CFA二级 Fixed Income考试资料.pdf

2012年年CFA二级培训基础班讲义二级培训基础班讲义 Fixed income analysis 讲师 何旋 金程高级培训师 地点 上海 北京 深圳 讲师 何旋 金程高级培训师 地点 上海 北京 深圳 上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2 2 109109 何旋何旋 职称 职称 金程教育高级培训师 通过CFA三级 通过FRM 工作经验 工作经验 2009年至今 担任金程教育CFA 注册金融分析师 高级培训师 主要负责 经济 学 固定收益 衍生产品 和 组合管理 的课程讲解 2007年2011年4月 在金程教育 金融研究院内担任研究员 主要负责包括CFA项目研发以及的相关内训课程的课程体系开发 主要 项目经验包括 摩根史丹利项目 组长 组织小组内成员定期讨论 搜集金融基础知识方面的英 文资料 撰写英文课件 确保项目质量 中国银行项目 负责企业财务报表粉饰及合并报表 关联 交易模块的研究与课件撰写 中国工商银行CFA培训项目 CFA一级二级辅导员 金程教育CFA三级 课程体系的整体开发及相关课件 资料制作 金融热点专题研究 包括 次级债 IPO 一行三会 等 形成研究报告 并开发相关课程 形成大纲 研究编写课件及各类辅助材料 基于内训客户 的培训课程体系开发 南京银行 兴业基金 瑞穗实业银行等 授课 授课 讲授CFA Level I 20次 CFA Level II 15次等 授课范围广泛 经济学 固定收益投资 衍生 品投资 投资组合 资产配置 个人理财 数量分析等 专业能力 专业能力 金融理论知识扎实 在金融教学中有自己独到的方法 多年对CFA考试体系的研究使她 全面掌握考试重点 尤其擅长经济学课程的讲授 能将复杂的理论具体化 在授课过程中能够从 考生角度出发 提供自己在备考过程中的经验和方法 帮助考生更好的准备考试 客户 客户 摩根史丹利 工商银行 中国银行 瑞穗实业银行 南京银行 兴业基金等 联系方法 联系方法 hexuanf 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3 3 109109 Topic Weightings in CFA Level II Topic Weightings in CFA Level II Session NO Content Weightings Study Session 1 2 Ethics risk default risk credit spread risk and downgrade risk 1 default risk The borrower will not repay the obligation 2 Credit spread risk the credit spread will increase and cause the value of the issue to decrease and or cause the bond to underperform its benchmark 3 Downgrade risk the issue will be downgraded by the credit rating agencies which will cause the price to fall 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 9 9 109109 Types of credit risk LOS 48b explain and analyze the key components of credit analysLOS 48b explain and analyze the key components of credit analysis is Standard Moody s Fitch only assess default risk but not assess credit spread risk and downgrade risk 1 Credit rating Long term probability of both default and loss to investor Short term only probability of default 2 Rating watch short term usually 3 months review a particular issue for upgrade or downgrade may reduce Two rating notches e g A1 to A3 3 Rating outlook longer term 6 months to 2 years Change one rating notch positive outlook or negative outlook e g A1 to A2 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1010 109109 4C原则原则 1 Character management s integrity and its commitment to repay the loan Ability to react to unexpected events one of the most important Corporate governance Larger board Independent directors are the majority Nominating committee CEO Chairman of the board Findings institutional ownership and stronger outside control lower bond yields and higher credit ratings traditional credit analysis not useful for lower rated bonds corporate governance most important Others Business qualifications and operating record Strategic direction financial philosophy conservatism track record control systems 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1111 109109 4C原则原则 2 Capacity ability to generate cash flows or liquidate short term assets to repay Liquidity position is a key determining factor working capital current assets current liabilities dependable cash flow back up facilities lending agreement versus a line of credit securitizing assets third party guarantees Moody s uses industry trends regulatory environment operating and competitive position financial position and sources of liquidity company structure parent company support agreement special event risk 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1212 109109 4C原则原则 3 Covenants important for high yield issuers Affirmative require the debtor to take certain actions e g pay the interest pay taxes maintain working capital and report results Negative prohibit the debtor to take certain actions usually by requiring the debtor to maintain certain ratios cannot sell assets pay dividends or make additional borrowings 4 Collateral The value of the un pledged assets is also important the least useful why The value of collateral decline Dramatically after Bankruptcy 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1313 109109 Key ratios used to assess the ability of a company LOS 48c calculate and interpret the key financial ratios used byLOS 48c calculate and interpret the key financial ratios used by credit credit analysts analysts LOS 48d evaluate the credit quality of an issuer of a corporate LOS 48d evaluate the credit quality of an issuer of a corporate bond given bond given such data as key financial ratios for the issuer and the industrsuch data as key financial ratios for the issuer and the industry y 1 Profitability ratios 2 Short term solvency ratios net incomenet incomesalestotal assets ROE equitysalestotal assetsequity current assets current ratio current liabilities current assetsinventorie acidtest ratio current liabilities s 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1414 109109 Key ratios used to assess the ability of a company long term debt long term debt minority interest common 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1717 109109 S Bank debt High yield borrowers typically rely on short term floating rate senior bank debt to a greater extent than investment grade borrowers Floating rate different interest scenarios analysis Short term how and where to obtain funds operating cash flow refinancing asset sales Senior holder of senior securities are really subordinate to bank debt Reset notes trade at a specific premium coupon rate is reset periodically Difficult to analyze because Effects of changing credit spreads must be incorporated in interest rate scenario analysis Asset sales as result of higher interest cost can impact future cash flows Zero coupon bonds effects on the subordinated issues since interest accrue over time and the portion increase there is also possibility of bankruptcy 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1919 109109 Corporate structure of a high yield issuer Operating Subsidiaries Parent company Investors Restriction on Dividends Inter company Loans Asset sales 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2020 109109 Factors considered in rating asset backed securities LOS 48g discuss the factors considered by rating agencies in ratLOS 48g discuss the factors considered by rating agencies in rating ing assetasset backed securities backed securities Collateral credit quality for ABS debt service major repairs equipment replacement extraordinary maintenance Any funds remaining go into a reserve fund Tax backed debt Revenue bonds Debt structure Budgetary policy Local tax and intergovernmental revenue availability Socioeconomic environment Limits of the basic security Flow of fund structure Rate user charge covenant Priority of revenue claims Additional bonds test LOS 48h explain how the credit worthiness of municipal bonds is LOS 48h explain how the credit worthiness of municipal bonds is assessed and contrast assessed and contrast the analysis of taxthe analysis of tax backed debt with the analysis of revenue obligations backed debt with the analysis of revenue obligations 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2222 109109 Economic and political risks in assigning sovereign ratings US government is not rated by any nationally recognized rating agency Economic risk ability Economic and income structure prospects for economic growth degree of fiscal flexibility public debt burden monetary policy and price stability balance of payment liquidity external debt and liquidity Political risk willingness Local currency debt ratings Foreign currency debt ratings balance of payment liquidity external debt and liquidity Local currency debt ratings Foreign currency debt ratings LOS 48i discuss the key considerations used by Standard government 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2323 109109 Contrast Corporate bondABSMunicipal bondSovereign bond Capacity to payQuality of collateral diversification Flow of fundsEconomic risk ability Character Governance structure Quality of ServicerPolitical risk willingness covenants collateralCF stressRate covenant Legal structurePriority of revenue claims LOS 48j contrast the credit analysis required for corporate bondLOS 48j contrast the credit analysis required for corporate bonds to that s to that required forrequired for 1 asset backed securities 2 municipal securities and 3 sovereign debt 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2424 109109 Framework of Fixed Income Analysis SS 14 Valuation Concepts Reading 48 General Principles of Credit Analysis Reading 49 Term Structure and Volatility of Interest Rates Reading 50 Valuing Bonds with Embedded Options SS 15 Structured Securities Reading 51 Mortgage Backed Sector of the Bond Market Reading 52 Asset Backed Sector of the Bond Market Reading 53 Valuing Mortgage Backed and Asset Backed Securities 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2525 109109 Framework of Reading 53 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2626 109109 Term Structure and Volatility of Interest Rates Parallel shift Non parallel shift Twists 直线 Butterfly 曲线 Steepened Flattened Positive 更直 Negative 更弯 Changes in Level rates 90 Duration convexity Slope changes 8 5 Key rate duration Curvature changes 1 5 LOS 49a illustrate and explain parallel and nonparallel shifts LOS 49a illustrate and explain parallel and nonparallel shifts in the yield curve a yield in the yield curve a yield curve twist and a change in the curvature of the yield curve icurve twist and a change in the curvature of the yield curve i e a butterfly shift e a butterfly shift 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2727 109109 Various universes of Treasury securities used to construct the theoretical spot rate curve DescriptionAdvantagesDisadvantages All on the run treasury securities The newest bills notes bonds Only the most accurately priced Large maturity gaps after 5 years 1 2 5 10 30 All on the run linear interpolation Reduce maturity gaps Still not all rate information rates distorted by repo market 20 25y added All treasury coupon securities and bills Use all treasury coupon securities and bills Not ignore the information from issues excluded More than one yield current prices not available for all maturities Treasury stripsHave most maturities and reduce gaps intuitive approach Liquidity premium embedded tax treatment effects Los49b describe the factors that drive U S Treasury security rLos49b describe the factors that drive U S Treasury security returns and eturns and evaluate the importance of each factor evaluate the importance of each factor 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2828 109109 Swap rate curve Reasons that market participants have increasingly used the swap rate as a benchmark rather than a government bond yield curve The swap rate curve is the series of fixed swap rates quoted by swap dealers over maturities extending from 2 to 30 years 1 No regulation on the swap market swap rates in different countries more comparable 2 The supply and equilibrium pricing depends only on the number of participants not affected by technical market factors 3 Swap curves across countries are more comparable because of reflecting credit risk no sovereign risk related to government risk 4 Swap curve has 11 maturities while US government bond only has 4 2 5 10 30 year LOS 49d explain the swap rate curve LIBOR curve and discuss LOS 49d explain the swap rate curve LIBOR curve and discuss why market why market participants have used the swap rate curve rather than a governmparticipants have used the swap rate curve rather than a government bond yield ent bond yield curve as a benchmark curve as a benchmark 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 2929 109109 Theories of the term structure of interest rates Forward rates expected future f spot rates DescriptionShapes Pure expectations theory Broadest interpretation Upward slope rise Downward slope fall Flat yield remain Local expectation Biased expectatio n theory Liquidity theory Forward rates expectation of future rates liquidity premium Upward slope either rising expected future rates or rates remain but liquidity premium added Downward slope fall Los 49e illustrate the theories of the term structure of intereLos 49e illustrate the theories of the term structure of interest rates i e pure expectations st rates i e pure expectations liquidity and preferred habitat and discuss the implications liquidity and preferred habitat and discuss the implications of each for the shape of the of each for the shape of the yield curve yield curve 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3030 109109 Theories of the term structure of interest rates Preferred habitat Theory Forward rates expectation of future rates premium for moving out of the preferred habitats Premiums are related to supply and demand for funds not necessarily related to maturity Explain almost any yield curve shape 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3131 109109 Key rate duration Example Bond zero coupon Weight D1D2D3D4Key Rate Duration 2 year10 2 0 2 10 year20102 0 20 year40208 0 25 year30257 5 Portfolio 10017 7 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3232 109109 Key rate duration Example non parallel shift Bond zero coupon Weight D1D2D3D4Key Rate Duration Changes 2 year10 2 0 2 0 2 10 year20102 0 3 0 20 year40208 0 6 4 25 year30257 57 5 Portfolio 10017 7 2 1 Shifts bp 10015080 100 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3333 109109 Barbell portfolios contain a relatively large percentage of long and short maturity bonds Ladder portfolios contain bonds that are evenly distributed throughout the maturity spectrum Bullet portfolios typically have a relatively high concentration of bonds at some intermediate maturity Key rate duration LOS 49f compute and interpret the yield curve risk of a securitLOS 49f compute and interpret the yield curve risk of a security or a portfolio y or a portfolio by using key rate duration by using key rate duration 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3434 109109 Key rate duration Key rate maturity Key rate maturity Bullet Bullet Ladder Ladder Barbell Barbell 3 month 0 070 050 05 1 year0 090 060 06 2 year1 101 040 11 3 year0 831 042 25 5 year0 421 070 65 7 year0 731 071 05 10 year1 201 071 03 15 year4 221 081 12 20 year0 701 061 08 25 year0 201 052 15 27 year0 071 040 08 Effective portfolio duration9 639 639 63 What is the impact of a 75 basis point increase in the 15 year spot rate while all other key rate maturity rates remain stable 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3535 109109 Compute and interpret yield volatility given historical yields 2 1 1 variance 100 ln 1 T t tt t t XX y x Ty EXAMPLE Suppose today s yield is 7 56 and yesterday s was 7 5 compute the percentage yield change from yesterday to today assuming continuous compounding On the exam you will most likely be given the number of days to use If not use 250 the actual number of trading days T annualdaily T LOS 49g compute and interpret yield volatility distinguish betLOS 49g compute and interpret yield volatility distinguish between ween historical yield volatility and implied yield volatility and exhistorical yield volatility and implied yield volatility and explain how yield plain how yield volatility is forecasted volatility is forecasted 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3636 109109 Historical yield volatility and implied yield volatility Implied yield volatility to be derived from option pricing model Use the simplified Assumption that the pricing model is accurate Assumption that volatility is constant 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3737 109109 Forecast yield volatility Yield volatility forecasts are based on the standard deviation of daily yield changes using the moving average of yield changes over some appropriate time interval It is more appropriate to use zero as the value for the expected change in yields Variance The easiest way to compute is to assign equal weights to each observation Some investors weight recent observations more heavily than distant observations Variance Yield volatility has been observed to follow patterns over time This pattern can be modeled and used to forecast volatility using autoregressive statistical techniques 2 1 1 T t t X T 2 1 1 T tt t W X T 1 T T t t W 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3838 109109 Framework of Fixed Income Analysis SS 14 Valuation Concepts Reading 48 General Principles of Credit Analysis Reading 49 Term Structure and Volatility of Interest Rates Reading 50 Valuing Bonds with Embedded Options SS 15 Structured Securities Reading 51 Mortgage Backed Sector of the Bond Market Reading 52 Asset Backed Sector of the Bond Market Reading 53 Valuing Mortgage Backed and Asset Backed Securities 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 3939 109109 Framework of Reading 50 100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 4040 109109 Example option free 2 years annual coupon rate of 7 Review of the Binomial Model Today 4 5749 100 7 100 7 100 7 Year 2 7 1826 5 321 Year 1 Los 50c illustrate the backward induction valuation methodologyLos 50c illus