Rates, bonds and credit

This chapter teaches the rates and credit desks' world: the yield curve, what the market expects the central bank to do, the overnight money markets, how governments sell their bonds, how to price one bond, and how investors measure the risk that a company or a country will not pay back.

What you will be able to do

• Read a government yield curve and its spreads (2s10s), and compare countries.
• Read the market-implied path of the Fed's rate, meeting by meeting.
• Read policy rates around the world, overnight funding rates and Fed liquidity.
• Read a Treasury auction result: yield, bid-to-cover, tail.
• Price a bond: yield, accrued interest, duration, convexity, spread to Treasuries.
• Read credit spreads, CDS, CDS indices and sovereign CDS.
• Read a company's debt maturities, credit documents and covenants.

How the chapter is built

1. 1Rates: GC, WIRP, CBR, BTMM, AUCT, YAS
2. 2Credit: CRD, CDS, CDX, SOVR, CRDOC, COVN, DDIS

Five words to know before starting