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CFA Level 1 科目介绍 | Fixed Income


CFA Level 1 -- Fixed Income

今天,小win带大家来趴一趴CFA Level 1 的10门课之一的Fixed Income,

🌟科目介绍

Fixed Income,全称固定收益类证券(主要指债券)。具体内容围绕着固定收益类证券定价、固定收益证券的风险和收益率这几个核心展开,由于考点较多较散,难以复习,难度系数偏大。

 💡 考试分数+题目比重 

在一级考试中占10%,换言之240道题目里将有24道固定收益有关的CFA题目出现。


                                                      🌟科目结构

CFA一级的Fixed Income包括2个study session + 从50~55题一共6个reading.


每个reading的重要考点如下:

✏️ Reading 50 

Fixed-Income Securities: Defining Elements 

① 债券的五个basic features;

② 债券的cashflow structure的设计,包括本金和票息;

③ 债券的内嵌期权(embedded option),包括call,put和convertible.

✏️ Reading 51 

Fixed-Income Markets: Issuance, Trading, and Funding 

① 债券一级市場(Primary market)的发行机制;

② 回购(Repo)的定义,影响reporate和repomargin的因素.

✏️ Reading 52 

Introduction to Fixed-Income Valuation 

① 利用单个折现率、即期利率、远期利率给债券定价的方法和计算;

② 到期收益率(YTM)、赎回收益率(YTC);

③ 应计利息(AI)、净价格、全价格;

④ 即期利率(spotrate)跟远期利率(forwardrate)之间的换算。



✏️ Reading 53 

Introduction to Asset-Backed Securities 

① Mortgage的特征;

② MBS提前偿付风险的定义、性质与衡量;

③ CMO分层后,各层的风险特征。


✏️ Reading 54 

Understanding Fixed-Income Risk and Return 

① 债券回報的來源,利率风险的分类;

② 久期(Duration)的定义,类别,影响久期大小的因素;

③ 凸度及凸度效应。

✏️ Reading 55  

Fundamentals of Credit Analysis



👉 信用风险的4C分析- 3道例题

1. Elaine Wong haspurchased an 8% coupon bond for $1,034.88 with 3 years to maturity.At what rate must the coupon payments be reinvested to produce a 5%yield-to-maturity rate?

A. 8%

B. 6.5%

C. 5%

Answer:C
C is correct. Yield-to-maturity measure assumes that the coupon payments can bereinvested at the yield-to-maturity. In this case, it’s5%. C is the correct answer.

2. Consider thethree bonds in the following table. Which of the three bonds is mostlikely to have the greatest reinvestment risk?

Bond YTM       Time to Maturity Current Price

A 8%                          15                    $980

B 8%                          15                    $1,000

C 8%                          15                    $1,098

A. Bond A

B. Bond B

C. Bond C

Answer:C
The yield tomaturity assumes the coupon payments are reinvested at the yield tomaturity and the bond will be held until maturity.The bond selling ata premium has the highest coupon rate and thus is expected to earnthe most reinvestment income.

If the reinvestmentrate falls, this bond will suffer the greatest loss.

Therefore, Bond C,which is currently selling at premium, is most likely to have thegreatest reinvestment risk.

3. Using the U.S.Treasury forward provided in the following table, the value of a 2year, 100 par value Treasury bond with a 4% coupon rate is closes to:

Period Years ForwardRate

1 0.5 1.1%

2 1.0 1.7%

3 1.5 2.2%

4 2.0 2.5%

A. $104.20

B. $100

C. $98.74

Answer:A

According to thedefinition of the forward rate, the value of the bond=2/(1+0.011/2)+2/(1+0.011/2)(1+0.017/2)+2/(1+0.011/2)(1+0.017/2)(1+0.022/2)+102/(1+0.011/2)(1+0.017/2)(1+0.022/2)(1+0.025/2)=104.2