Fixed Income and Debt

Securitization - Part 4 (2020)


This eCourse consists of two modules. Module 1 looks at traditional bond metrics such as yield-to-maturity (YTM) and modified duration, and compares them with methods used to measure the sensitivity of securitised bond prices such as OAS duration. The use of spreads to quote prices, the different risks involved in pricing securitisation transactions, and the pricing of different securitisation tranches are also examined in detail.

Module 2 looks at the key characteristics of collateralized debt obligations (CDO) transactions, the main types of CDO, and the key issuer motivations with these instruments. A CDO is a security backed by a pool of loans, bonds, or other securities. A CDO deal is broken into multiple tranches, each with separate maturity and credit risk, appealing to different classes of investors.


On completion of this course, you will be able to:
- Identify traditional fixed income metrics, such as yield-to-maturity and modified duration, as well as price sensitivity metrics used with securitised bonds, such as option-adjusted spread (OAS)
- Recognise how securitised bonds prices are expressed as spreads and how different risks affect such prices
- Recognizs how CDOs can be backed by portfolios of fixed income securities (collateralized bond obligations/CBOs) or loans (collateralized loan obligations/CLOs)
- Recall how credit risk is transferred in CDOs and apportioned via the tranching structure and cash flow waterfall
- Identify the main categories of CDO such as cash vs. synthetic CDOs, static vs. managed CDOs, cashflow vs. market value CDOs, and balance sheet vs. arbitrage CDOs


Module 1: Securitization - Pricing & Analysis
Topic 1: Bond Analysis
Topic 2: Pricing

Module 2: Securitization - CDOs
Topic 1: Collateralized Instruments
Topic 2: Types of CDO


Relevant Subject
Type 1 - Dealing in securities
Type 4 - Advising on securities
Type 9 - Asset management
Type 10 - Providing credit rating services
SFC:1.50, PWMA:1.50
Non-Member: HK$720
Staff of Corporate Member: HK$480
All Member: HK$480