-rate notes and money market instruments.

Yield-to-maturity, current yield, yield spreads, and their calculation and interpretation for fixed-rate bonds.

Calculating bond prices from yield-to-maturity, the price-yield relationship, and matrix pricing for illiquid bonds.

Sovereign, sub-sovereign, quasi-government, and supranational debt issuance and how it compares to corporate instruments.

Short-term funding, repos, and the contrasting approaches of investment-grade versus high-yield corporate issuers to long-term financing.

Primary and secondary bond markets, market segments, participants, and the construction of fixed-income indexes.

Cash flow structures of fixed-income instruments, contingency provisions, and how legal and tax factors affect issuance and trading.

Bond indentures, covenants, and the fundamental features that define fixed-income instruments.