II-Fixed-Income Market-4

Question 1

【classification】by credit quality

1. investment bond 评级机构分类
2. 哪种bond更liquid？

Answer 1

1. Moody: Baa3, SP, Fitch: BBB-
2. investment grade more liquid

Question 2

【classification】currency

一个bond价格受哪两个因素影响？

Answer 2

1. issuer credit quality
2. 发行货币国家的interest rate

美元标价bond受美国国内利率影响

Question 3

【classification】interbank

1. Libor全称
2. ibor解释
3. 时长
4. 用途

Answer 3

1. London Interbank Offered Rates
2. the interest rate that a bank can borrow unsecured fund from other banks
3. a set of interest rates ranging from overnight to 1 year
4. 不仅作为floater的reference, 也作很多其他工具的reference, 如reference rate for interest rate of swaps

Question 4

Fixed-Income Securities investors

1. 4类investors
2. dominated by？
3. what about retail investors

Answer 4

1. central banks/ SWFs/ institutional/ retail
2. institutional
3. 不直接参与，而是indirectly in mutual funds/ETF

Question 5

【under public offerings】

6-step process

Answer 5

1. issuer确定需求情况：金额，发行方式-underwritten
2. 找underwriter - investment bank. 金额大的syndicated offering
3. 涉及债权结构：价格，利息，paperwork，确定trustee
4. before subscription: 宣传路演询价：Grey market: a forward market for bonds about to be issued, 帮助determine bond price
5. subsription: 最好是a small oversubscription, large overscription对发行人不利
6. issue:发行前一日final terms才最终确定

Question 6

bond issuence

shelf registration

特点3

Answer 6

1. low level of scrutiny
2. well-established issuers
3. only qualified institutional investors

Question 7

bond secondary market

1. 对liquidity的理解2
2. an indicator of liquidity
3. settlement

Answer 7

1. 能quickly买卖
2. 仅quickly还不够，需要价格贴近fair market value (报个特别高的价当然可以很快买入)
3. bid-offer spread/bid-ask spread 越小流动性越好
4. gov/quasi-gov: 现金T+0/ T+1
   corp: T+2/ T+3

Question 8

【soverign bonds】

1. on-the-run
2. benchmark issue
3. T-bills同T-bonds CF之区别
4. liquidity 的情况

Answer 8

1. 最近一期发行的
2. 最近一期发行的，因为变成了所有相关产品的benchmark
3. T-bills is typically zero-coupon discounted

T-bonds has coupons

4. on-the-run时最liquid，as they age, trade less frequently

Question 9

【Quasi-Gov bonds】

特点

Answer 9

do not offer explicit gov guarantee,

but implicitly guarantee

Question 10

【Corp funding】-loans

1. bilateral/syndicated loan
2. loan的特点

Answer 10

1. bilateral: 一家银行对一家企业贷款
   syndicated: 多家银行对一家企业
2. loan more expensive than bonds issued in capital markets

Question 11

【Corp fund】-Commercial Paper

1. 特点3
2. 解释rollover-risk及解决
3. 流动性情况

Answer 11

1. unsecured, low cost, 用于短期搭桥working cap等
2. risk that the firm cannot issue new paper at maturity,解决： backup lines of credit from banks
3. 投资人一般持有至到期，故虽然量大，但little secondary market

Question 12

【Corp fund】-CP

comparison between

USCP

EuroCommercial Paper

Answer 12

注意二者收益率之不同

Question 13

【Structured Instruments】

1. Capital Protected
2. Yield Enhancement
3. Participation Instruments
4. Leveraged Instruments

Answer 13

1. 融资来100w，用90w买par100w T-bill，即确保一年后可拿到100，剩下10可投资期权类产品，即使赔光也可保本
2. credit-linked note(CLN): 高coupon rate, 原可卖1061，现卖999，高coupon，但credit event一旦发生如firm信用评级下降，则本金拿不回par. 如果credit event没有发生，那收益就更高。一种对赌
3. floating-rate note就是一种participation，别的类似收益绑定一种asset或index。不保本
4. reverse float: C- (L*R) L大于一：Leveraged，小于一：deleveraged

Question 14

银行可用的短期

funding instruments

3大类

Answer 14

1. retail deposits
2. wholesale funds:

central bank reserve

interbank fund

negotiable certificates of deposit CD

3. Repurchase agreements REPO

Question 15

1. interbank fund 特点
2. CD: 辨析negotiable/non
3. Repo: 描述risk
4. repo margin又叫做，=

Answer 15

1. unsecured
2. non: if depositor withdraw early - penalty
   negotiable: can trade in open market
3. 双方都有压力，borrower怕抵押物价值上升，资金方不回售。资金方怕抵押物价值下降，borrower不要了
4. haircut. repo margin= （抵押物市场价-贷出借款额）/抵押物市场价

Question 16

【classification】 by issuer

1. 3 major bond market sector
2. 几种issuer发行量？

Answer 16

1. gov,gov related/ corporate/ structured finance sector
2. gov/ financial corp 发行量大

non-financial corp 发行量相对小