David M. Gross, Ph.D.
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More Clean
and Dirty price Examples
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Assigned
HW 04 – Credit Analysis Part 1
Due Tuesday April 9 at the Start of Class
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Contact
Information:
Office:
KOBL 402
Office
Phone: 303-735-6181
Office
Hours: T, Th 1:30 to 2:30
Email: David.Gross@Colorado.Edu
FRED:
FRED
Excel Add-In from the St Louis Fed
FRED
Installation Instructions
FRED
Users Guide (PDF)
FRED TED
Spread (only works if FRED is installed)
Links and Readings:
Note on textbook editions: I will assign material from the 9th edition. You are responsible for the material assigned. It is not possible for me to determine all the differences between the current edition, all the previous editions and various alternative (international) editions. By not giving students official permission to use a different edition, the onus is on you to determine difference between the current edition from which material will be assigned and the edition you select.
Securities
Industry and Financial Markets Association (SIFMA) Statistics
10 Year
T-Note Auction Results
Corporate
Bonds
S&P
Recovery Rating Performance
S&P
2014 Annual Global Corporate Default Study and Rating Transitions
(Scroll down to Tables 20 and on to see transition matrices.)
S&P
General Corporate Rating Criteria
S&P
Rating Criteria Leisure and Sports
Portfolio
Management
2018 Wilshire State
Retirement Asset Allocation (Exhibits 5 & 6, page 6)
S&P
US HY Corp 5 to 7 Index Fact Sheet
Spreadsheets:
Ch 02 Floater, Inverse Floater
Ch 05 FRED Treasury Yield Curves 2019-01
Ch 05 FRED Aaa
and Bbb Spread to Treasuries 2019-01
Ch 05 FRED Treasury Muni Spreads
Clean and
Dirty Price Act/Act and 30/360 Worksheet
Ch 22 Operating and Financial Leverage
Ch 24 Liability Duration Matching
Ch 24 Port and Swap vs Index Duration Match
Ch 24 Returns to Yld Curve
Strategies Bullet v Barbell
Ch 24 2019-04-16 Returns to Yld
Curve Strategies Bullet v Barbell
Ch 25 Tracking Error Calculations
Lecture Notes:
Chapter 01 –
Introduction (Updated 1/14 at 3:30)
Chapter 02 –
Pricing Bonds
Chapter 03 –
Measuring Yield
Chapter 04
– Bond price Volatility
Chapter
05 – Yields and the Term Structure of Interest Rates
Chapter 06 –
Treasury Bonds
Chapter 08 –
Muni Bonds
Chapter
07 – Corporate Debt Instruments
Chapter 22
– Corporate Credit Analysis
Chapter
32 – Credit Default Swaps
Chapter
24 – Bond Portfolio Management
Chapter
25 – Bond Portfolio Construction
Review Homework:
For some chapters I have
written “Additional Questions” or “Extra Questions.” These Additional Questions
ARE fair game for exams.
Chapter 05
(Amended 2/20 –
Additional forward rate questions)
Chapter 05 Bootstrap
Examples (Amended 2/20 – Additional
examples)
Clean and Dirty
Price Act/Act and 30/360 Example
Chapter 32 CDS Trade
Scenario Examples
Chapter 32 CDS Valuation Examples
Chapter
24 Bullet vs Barbell Returns Exam Style
Assigned Homework:
Assigned
HW 1 Answers (This is a non-working spreadsheet.)
Assigned
HW 2 Answers (This is a non-working spreadsheet.)
Exams: