CFA二级基础_Fixed Income.pdf

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1、20112011年年66月月CFACFA二级基础班二级基础班FixedIncomeFixedIncome讲师：吴沂日期：2011年3月12、19日地点：■上海□北京□深圳上海金程国际金融专修学院FrameworkofFrameworkofFixedIncomeAnalysisFixedIncomeAnalysisSS14-ValuationConcepts¾Reading53GeneralPrinciplesofCreditAnalysis¾Reading54TheLiquidityConundrum¾Reading55TermStructureandVolatilityof

2、InterestRates¾Reading56ValuingBondswithEmbeddedOptionsSS15-StructuredSecurities¾Reading57Mortgage-BackedSectoroftheBondMarket¾Reading58Asset-BackedSectoroftheBondMarket¾Reading59ValuingMortgage-BackedandAsset-BackedSecurities2-82100%ContributionBreedsProfessionalismGeneralPrinciplesofCredit

3、Analysis3-82100%ContributionBreedsProfessionalismGeneralPrinciplesofCreditAnalysisGeneralPrinciplesofCreditAnalysisTypesofcreditrisk¾Distinguishamongdefaultrisk,creditspreadrisk,anddowngraderiskò1)Defaultrisk：Theborrowerwillnotrepaytheobligationò2)Creditspreadrisk:thecreditspreadwillincreas

4、e/decrease?andcausethevalueoftheissuetodecrease/increase?and/orcausethebondtounderperformitsbenchmarkò3)Downgraderisk:theissuewillbedowngradedbythecreditratingagencieswhichwillcausethepricetofall4-82100%ContributionBreedsProfessionalismGeneralPrinciplesofCreditAnalysisGeneralPrinciplesofCre

5、ditAnalysis¾Standard&Poor’s;Moody’s;Fitch---onlyassessdefaultrisk,butnotassesscreditspreadriskanddowngraderisk.ò1)Creditrating:Longterm—probabilityofbothdefaultandlosstoinvestorShortterm—onlyprobabilityofdefaultò2)Ratingwatch:shortterm(usually3months);reviewaparticularissueforupgradeordowng

6、rade—mayreduceTworatingnotches(e.g.A1toA3)ò3)Ratingoutlook:longerterm(6monthsto2years);Changeoneratingnotch—positiveoutlookornegativeoutlook(e.g.A1toA2)5-82100%ContributionBreedsProfessionalismGeneralPrinciplesofCreditAnalysisGeneralPrinciplesofCreditAnalysis----4C4C原则原则¾Capacity;Covenants;

7、Collateral;Character¾1)Covenants:importantforhigh-yieldissuersòAffirmative:requirethedebtortotakecertainactions(e.g.paytheinterest,paytaxes,maintainworkingcapital,andreportresults)òNegative:prohibitthedebtortotakecertainactions,usuallybyrequiringthedebto