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22 August, 2024

Describes Credit Risk and Treasury Risk with example

 Credit Risk: Credit Risk is the possibility of a loss resulting from a borrower’s failure to repay a loan or meet contractual obligations. Traditionally, it refers to the risk that a lender may not receive the owed principal and interest, which results in an interruption of cash flows and increased costs for collection. Excess cash flows may be written to provide additional cover for credit risk. When a lender faces heightened credit risk, it can mitigate via a higher coupon rate, which provides for greater cash flows.

 

Although it’s impossible to know the exact who will default on obligations, properly assessing and managing credit risk can lessen the severity of a loss. Interest payments from the borrower or issuer of a debt obligation are a lender’s of investor’s reward for assuming credit risk.

Loan portfolio and risk management is not just about avoiding risk. It is also about balancing risk while seizing opportunities in your marketplace and serving your community well. So, go for the opportunities while balancing your risk management strategy. It can help make your organization even more successful.

 

Example:  A company extends credit to its customers but one of them goes bankrupt and is unable to repay the outstanding amount. This can lead to a bad debt expense for the company.

 

Treasury Risk: Treasury risk refers to the potential financial losses or adverse effects on a company’s financial health due to the various risks encountered in managing its treasury operations. Treasury operations involve the management of cash, liquidity, investments, funding, and financial risk exposures such as interest rates, foreign exchange rates and commodity prices. Treasury risk encompasses several specific types of risk, including liquidity risk, interest rate risk, foreign exchange risk, and credit risk.

 

Example of Treasury risk:

Foreign exchange risk (Currency risk): Foreign exchange risk arises from fluctuations in exchange rates that can affect the value of a company’s financial transactions denominated in foreign currencies.

Describes Credit Derivative with example

 A credit derivative is a financial contract between two parties that transfers the credit risk of a particular asset or portfolio of assets from one party to another. The common types of credit derivatives are credit default swaps (CDS), collateralized debt obligations (CDO) and credit-linked notes (CLN), and credit-linked notes (CLN).

Credit default swaps (CDS): A credit default swap is a type of credit derivatives that provides protection against a default of a particular credit asset. The buyer of a CDS pays a premium to the seller in exchange for a promise to receive a payment if the underlying credit asset defaults. For example, a hedge fund may purchase a CDS on a corporate bond to protect against the risk of default.

Collateralized debt obligations: A collateralized debt obligation is a type of credit derivative that pools together multiple credit assets, such as bonds or loans, and creates different classes of securities with varying levels of risk and return. Investors purchase these securities based on their risk and return preference. For example, a CDO may be created by pooling together a portfolio of mortgage-backed securities and creating different tranches of securities with varying levels of risk.

Credit-linked Notes (CLN): A credit-linked note is a type of credit derivative that is tied to the performance of a particular credit asset or portfolio of assets. The buyer of a CLN receives a return based on the performance of the underlying asset, but also assumes the credit risk associated with the asset. For example, an insurance company may issue a CLN that is tied to the performance of a particular corporate bond. If the bond defaults, the investor in the CLN will lose money.

Overall, credit derivatives are used by investors to manage their exposure to credit risk and to create investment opportunities based on the performance of credit assets. However, credit derivatives can also be complex and risky financial instruments that require a deeper understanding of credit risk and financial markets.

What is Transfer Pricing

Transfer pricing refers to the practice of setting prices of goods and services that are exchanged between related parties, such as different subsidiaries of a multinational corporation. These related parties may be in different countries, and transfer pricing is used to determine the price at which goods or services are transferred between them.

The goal of transfer pricing is to ensure that the price set for the transfer of goods and services is fair and reflects the market value of those goods or services. However, there is often a risk that related parties may set artificially low or high prices for the transfer of goods and services to shift profits to jurisdictions with lower tax rates or to avoid taxes altogether.

To prevent this, many countries have established regulations and guidelines for transfer pricing. These regulations generally require that the transfer price be determined based on the arm’s length principal, which means that the transfer price should be similar to what would be charged between unrelated parties in a similar transaction. Companies are required to document their transfer pricing policies and practices and to report them to tax authorities. Failure to comply with transfer pricing regulations can result in penalties, fines, and legal actions.


Define ALCO Paper, Contents of the Asset Liability Committee Paper or What is ALCO Paper? Briefly describe the contents of the ALCO Paper.

An ALCO paper, covering all the prescribed issues, must be presented in every meeting of ALCO. The Treasury Management Department will be to present the paper incorporating all necessary information, analysis and suggestions from the related departments including its own opinion, if necessary, on the related issues. A separate observation from RMD regarding market and liquidity risk shall also be included in the ALCO paper. The decision taken against each issue should be carefully noted and preserved for a reasonable time (Not less than 3 years).

The Asset Liability Committee (ALCO) paper typically includes a range of information related to the management of a financial institution’s balance sheet, with a focus on managing risks related to interest rate risk and liquidity risk. The specific contents of an ALCO paper may vary depending on the institution’s specific circumstances and priorities, but it may include the following:

·        Confirmation of Minutes of last meeting that contains formal confirmation of the last ALCO meeting minutes.

·        Review of the action items of the previous meeting contains detailed discussion on the progress of the action items and review deadlines if appropriate.

·        Review of economy items that may be included are GDP growth, inflation, credit growth, govt borrowing, export, import, remittance, FX Reserve and current account balance and markets items that may be included are: movement of interbank market liquidity, call money rates, term money rates, govt. securities yield. Also, a comparison of interest rates offered by comparable banks can be important.

·        Review of Balance Sheet limits utilization- AD ratio, Commitments, LCR, NSFR, Loan and Deposit Concentrations (If applicable), etc. Items which are not at acceptable levels are reviewed further in details and corrective actions proposed.

·        Review the various regulatory liquidity requirements (CRR, SLR, Capital Adequacy, etc.) and compliance with those, i.e. Top 10 Depositors and Borrowers list etc.

·        An analysis of the institution’s liquidity risk profile an discussion of the strategies and tools used to manage that risk, such as maintaining adequate levels of liquid assets, establishing lines of credit, and monitoring cash flows.

The ALCO should closely monitor the developments around various liquidity issues in every meeting. It is also mandatory for the Treasury Department to inform the board (ALCO in case of foreign bank) regarding various liquidity issues (e.g. CRR/SLR, SLP, LCR, NSFR, ADR and IDR) in every board/ALCO meeting of the bank.


 


Features of Wholesale Borrowing

Wholesale Borrowing Guidelines (WBG) are a set of guidelines developed by Bangladesh Bank (BB) to regulate the borrowing activities of Non-Bank Financial Institutions (NBFIs). The guidelines are intended to ensure that NBFIs are able to access wholesale funding sources in a prudent and sustainable manner, without compromising the financial stability of the system. The main features of WBG as per the BB circular are:

1.     Eligibility Criteria: The BB circular requires NBFIs to meet certain criteria before they can access wholesale funding sources. These criteria include maintaining a minimum capital requirement, complying with prudential norms on capital adequacy and asset classification, and maintaining a track record of profitability and regulatory compliance.

2.     Limits on Exposure: The WBG sets limits on the amount of wholesale funding that NBFIs can raise from a single lender or group of related lenders. These limits are intended to reduce the concentration risk for both the lender and the borrower.

3.     Risk Management: The BB circular requires NBFIs to have a robust risk management framework in place to manage the risks associated with wholesale borrowing. This includes a clear policy on the use of funds, adequate systems and controls to monitor and manage risks, and regular reporting to the board of directors and regulatory authorities.

4.     Disclosure and Transparency: The BB circular requires NBFIs to disclose information on their wholesale borrowing activities in their financial statements, including the names of the lenders, the terms of the borrowing, and the risks associated with the borrowing.

5.     Reporting Requirements: The BB circular requires NBFIs to submit periodic reports to the Bangladesh Bank on their wholesale borrowing activities, including details of their borrowing from different sources, concentration risk and compliance with the WBG.

Overall, the Wholesale Borrowing Guidelines (WBG) as per the BB circular are an important regulatory framework that helps to ensure that NBFIs are able to access wholesale funding sources in a sustainable and responsible manner. The guidelines help to reduce the risks associated with wholesale borrowing and promote financial stability in the system.


Liquidity coverage ratio

 LCR is a regulatory requirement that measures a financial institution’s ability to meet its short-term liquidity need under stressed market conditions. The LCR requires the institution to maintain a sufficient stock of high-quality liquid assets (HQLA) that can be quickly converted into cash to cover its net cash outflows over a 30-day period. The LCR is calculated by dividing the institution’s stock of HQLA by its expected net cash outflows over the next 30 days.

For example, suppose a bank has a total stock of $100 million in HQLA and is expected to experience net cash outflows of $50 million over the next 30 days. In that case, the bank’s LCR would be calculated as

LCR = HQLA/Net cash outflows over the next 30 days=$100 million / $50 million= 2.0

In that example the bank’s LCR is 2.0 indicating that it has sufficient liquid assets to cover its expected cash outflows for the next 30 days.

The projected net cash outflows consider potential cash outflows under stress conditions, considering factors such as deposit withdrawals, contractual obligations, and other funding needs. These outflows are typically categorized into different time horizons, with different percentages applied to each category.

The LCR is calculated by dividing the bank’s HQLA by its projected net cash outflow. A minimum LCR threshold us set by regulatory authorities, and banks are required to maintain an LCR equal to or higher than the prescribed minimum. This ensures that banks have enough liquidity to cover their cash outflows for a defined period, typically 30 days,

The LCR serves as a measure of a bank’s liquidity risk management and its ability to weather short-term liquidity stress. By maintaining an adequate LCR, banks can enhance their resilience to financial crises and contribute to overall financial stability.

 

 


Define Advance to Deposit Ratio (ADR) and how it works:

Advance to Deposit Ratio (ADR) is considered as a barometer of progress of all financial institutions. ADR is the ratio of total advances to total deposits, where advances comprise all banking advances, except foreign currency, held against export development fund (EDF), refinance and offshore banking unit exposure. Deposit comprises all demand and time deposit excluding bank deposit and additional borrowing.

A high ADR shows that banks are generation more credit from their deposits and vice-versa. The outcome of this ratio reflects the ability of the bank to make optimal use of the available funds. The ADR of commercial banks has great significance.

Primarily, it is a measure of the utilization of funds by the banking system. This ration is an important tool of monetary management. Magnitude of the said ration indicates management’s aggressiveness to improve income through higher lending.

The formula for calculating AD ratio is as follows:

ADR = Total loans and advances or investments / (Total time and demand liabilities +Interbank deposit surplus*+Bond surplus**)

Interbank deposit surplus = Deposit from other banks - Deposit with other banks (if -ve then 0)

**Bond surplus = Total amount raised from issuing bond – Total investment in bond of other banks (if -ve then 0)

ADR for Islamic banking operation of conventional banks: Conventional banks having Islamic banking business have to calculate and maintain ADR separately for conventional banking and Islamic banking operation. ADR for Islamic banking operation is same as that if Islamic Shariah based banks.

It is important to adjust the AD ratio limit with changing conditions of bank’s asset and liabilities. The Management of the bank should inform the board regarding AD ration in every meeting so that the board may take quick decision necessary to adjust the ratio.


 

Define LIBOR Rate

 The LIBOR rate (London Interbank Offered Rate) is a benchmark interest rate that represent the average interest rate at which major global banks are willing to lend to-ne another in the London interbank market for short-term loans.

The rate is calculated and published daily by Intercontinental Exchange (ICE), based on submissions from a panel of banks that reflect their borrowing costs. LIBOR is used as a reference rate for a wide range of financial products, including variable rate mortgages, loans and derivatives. It is considered a key benchmark for the global financial system and is closely monitored by financial institutions, investors and regulators.

However, as of December 2021, LIBOR is being phased out and will no longer be available after December 31, 2021, due to concerns over its reliability and susceptibility to manipulation.

The LIBOR rate is determined by a daily survey of major banks, which report the interest rates they would charge to lend funds to other banks for various terms and currencies in the London Interbank market. The intercontinental Exchange (ICE), which is the administrator of LIBOR calculates the rate as the average of reported rate after excluding the highest and lowest 25% of submissions.

The survey is conducted for five currencies (USD, EUR, GBP, CHF and JPY) and seven tenors (overnight, one week, one month, two months, three months, six months and twelve months). For example, the USD LIBOR rate for the months is the average interest rate at which a panel of banks would lend US dollars to each other for a period of there months in the London interbank market.

The LIBOR rate is widely used as a benchmark for a variety of financial products, such as mortgages, loans and derivatives. Financial institutions use it t determine interest rates on loans and to price derivatives, such as interest rate swaps. Investors also use LIBOR as a benchmark to evaluate the performance of fixed income investments.

However, as mentioned earlier, LIBOR is being phased out and replaced by alternative reference rates due to concerns about its reliability and vulnerability to manipulation. The transition to these new rates, such as the Secured Overnight Financing Rate (SOFR) in the United States, is currently underway.

21 August, 2024

Demand for Money

Demand for money refers to the amount of money that individuals and businesses desire to hold for transactional and speculative purposes. The demand for money is influenced by several factors including.

Interest rates: When interest rates are high, the opportunity cost of holding money increases as individuals and businesses can earn more by investing in other assets. Therefore, the demand for money decreases. Conversely, when interest rates are low, the opportunity cost of holding money decreases, and the demand for money increases.

Income: As income increases, so does the demand for money, as people have more money to spend on goods and services.

Prices: When the general price level increases the demand for money increases because individual need more money to purchase the same quantity of goods and services.

Economic uncertainty: In times of economic uncertainty, individuals and businesses tend to hold more money as a precautionary measure. This leads to an increase in the demand for money.

Payment habits: Changes in payment habits can also affect the demand for money. For example, the increased use of credit cards and other electronic payments methods can reduce the demand for physical cash.

Overall, the demand for money is a complex concept that is influenced by various economic and social factors. Understanding the factors that affect the demand for money is essential for policy makers and financial institutions to effectively manage the money supply and promote economic stability.

Repo-Reverse Repo

 Basically, Repo is a repurchase agreement and refers to the rate at which commercial banks borrow money by selling their securities to the Central bank of our country, i.e. in case of shortage of funds or due to some statutory measures, Bangladesh bank have to maintain liquidity. It is one of the main tools of the Central Bank to keep inflation under control. Also known as a repo agreement, is a form of short-term borrowing, mainly in government securities.

The repo market is an important source of funds for large financial institutions in the non-depository banking sector, which has grown to rival the traditional depository banking sector in size. Large institutional investors such as money market mutual funds lend money to financial institutions such as investment banks, either in exchange for collateral, such as treasury bonds and mortgage-backed securities held by borrower financial institutions.

 

Reverse Repo Rate is a mechanism to absorb the liquidity in the market, thus restricting the borrowing power of investors. Reverse Repo Rate is when the Central Bank borrows money from a bank when there is excess liquidity in the market. The banks benefit from it by receiving interest on their holdings from the central bank.

An increase in the reverse repo rate will decrease the money supply and vice versa, other things remaining constant. An increase in reverse repo rate means that commercial banks will get more incentives to park their funds with BB, thereby decreasing the supply of money in the market.

During high levels of inflation in the economy, the Central Bank increases the reverse repo. It encourages the banks to park more funds with the Central Bank to earn higher returns on excess funds. Banks are left with lesser funds to extend loans and borrowings to consumers.

Advantages and Disadvantages of Offshore banking

 Not only does offshore banking account benefit individual account holders, but it also is a powerful means of protection and convenience for offshore businesses. Why should you open offshore bank accounts? Let’s get the answer below:

1.     Tax Benefit: As a matter of concern, taxation optimization is the top priority of most companies going offshore. High tax burden makes people hesitate to open a bank account in their home country. By contrast, opening an offshore bank account in tax havens allows account holders to be entitled to a favorable tax rate-either a lower tax rate or even no tax rate at all.

2.     Better asset protection:  Holding money out of the home country is an effective way for your asset protection. You probably also know about many scenarios of expats who were suddenly blocked from taking money out of accounts. In many countries, the banking system has feeble and unsound protection to account holders’ wealth and assets. This, consequently, can pose serious threats to business themselves.

3.     Convenience: Offshore bank accounts are strongly associated with convenient services. If you are not based in a single country but need to move around for business purposes, then an offshore bank account will be a good choice. The reason for this is that offshore bank accounts are easily accessible from anywhere in the world. Furthermore, offshore bank accounts ensure sufficient service utilities for account user as they can find local or international bank in their home country, such as customized services, 24/7 internet banking, debit/credit cards, ATM networks, and many more.

4.     Better Security: Level of security is a pull factor for many offshore account holders. Unlike accounts that you have opened in your home country, an offshore bank account, especially in a reputable and efficiently operated jurisdiction, will offer a high level of safety where depositor’s money can be kept safe and undisclosed.

5.     More Privacy: Another benefit of offshore bank account is by dint of privacy law. Many offshore banking jurisdictions have enacted several laws of strict corporate and banking confidentiality. These highly put emphasis on anonymity for account holders, allowing accounts information to be kept safe and undisclosed.

6.     Higher Interest rate: Generally, keeping money in offshore banks can offer higher interest rates of savings than that in your home country. And one good way to obtain a good interest rate for your offshore bank account is to set up a long-term account.

7.     Currency Diversification:  Offshore banking enables account holders to have diverse currency portfolio in their offshore accounts. In other words, you can own different currencies in your accounts, as well as make transactions with multi-currencies. In this way, your account cannot easily be influenced by currency fluctuations which can often be seen in home country.

8.     Investment Opportunities: A plus for offshore banking is that offshore financial centers have less government intervention. It means that account holders are able to access a wide variety of investments and funds opportunities.

9.     Multi-Currency Banking: The first advantage of offshore bank accounts is that their services are available in different currencies. The services are especially available in the currency of the country to which most customers belong.

 

Disadvantages of offshore banking:

Despite the multiple advantages of offshore banking, there are also some disadvantages. Here are some disadvantages that you should know before opening a bank account overseas.

1.     Different Process: The processes of opening an account are different in different locations. For example, the KYC process of opening an account in New York will be different from opening the same account in London. To find out the fight offshore bank account for your needs, you might need some research and evaluation. Knowing the KYC requirements are important before applying an offshore bank account.

2.     Access can be hard: Accessing your funds can be tough in offshore bank accounts. You may not be able to access your funds as easily as in local bank accounts. While they offer you debit cards that you can use for shopping and withdrawing cash, some transactions may take three to seven days to complete. It can be difficult when you want to do the transaction immediately or on the same day.

3.     Expensive than local bank accounts: Overseas bank accounts are usually expensive as compared to local bank accounts. Companies offering offshore banking services recognize that wealthy people use these international accounts and therefore charge accordingly. If you want to establish an offshore company, the legal fees in this country could be high and you could even own a property in this country before starting a business.

4.     Less Security: You may not get FDIC protection if your overseas bank accounts go down. There is no possibility of getting the money back if the money is lost or the offshore bank goes bankrupt. If you decide to put your money in a foreign account, be sure to sign up with a professional to help you choose a reliable location.

5.     Negative implications: The term offshore has become synonymous with illegal and immoral money laundering and tax evasion activity. Therefore, conceivably anyone with an offshore bank account could be tarred, by some, with the same brush – even though their offshore banking activity is wholly legitimate.

6.     More due diligence needed: You have to choose your offshore jurisdiction carefully. Whilst you may well be aware of how the banking industry operates in your own home nation and how it is regulated, the rules and regulations abroad differ massively. Also some offshore havens are less stable than others.

Offshore Banking Operation

 An offshore bank is a bank regulated under an international banking license, which usually prohibits the bank from establishing any business activities in the jurisdiction of establishment. Due to less regulation and transparency, accounts with offshore banks were often used to hide undeclared income.

It describes a relationship that a company or individual has with a financial institution outside the country of their residence. This requires opening a bank account, making deposits, withdrawals and transfers from that account to the exact same way you would with a bank account at home.

In context of our country, Offshore Banking Unit mainly deals with non-residents Bangladeshi citizens, maintaining exclusively foreign currency transactions, can borrow and lend in Foreign Currency with any other local and global Banks, being treated its operation as a country within a country, commissioned by a separate Banking License from Bangladesh Bank and free from minimum reserve requirement.

It may be further defined as the prioritized banking operation when there is no permission for resident Bangladeshi citizen and on contrary dealing with the non-residents 100% foreign-owned and joint-venture investment enterprises inside the export processing zones which does not fall under the set regulations of Bangladesh Bank and other regulators.

Basically, it is completely a separate functions and distinct identity, where its customers can enjoy unique package of tax benefit and operations which are free from local regulations to compete with domestic banks including local branches of foreign bank.

Describes Liabilities of Offshore Banking Operation

Offshore banking operations involve financial institutions located in countries outside of the depositor’s country of residence. Like any other financial institution, offshore banks have liabilities that they must meet. Some of the liabilities of offshore banking operations include.

Deposits: Deposits made by customers are the most common liability for an offshore bank. These deposits can be in the form of checking accounts, savings accounts, time deposits or other types of accounts. Offshore banks have to ensure that they have enough liquidity to meet the demands of depositors who may wish to withdraw their funds at any time.

Loans: Offshore banks provide loans to customers just like any other bank. The loans can be for personal, business or investment purposes. The bank must ensure that the loans are profitable and that the borrowers are creditworthy.

Bonds: Offshore banks may issue bonds to raise funds. The bonds are a form of debt that the bank must repay at a future date. The bank must ensure that it has enough cash flow to meet the obligations of the bondholders.

Derivatives: Offshore banks may engage in derivatives trading, such as futures contracts, options and swaps. Derivatives are financial instruments that derive their value from an underlying asset, such as stock or a currency. The bank must ensure that it has enough capital to cover any losses that may occur due to derivatives trading.

Interbank Borrowing: Offshore banks may borrow funds from other banks. This is known as interbank borrowing. The bank must ensure that it has enough liquidity to meet the demands of its depositors and its interbank creditors.

Overall, offshore banks must ensure that they have enough liquidity and capital to meet their liabilities. They must also comply with international banking regulations and standards to maintain the trust of their customers and financial community.

Define Quasi Money in brief

Quasi-Money refers to financial assets that are not considered as money but can be easily converted into cash or used as a substitute for money. Quasi-money includes various types of financial instruments that are highly liquid, but not directly usable as a medium of exchange, such as time deposits, saving accounts, and certain types of bonds.

Although quasi-money is not considered as a legal tender and cannot be used to make payments directly, it is still considered a valuable asset because it can be quickly converted into cash if needed. Therefore, quasi-money is often used as a store of value or a means of saving for short term goals.

In the context of macroeconomics, quasi-money is an important indicator of the overall liquidity of an economy, since it represents the amount of assets that can be quickly converted into cash without significant loss in value. Central banks and policy makers closely monitor the level of quasi-money in an economy as part of their efforts to manage monetary policy and maintain financial stability.


 

Macroeconomic Equilibrium

Macroeconomic Equilibrium refers to a situation in an economy where the total amount of goods and services produced (supply) is equal to the total amount of goods and services purchased (demand) at a particular price level. In other words, it is a state where the economy is operating at its full potential and there are no imbalances or gaps between the aggregate demand and supply.

In this state, there is no pressure for the economy to either expand or contract since all resources are being utilized efficiently. Macroeconomic equilibrium can be measured through various economic indicators such as Gross Domestic Product (GDP), inflation rate, and unemployment rate.

 

There are different ways to represent macroeconomic equilibrium, but one common method is through the use of a graph known as the Aggregate Demand-Aggregate Supply (AD-AS) model. In this model, the AD curve represents the total demand for goods and services in the economy, while the AS curve represents the total supply of goods and services produced. The intersection point of these two curves is the macroeconomic equilibrium point.

 

When the economy is at macroeconomic equilibrium, there is no excess supply or excess demand, and the price level is stable. Any changes in the economy, such as changes in government policies, technological advancements, or natural disasters, can affect the equilibrium point, leading to shifts in either the AD or AS curves, and ultimately, a new equilibrium point.


 

Money Market

The money market refers to trading in very short-term debt investments, short-term debt instruments are traded on the money market. It involves an ongoing exchange of funds among businesses, government, banks, and other financial institutions for terms that can range from one night to as long as a year.

At the wholesale level, it involves large-volume traders between institutions and traders. At the retail level, it includes money market mutual funds bought by individual investors and money market accounts opened by bank customers.

In all these cases, the money market is characterized by a high degree of safety and relatively low rates of return.

The money market comprises banks and financial institutions as intermediaries, 20 of them are primary dealers in treasury securities. Interbank clean and repo-based lending. BB’s repo, reverse repo auctions. BB bills auctions and treasury bills auctions are primary operations in the money market, there is also active secondary trade in treasury bills (up to 1 year maturity).

Narrate Difference between duration and convexity

 Duration and convexity are both measures used in fixed-income investments to assess the sensitivity of bond prices to changes in interest rates. However, they represent different aspects and provide distinct insights. Here are the important differences between duration and convexity:

1.     Definition: Duration measures the average time it takes to receive the bond’s cash flows, including both coupon payments and principal repayment. Convexity, on the other hand, measures the curvature of the price-yield relationship of a bond.

