Fixed Income Securities

  1. Securitization and Structured Products
    1. Securitization Process
      1. Basic Structure
        1. Originator Role
          1. Special Purpose Vehicle
            1. Bankruptcy Remoteness
            2. Asset Transfer
              1. True Sale Requirements
                1. Credit Enhancement
                2. Tranching Process
                  1. Senior-Subordinate Structure
                    1. Waterfall Mechanics
                      1. Credit Rating Objectives
                    2. Mortgage-Backed Securities
                      1. Residential Mortgage-Backed Securities
                        1. Underlying Mortgage Characteristics
                          1. Government-Sponsored Enterprise MBS
                            1. Private Label MBS
                            2. Commercial Mortgage-Backed Securities
                              1. Commercial Property Types
                                1. Loan Characteristics
                                  1. Structural Features
                                  2. Pass-Through Securities
                                    1. Pro-Rata Cash Flow Distribution
                                      1. Weighted Average Coupon
                                        1. Weighted Average Maturity
                                        2. Prepayment Analysis
                                          1. Prepayment Drivers
                                            1. Interest Rate Environment
                                              1. Seasonal Factors
                                                1. Economic Conditions
                                                2. Prepayment Models
                                                  1. Public Securities Association Model
                                                    1. Conditional Prepayment Rate
                                                      1. Single Monthly Mortality
                                                    2. Prepayment Risk Types
                                                      1. Contraction Risk
                                                        1. Falling Interest Rate Impact
                                                          1. Reinvestment Challenges
                                                          2. Extension Risk
                                                            1. Rising Interest Rate Impact
                                                              1. Duration Extension
                                                            2. Collateralized Mortgage Obligations
                                                              1. Sequential Pay Tranches
                                                                1. Principal Payment Order
                                                                  1. Average Life Stability
                                                                  2. Planned Amortization Class Tranches
                                                                    1. Payment Stability
                                                                      1. Prepayment Protection
                                                                      2. Support Tranches
                                                                        1. Companion Bonds
                                                                          1. Volatility Absorption
                                                                          2. Interest-Only and Principal-Only Strips
                                                                            1. Cash Flow Characteristics
                                                                              1. Price Sensitivity
                                                                          3. Asset-Backed Securities
                                                                            1. Auto Loan ABS
                                                                              1. Collateral Characteristics
                                                                                1. Prepayment Patterns
                                                                                  1. Credit Performance
                                                                                  2. Credit Card ABS
                                                                                    1. Revolving Credit Structure
                                                                                      1. Master Trust Structure
                                                                                        1. Early Amortization Events
                                                                                        2. Student Loan ABS
                                                                                          1. Government Guarantee Programs
                                                                                            1. Deferment and Forbearance
                                                                                              1. Consolidation Impact
                                                                                              2. Equipment Lease ABS
                                                                                                1. Lease vs. Loan Structures
                                                                                                  1. Residual Value Risk
                                                                                                    1. Equipment Types
                                                                                                  2. Collateralized Debt Obligations
                                                                                                    1. CDO Structure
                                                                                                      1. Asset Manager Role
                                                                                                        1. Overcollateralization Tests
                                                                                                          1. Interest Coverage Tests
                                                                                                          2. CDO Types
                                                                                                            1. Collateralized Loan Obligations
                                                                                                              1. Bank Loan Collateral
                                                                                                                1. Leveraged Loan Market
                                                                                                                2. Collateralized Bond Obligations
                                                                                                                  1. High Yield Bond Collateral
                                                                                                                    1. Investment Grade Bonds
                                                                                                                  2. Synthetic CDOs
                                                                                                                    1. Credit Default Swap References
                                                                                                                      1. Unfunded Structures
                                                                                                                        1. Correlation Risk

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                                                                                                                    5. Term Structure of Interest Rates

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                                                                                                                    7. Fixed Income Derivatives