Credit

Spreads, ratings, high yield, CDS, loans, CLOs and mortgage-backed securities.

1. C1The credit universe and the capital structureLine up who a company owes, in the order they get paid, and work out what each lender gets back if it fails.8 min
2. C2Ratings, default and expected lossRead a credit rating, work out the loss you should expect on a loan, and see what default rate a bond’s extra yield implies.9 min
3. C3Credit spreads and quotingTurn a bond’s yield into a spread and back, and split a day’s move into the part from interest rates and the part from credit.8 min
4. C4Spread duration, carry and breakevensTurn a move in spreads into pounds of profit or loss, and say how much widening a bond can take before its extra yield is used up.8 min
5. C5Credit analysis for tradersSize a company’s debt against its earnings, check whether it can pay the interest, and spot the deals that hurt its lenders.9 min
6. C6The primary market and bond featuresSee how a new bond is sold, measure the small discount it is sold at, and say how a call or a put changes a bond’s spread.8 min
7. C7Credit default swapsBuy or sell insurance against a company defaulting, work out the upfront payment, and value the trade as its spread moves.10 min
8. C8Indices and macro creditTrade protection on a basket of companies at once, work out what one default costs, and size a hedge for a bond portfolio.8 min
9. C9Leveraged loans and private creditWork out the rate on a floating loan, what buying it below 100 adds, and why borrowers can cut that rate when markets are strong.8 min
10. C10CLOs: collateralised loan obligationsSee how a pool of risky loans is turned into safe and risky bonds, and run the tests that protect the safest ones.9 min
11. C11Mortgage-backed securities I: prepaymentSee how home loans become a bond, why homeowners repaying early is the investor’s main risk, and how to measure the speed.10 min
12. C12Mortgage-backed securities II: market structureSee how mortgage bonds trade before the pools exist, which slices win as rates move, and why MBS hedging can push Treasuries further.9 min