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Flashcards in IV-Credit Analysis-2 Deck (9)
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1
Q
  1. Expected loss =
  2. loss severity =
A
  1. expected loss=default probability*loss severity given default
  2. loss severity=1- recovery rate
2
Q

名词解释

  1. first lien debt
  2. pari passu
  3. cross-default provision
  4. structurally subordination
  5. change of control put
  6. restricted/ unrestricted subsidiaries
A
  1. 最高seniority债。lien的都是secured
  2. “on an equal footing” 同一seniority的债券,无论其到期日等条件,享有claim权相等
  3. one default triger all other outstanding bonds
  4. 子公司债务convenant规定不许向母公司分红,母公司CF下降导致母公司债券评级下降
  5. 垃圾债:若公司被并购,债权人有权要求公司购回债券
  6. restricted: 子公司有责任帮母公司一同偿还债务
3
Q

评级机构评级分类

阐述

注意

A
  1. high-quality grade: Aaa/AAA, Aa1-Aa3, Aaa+ - Aaa-
  2. upper-medium grade: A1-A3, A+ - A-
  3. low-medium grade: Baa1-Baa3, BBB+ - BBB-
  4. Junk: Ba1 - B - Caa - Ca - C

BB+ - B - CCC+ - CC - C - D

  1. Moody没有Default grade
4
Q
  1. issuer rating/ issue rating 2
  2. notching 定义
  3. notching 特点
A
  1. issuer: overall creditworthiness, usually senoir unsecured rating
    issue: consider bon’s seniority ranking
  2. issue & Issuer rating之差(可高可低,多数更低)
  3. 平积越高的公司,notching越小
5
Q

limitations of 评级机构

A
  1. lag the market

credit rating是关于default risk的,若出现两个bond评级相同,但价格差别大,可能因为default risk相同,但由于评级都很低,大家更关注default时的loss severity,因此回收率更高的bond价格更高

  1. agencies can make mistakes
  2. unforeseeable events
6
Q
  1. Equity Analysis/ Credit Analysis更关注
  2. 4C of credit analysis
A
  1. Equity: income statement/ CF statement

Credit: balance sheet/ CF statement

  1. capacity/ collateral/ covenants/ character
7
Q

【4C credit analysis】

  1. capacity 包括
  2. FFO
  3. FCF before div
A
  1. industry structure (波特五力) - indsustry fundemental (周期) - company fundementals
  2. Funds from Operations: NI from continuing operations + dep/amor + deferred income taxes+other non-cash items
  3. Free cash flow before div: NI + dep/amor/ - increase in working capital - capital expenditures

=CFO - net cap exp

8
Q
  1. Yield on corp bond =
  2. yield spread =
A
  1. = real risk-free interest rate + expected inflation + maturity premium + liquidity premium + credit spread
  2. = liquidity premium + credit spread
9
Q
  1. high-quality bond 分析更侧重
  2. high-yield bond 分析更侧重2
  3. 分析non-soverign bond比主权债更侧重
A
  1. default risk, 因loss severity 还不需要太考虑
  2. spread risk/ loss severity
  3. balance and operating budget of local government. 因为没有能力印钞