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Bonds & Fixed Income

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Bonds & Fixed Income

Callable Bond

A bond the issuer may redeem before maturity, at a stated price on stated dates.

Test: the terms give the issuer an option to redeem early; the investor's return should be computed to the earliest call date qualitative
Bonds & Fixed Income

Certificate of Deposit

A negotiable short-term deposit receipt issued by a bank at a discount to face value.

Yield = [(Face Value - Price) / Price] x (365 / Days to Maturity) x 100 %
Bonds & Fixed Income

Clean Price

A bond's quoted price excluding accrued interest.

Clean Price = Dirty Price - Accrued Interest
Bonds & Fixed Income

Commercial Paper

A short-term unsecured promissory note issued by a company at a discount to face value.

Yield = [(Face Value - Price) / Price] x (365 / Days to Maturity) x 100 %
Bonds & Fixed Income

Convertible Bond

A bond that can be exchanged for a fixed number of the issuer's shares at the holder's option.

Conversion Value = Conversion Ratio x Current Share Price; Conversion Premium = (Bond Price - Conversion Value) / Conversion Value
Bonds & Fixed Income

Convexity

The curvature in the relationship between a bond's price and its yield, correcting duration's straight-line estimate.

Price Change % = -Modified Duration x Change in Yield + 0.5 x Convexity x (Change in Yield) squared ratio (x, times)
Bonds & Fixed Income

Corporate Bond

A debt security issued by a company to borrow from investors rather than from banks.

Corporate Bond Yield = Government Security Yield of the same maturity + Credit Spread qualitative
Bonds & Fixed Income

Coupon Rate

The annual interest a bond pays, expressed as a percentage of its face value.

Annual Coupon = Face Value x Coupon Rate %
Bonds & Fixed Income

Credit Rating

An agency's opinion on an issuer's ability to meet its debt obligations, expressed on a letter scale.

Scale in India runs AAA, AA, A, BBB, BB, B, C, D, with plus and minus modifiers within categories qualitative
Bonds & Fixed Income

Credit Risk

The risk that a borrower fails to make interest or principal payments as promised.

Expected Loss = Probability of Default x Loss Given Default x Exposure at Default %
Bonds & Fixed Income

Credit Spread

The extra yield a bond offers over a government security of the same maturity, compensating for credit risk.

Credit Spread = Corporate Bond Yield - Government Security Yield of the same maturity bps
Bonds & Fixed Income

Current Yield

A bond's annual coupon expressed as a percentage of its current market price.

Current Yield = Annual Coupon / Current Market Price x 100 %