CFA Level I 固定收益知识点汇总

Reading51——固定收益市场概述................................................................................................... 3

1.固定收益债券的五要素（features）和对应分类................................................................. 3

1. 债券合同（bond indenture/trust deed）............................................................................... 4

2. 法 律(legal), 监 管(regulatory), 和 税 收 (tax) 对 固 定收 益 债 券 的 发行 (issuance)和 交 易

(trading)....................................................................................................................................... 4

3. 固定收益债券的现金流——本金........................................................................................5

4. 固定收益债券的现金流——利息........................................................................................6

6.债券的或有条款...................................................................................................................... 6

Reading 52——固定收益市场的发行、交易、融资...................................................................... 6

1. Primary Markets （发行市场）............................................................................................6

2. Secondary Market（交易市场）........................................................................................... 7

3. Different Type of Issuers.........................................................................................................7

1）发行人简单分类........................................................................................................... 7

2） Corporate debt 的进一步拓展.....................................................................................8

3） Short-term funding alternatives available to banks.................................................... 8

4. Sources of Repayment 还款来源.......................................................................................... 9

Reading 53—— 债券的估值............................................................................................................ 9

1. 定价公式................................................................................................................................ 9

2.YTM: yield to maturity............................................................................................................ 9

3.bond Pricing: spot rate（即期利率定价）........................................................................ 11

4. 债券的净价、全价和累计的利息..................................................................................... 11

5.Effective Annual Rate(EAR) Effective yield.........................................................................11

6. Option-Adjust Yield(OAY)................................................................................................... 11

7.Rate term structure 利率的期限结构................................................................................... 11

8. Forward Yield Curve 远期利率曲线................................................................................... 12

9. Spread 利差.......................................................................................................................... 12

Reading 55——risk and return 风险和收益.................................................................................... 12

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 1. 收益来源.............................................................................................................................. 12

2.Annualized HPY.................................................................................................................... 13

3.Duration 久期......................................................................................................................13

4.Convexity 凸性..................................................................................................................... 14

Reading 56——credit analysis 信用分析........................................................................................ 14

1. Credit risk 信用风险............................................................................................................. 14

2. expected loss 预期损失........................................................................................................ 14

3. Yield Spread 信用利差风险................................................................................................ 14

4. Seniority Ranking..................................................................................................................14

5. Credit-rating agency..............................................................................................................15

6. Components of traditional credit analysis............................................................................ 15

7. Financial ratio used in credit analysis（主要的财务指标，可以结合财报一起复习）.. 15

Reading 57 介绍 Asset-Backed Securities..................................................................................... 15

1. Securitization 证券化............................................................................................................15

2. tranch 分级............................................................................................................................ 16

3. Mortgage Loans.....................................................................................................................16

4. Prepayment options and prepayment penalties.....................................................................16

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 Reading51——固定收益市场概述
这里的重点是学习债券的基本特点和记住债券的术语。考虑到有一些知识点在之后的章节也
涉及了，在这里就同一归纳了。
1.固定收益债券的五要素（features）和对应分类:
Money market bond （货币市场债券，1 年以内）
Term to maturity
Capital market bond （资本市场债券，1 年以上）
期限
Perpetual bond （永久债券）

Corporate sector 公司债券

 Bilateral loan(双边) & syndicated loan（银团贷款）
 Commercial paper 商业票，具有灵活（flexible）、短期
（short-term）、无担保（unsecured）的特点，是一种过
渡融资工具（bridge financing）；发行新票据偿还旧票据
叫做“rolling over the paper”，对应的风险叫做 rollover
risk ，应对方法是 backup lines of credit(从银行那里获得
备用信用额度)，该方法也称为 liquidity enhancement/
backup liquidity lines；美国商业票据无息，欧洲商业票据
有无息也有付息
 Serial maturity structure 到期日多个& term maturity
structure 一个到期日

Sovereign bonds/sovereigns（中央）政府债券 /国债

Type of issuer
主要交易的是 on-the-run（新发行的国债）
发行主体 特定年限的最新国债被称为 benchmark issue

Non-sovereign government ,quasi-government and supranational

bonds 非政府债券、类政府债券和跨国债券
 Non-sovereign government 的发行主体是省（provinces）、
地区（regions）、州（states）、市（cities）
 Agency /Quasi-government bond 的发行主体是中央政府
设立的组织，例如半官方机构（government-sponsored
enterprises，简称 GSE）的房利美（Fannie Mae）、房地
美(Freddie Mac)、联邦家庭贷款银行（federal home loan
bank，FHLB）
 supranational bonds 发行主体是跨国机构（supranational
agencies/multilateral agencies），例如国际货币基金组织
（IMF）

Structured finance sector

一般是由金融公司发行的 证券化产品（ securitization ）

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 Premium bond (溢价债券)：面值< 债券价格
Par value VS. bond price Par bond (平价债券)：面值> 债券价格
面值 VS.债券价格
Discount bond (折价债券)：面值= 债券价格

Dual-currency bonds
本金（principal）用一种货币支付
Currency Denomination
利息（interest）用另一种货币支付
计价货币
currency option bonds
给投资人一种选择权利，选择接受什么货币

Fixed-Rate Bond
票面利率是固定的，比如债券存续期内一直是 7%

Zero-Coupon Bond
Coupon Rate 票面利率是 0，也就是债券存续期内不发利息
票面利率
Floating-Rate Bond
浮动利率，债券的票面利率在存续期内是变化的。浮动利率=
基准利率+风险补偿 Floating-Rate=benchmark + spread

2.债券合同（bond indenture/trust deed）

Covenants/ provisions
否定性条款 1) Restrictions on debt regulate the issue of additional debt
Negative 限制多次抵押发行债券
covenants 2) Restrictions on investments constrain risky investments
(prohibitions on by blocking speculative investments. 限制企业的风险投
the borrower) 资
3) Negative pledges prevent the issuance of debt that would be
senior to or rank in priority ahead of the existing bondholders’
debt. 负面承诺禁止后发行的债务将优先或优先于现有债
券持有人的债务
4) Restrictions on asset disposals set a limit on the amount of
assets that can be disposed by the issuer during the bond’s
life 限制在债券期限内处置资产
肯定性条款 1) Issuer must make timely and full payments.按时偿付本息
Affirmative 2) Issuer must comply with laws and regulations.发行人要守法
covenants (actions the 3) maintain its current lines of business, insure and maintain its
borrower promises to assets, and pay taxes as they come due. 保持流动比率，维持现
perform) 有资产，按时交税

3.法律(legal),监管(regulatory),和税收(tax)对固定收益债券的发行(issuance)和交易(trading)

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 legal and regulatory
Domestic bonds 本币债 发行人=发行地=发行货币 national bond
Foreign bonds 外币债 发行人≠（发行地=发行货币）foreign bond
Eurobonds 欧洲债 发行地≠发行货币 ，欧洲债的监管（jurisdiction）低
 Registered bonds 记名债，the ownership is recorded by
either name or serial number.
 Bearer bonds 无记名债，是欧洲债的主要形式，trustee
does not keep records of the ownership of the bonds so
that the ownership is evidenced by possessing the
bonds.(majority form of Eurobonds)
Global bond Domestic bonds market & Foreign bonds market

Credit quality(信用质量)
Unsecured bonds (Debenture，无担保债券) Represent a claim to the overall assets and cash
flows of the issuer.（纯粹以发行人的信用为基
础）
Secured bonds（担保债券） Backed by a claim to a specific assets of a
corporation to reduce the risk of default.

4.固定收益债券的现金流——本金

Bullet bond Periodic interest payments and the principal value is paid with the final
interest payment at maturity.
Balloon bond When the final payment includes a lump sum in addition to the final period's
interest
Partially 本金部分摊销，也有 balloon payment 的现象，就是最后一期有大额还
amortizatio 款.
n
Sinking Fund A sinking fund arrangement is another approach that can be used to achieve

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Provision（偿债 the same goal of periodically retiring the bond’s principal outstanding.
基
金）

5.固定收益债券的现金流——利息
payment-in- A payment-in-kind (PIK) coupon bond typically allows the issuer to pay
kind (PIK) interest in the form of additional amounts of the bond issue rather than as
coupon bond a cash payment.

Deferred
Coupon Bonds
(Split Coupon
Bond)

Regular coupon payments do not begin until a period of time after issuance.

