V2_20110302_上海复旦CFA一&cc

V2_20110302_上海复旦CFA一&cc

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上海金程国际金融专修学院 上海金程国际金融专修学院 讲师:吴 沂 日期:2011年3月5日、6日 地点:■上海□北京□深圳 金程教育2011年6月CFA一级基础班讲义 Fixed Income
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Study Session 1 Ethics & Professional Standards 15 Study Session 2-3 Quantitative Methods 12 Study Session 4-6 Economic Analysis 10 Study Session 7-10 Financial Statement Analysis 20 Study Session 11 Corporate Finance 8 Study Session 12 Portfolio Management 5 Study Session 13-14 Equity Analysis 10 Study Session 15-16 Fixed Income Analysis 12 Study Session 17 Derivative Investments 5 Study Session 18 Alternative Investments 3 Total: 100 2-86 86 Topic Weightings in CFA Level I 100% Contribution Breeds Professionalism 100% Contribution Breeds Professionalism
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3-86 86 ¾ Study Session 15 — Basic Concepts z R60 Features of Debt Securities z R61 Risks Associated with Investing in Bonds z R62 Overview of Bond Sectors and Instruments z R63 Understanding Yield Spreads ¾ Study Session 16 — Analysis and Valuation z R64 Introduction to the Valuation of Debt Securities z R65 Yield Measures, Spot Rates, and Forward Rates z R66 Introduction to the Measurement of Interest Rate Risk Framework of Fixed Income Framework of Fixed Income 100% Contribution Breeds Professionalism 100% Contribution Breeds Professionalism
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Knowledge Road Map Knowledge Road Map Bond Bond Covenants Coupon Structure Full / Clean price Bond Risks Bond Sectors Term Structure Theory Yield Spreads Valuation of Bond Spot and Fwd Rates Measure of IR Risk Interest Rate Risk • Duration • Yield curve change Prepayment & Reinvestment • callable • amortizing • prepayment option Government • T- bill •T-note • T- bond Agency • Govn supported • Not supported Munis • revenue backed • non backed •TIPS •STRIP ABS • ABS/ MBS • CDS / CDOcc Credit Risk • Credit spread • downgrade risk FX Risk Liquidity Risk Event Risk 3 theories Macaulay Duration Modified Duration Effective Duration Nominal spread, Z-spread, OAS Using the calculator YTM Spot and forward rates relation Portfolio Duration Convexity Duration for putable / Callable bond
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R60: Features of Debt Securities R60: Features of Debt Securities ¾ Affirmative VS negative covenants 5-86 86 ¾ Affirmative covenants : the borrower promises to do ¾ To pay interest and principal on timely basis. ¾ To maintain certain financial ratios. ¾ Negative covenants : prohibitions on the borrower ¾ Restrictions on borrower’s ability to incur additional debt unless certain test are satisfied ¾ Restrictions on asset sales ¾ Negative pledge of collateral Issuer/borrower Issuer/borrower Bondholder/lender Bondholder/lender indenture bonds money affirmative covenants negative covenants 100% Contribution Breeds Professionalism 100% Contribution Breeds Professionalism
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R60: Features of Debt Securities R60: Features of Debt Securities ¾ Coupon rate structures Zero-coupon bonds (零息债券) no periodic coupon payments; always be traded at a discount Step-up notes (利率递增型债券)
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V2_20110302_上海复旦CFA一&cc

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