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ECONOMIC IMPROVEMENT
FIXED INCOME TRADING
FIXED INCOME VALUATION FOR STRUCTURED ASSETS
PORTFOLIO RISK MANAGEMENT
AGENDA11
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Changes in the housing market, debt and savings rates, as well as borrowing and lending liquidity have altered the wealth management landscape. They are now showing signs of improvement
Fixed Income Trading Fixed Income Valuation Portfolio Risk Management
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ECONOMIC IMPROVEMENT
Economic Improvement
Housing Market Turn?
Case Shiller 10 city housing price index
New Home Sales
Existing Home Sales
Fixed Income Trading Fixed Income Valuation Portfolio Risk ManagementEconomic Improvement
First increase in housing prices since June 2006
Consumer Debt and Personal Savings
Consumer debt has dropped for the first time since 1992
Personal Savings are at an all time high.
Fixed Income Trading Fixed Income Valuation Portfolio Risk ManagementEconomic Improvement
Overnight Index Swap
Lending liquidity between banks is improving
Fixed Income Trading Fixed Income Valuation Portfolio Risk ManagementEconomic Improvement
OIS spread hovered around 8 basis points from 2001 to July of 2008.
Spread hit an all time high of 364 basis points on 10/10/08.
We are now below 30 basis points
Find bonds that have been issued or trade under the various rescue programs so that you can take advantage of government sponsored guarantees and meet due diligence requirements by ensuring that you are quoted a fair price.
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FIXED INCOME TRADING
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Bloomberg Bailout and Rescue Program Transparency Menu
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
TARP and Temporary Liquidity Guarantee Bonds
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Live Execution for FDIC Guaranteed Bonds
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
MSRB and TRACE reporting
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
The potential overhaul of regulatory oversight is heightening the awareness and importance of fiduciary responsibility. Proper and detailed valuation methods for structured products are critical to due diligence. Bloomberg has the proper tools that you need to value MBS and structured notes so that you meet or exceed these requirements.
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FIXED INCOME VALUATION
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
RMBS structured pay down without loss assumptions
Historical Constant Default rate is 12.98, loss severity is 27.18.
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
RMBS structured pay down with loss assumptionsModel
losses using 13% annual default rate, and a 30% severity.
2A1 loses 2.12% with first loss in March 2013.
2A2 loses 23.35% with first loss date in June 2011
Reasonable default and severity assumptions produce very different return results.
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
“Super Yield Table” stratifies the collateral
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Perform loss analysis by varying loss assumptions for subsets of your collateral. In this case, we are using days delinquent.
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Select all loans with a debt service coverage ratio < 1.2.
Resulting loans with a debt service coverage ratio < 1.2.
CMBS Advanced Scenarios
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
CMBS Advanced Scenarios
Three independent loan groups with custom loss assumptions
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
CMBS Advanced ScenariosStructure Pay down
Bloomberg’s Structured Notes Menu
Structure, price, and search for equity, fx, interest rate structured notes.
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
“Capital Protected” Structured Note
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
The potential overhaul of regulatory oversight is heightening the awareness and importance of fiduciary responsibility. Proper and detailed valuation methods for structured products are critical to due diligence. Bloomberg has the proper tools that you need to value MBS and structured notes so that you meet or exceed these requirements.
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Portfolio Risk Management
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Portfolio Slice and Dice
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Portfolio Slice and DiceIndustry and Single Security Breakdown
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Portfolio Slice and DiceDistribution
Key Rate DurationIndustry Breakdown
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Key Rate DurationSingle Security Breakdown
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Value at RiskIndustry Breakdown
Economic Improvement Portfolio Risk ManagementFixed Income Trading Fixed Income Valuation
Value at RiskIndustry Breakdown