2.     Sensitivity to Interest Rates: Duration provides an estimate of the percentage change in a bond’s price for a given change in interest rates. It captures the linear relationship between bond prices and interest rates. Convexity, however, accounts for the non-linear relationship between bond prices and interest rates, offering a more accurate measure of the price sensitivity.

3.     Price Predictability: Duration provides a reasonably reliable estimate of the bond’s price change when interest rate change. It assumes that the relationship between bond price and interest rates is linear. Convexity, with its consideration of the non-linear relationship, offers a more refined measures and improves the accuracy of the price predictions, especially for larger interest changes.

4.     Shape of the Price-Yield Curve: Duration assumes a straight-line relationship between bond prices and yields, implying a liner approximation. Convexity recognizes that the price-yield curve is not straight line but rather curved, indicating that the relationship is more complex and non-linear.

5.     Portfolio Management: Duration is commonly used for managing interest rate risk in fixed-income portfolios. It helps in assessing the overall sensitivity of the portfolio to interest rate changes. Convexity supplements duration by providing additional information on the potential magnitude of price changes and helps in fine-tuning risk management strategies.

6.     Bond Types: Duration and convexity can be applied to various types of fixed-income securities, including government bonds, corporate level bonds, mortgage-backed securities, etc. They are useful for evaluating the price behavior of individuals bonds as well as portfolios comprising multiple bonds.

7.     Calculation: Duration can be calculated directly using mathematical formulas or estimated using specialized software. Convexity, however, involves a more complex calculation that requires the second derivative of bond’s price-yield function. It is often calculated using software or financial calculations.

8.     Units of Measures: Duration is expressed in terms of years, representing the time-weighted average of the bond’s cash flows. Convexity is a dimensions measures, representing the relative change in duration.

9.     Interpretation: Duration is widely used measures for bond management and risk assessment. It indicates how sensitive a bond’s price is to charges in interest rates. Convexity complements duration by providing additional insights into the shape and curvature of the price-yield relationship, enabling a more nuanced understanding of bond price movements.

 

Overall, Duration and convexity are both valuable tools in fixed-income investing, with duration providing a simplified measure of sensitivity and convexity offering a more comprehensive and accurate analysis of price-yield relationships.

Junk Bond

 Junk bonds, also known as high-yield bonds, are debt instruments issued by companies or government that are considered to have a higher risk of default on their debt compared to investment-grade bonds. These bonds are assigned credit ratings by rating agencies like Standard & Poor’s (S&P) and Moody’s.

Key features of Junk Bonds (BB Rated):

·  Higher Interest Rates: To compensate investors for increased risk of default, junk bonds typically offer higher interest rates compared to investment-grade bonds. The BB rating might indicate a slightly lower risk and potentially a slightly lower interest rate than bonds rated B or below.

·  Increased Volatility: The value of junk bonds can fluctuate more significantly than investment-grade bonds due to changes in market sentiment, creditworthiness of the issuer and overall economic conditions.

·  Investment Suitability:  Junk bond, especially those with a BB rating, are generally suitable for investors with a higher risk tolerance and a longer investment horizon who can withstand potential price fluctuations and the possibility of default.

·  Portfolio Diversification: Including a small allocation of BB-rated junk bonds in a diversified portfolio can potentially enhance returns, but investors should carefully consider their risk appetite and investment goals.

Overall BB-rated junk bonds offer a potential for higher returns but come with a significant risk of default and price volatility. Investors should carefully evaluate their risk tolerance and investment goals before including these bonds in their portfolios. 

Chinese Walls

A Chinese Walls (also known as an ethical wall or information barrier) refers to a virtual barrier implemented within an organization to prevent internal conflicts of interest and the misuse of confidential information. It acts as a safeguard to ensure that sensitive information remains separate and confidential, especially in contexts like investment banking where maintaining confidentiality is crucial. It’s a set of procedures and controls aimed at restricting the flow of confidential information between different departments or teams.

Benefits:

·        Reduced conflicts of interest

·        Enhanced public trust

·        Regulatory compliance

Limitations:

·        Potential communication barriers

·        Relies on employee ethics

 

 

Chinese Walls are a valuable tool for organizations to manage conflicts of interest and promote ethical conduct. However, they are most effective when combined with a strong ethical culture, employee training and robust compliance monitoring.