CFA一级固定收益讲义.pdf

2011年6月CFA一级强化班讲义 Fixed Income 讲师：康昊昱 金程高级培训师 日期：2011年4月10 日 地点：■上海□北京□深圳 上海金程国际金融专修学院 R61: Features of Debt Securities Negative covenants (can’t do….) Affirmative covenants (can do….) • Can’t sell assets that have • Maintenance of certain been pledged as collateral financial ratios (ROE 、Debt • Can’t claim that the same ratio、ROA) assets back several debt • If this value of ratio is not issues simultaneously maintained, the bonds could • Can’t borrow additional be considered to be in money unless certain default financial conditions are met Some types of bonds • Zero-coupon bonds: 到期日偿还面值，期间没有利息的支付，折价发行 • Step-up notes : 利率按照时间的拖长不断的递增，增加偿债成本 • Deferred-coupon bonds: 利息延迟支付，复利累计到期末进行总付 100% Contribution Breeds Professionalism 2-59 100% Contribution Breeds Professionalism 2-59 R61: Features of Debt Securities Some types of bonds • Floating-rate bonds: 浮动利率债券，随着基准利率的变化而变化，定期 进行一次调整，相当于无数固定利率债券的组合 New coupon rate = reference rate +/- quoted margin • Inverse floater ——coupon rises when a reference interest rate decreases • Example: coupon rate = 12% - reference rate • Caps：利率上限——有利于issuer • for issuer：long a call option；for bondholder：short a call option • Floor：利率下限——有利于bondholder • for issuer：short a put option；for bondholder：long a put option • Collar：同时设定利率上限与下限 • for issuer：long a call option and short a put option • for bondholder：short a call option and long a put option 100% Contribution Breeds Professionalism 3-59 100% Contribution