Credit- Coupon rate will go up/down by a certain amount if the credit rating of
Linked the issuer falls/improves.
Coupon Rate
Index- The bonds have coupon payments and/or a principal value that is based on
Linked a commodity index, an equity index or some other published index number.
Bonds

6.债券的或有条款

Contingency provision
Callable Bonds 可赎回债券 Gives the issuer the right to redeem all or part of a bond
issue at a specific price (call price) if they choose to.

Putable Bonds 可回售债券
Convertible Bonds 可转换债券
Warrants 认股权证
Contingent Convertible Bonds
(CoCos)或有可转换债券
Gives the bondholder the right to sell the bond back to
the issuing company at a pre-specified price, typically
par.
Give bondholder the option to exchange the bond for a
specific number of shares of the issuing corporation’s common
stock.
Warrants give their holders the right to buy the firm’s
common shares at a given price over a given period of time.
Bonds that convert from debt to common equity
automatically if a specific event occurs.

Reading 52——固定收益市场的发行、交易、融资

1.Primary Markets （发行市场）

Sales of newly issued bonds are referred to as primary market transactions and typically done with
the help of an investment bank.
Sales

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Underwritten Offering/firm The entire bond issue is purchased from issuing firm by
commitment offering（包 a singe investment bank or a syndicated.
销） 投资银行 或者承销团（syndicated 很多个证券公司组成）
从发行人手中购买全部债券，然后去销售，卖不完的自

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Best Effort Offering（代销）
Auction （拍卖）
Shelf Registration(暂搁注册)
发行方式 :
Public offering（公开发行）
Private placement (私募发行)
己留着。投资银行只是赚取 价差（出售价格-购买价格）。
In a best effort offering, the investment banks sell the
bonds on a commission basis.
投资银行帮助发行人销售债券，卖不完的债券是发行人
的，投资银行只是赚取 中介费（commission）。
主要是国债
A shelf registration allows certain authorized issuers to
offer additional bonds to the general public without having
to prepare a new and separate offering circular for each
bond
issue. 一次注册，多次发行。
Newly issued bonds are registered with securities regulators
for sale to the public.
大众投资者都可以去参与投资。
newly issued bonds are sold only to qualified investors.
只对合格投资者（qualified investors）开放

2. Secondary Market（交易市场）

Refers to the trading of previously issued bonds.

Primary bond markets Secondary bond markets

participants Issuers & investors investors

products New bonds Existing bonds

3. Different Type of Issuers

1）发行人简单分类

Corporate sector 公司债券

 Bilateral loan(双边) & syndicated loan（银团贷款）
 Commercial paper 商业票，具有灵活（flexible）、短期
（short-term）、无担保（unsecured）的特点，是一种过
渡融资工具（bridge financing）；发行新票据偿还旧票据
叫做“rolling over the paper”，对应的风险叫做 rollover
Type of issuer risk ，应对方法是 backup lines of credit(从银行那里获得
备用信用额度)，该方法也称为 liquidity enhancement/
发行主体 backup liquidity lines；美国商业票据无息，欧洲商业票据
有无息也有付息
 Serial maturity structure 到期日多个& term maturity
structure 一个到期日

Sovereign bonds/sovereigns（中央）政府债券 /国债

主要交易的是 on-the-run（新发行的国债）
特定年限的最新国债被称为 benchmark issue

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 Non-sovereign government ,quasi-government and supranational
bonds 非政府债券、类政府债券和跨国债券
 Non-sovereign government 的发行主体是省（provinces）、
地区（regions）、州（states）、市（cities）
 Agency /Quasi-government bond 的发行主体是中央政府
设立的组织，例如半官方机构（government-sponsored
enterprises，简称 GSE）的房利美（Fannie Mae）、房地
美(Freddie Mac)、联邦家庭贷款银行（federal home loan
bank，FHLB）
 supranational bonds 发行主体是跨国机构（supranational
agencies/multilateral agencies），例如国际货币基金组织
（IMF）

Structured finance sector

一般是由金融公司发行的 证券化产品（ securitization ）

2） Corporate debt 的进一步拓展

Corporate debt
bilateral loan A bilateral loan is a loan from a single lender to a single borrower.
双边贷款
syndicated loan A syndicated loan is a loan from a group of lenders, called the
银团贷款 “syndicate,” to a single borrower.
Commercial paper  具有灵活（flexible）、短期（short-term）、无担保（unsecured）
商业票据 的特点，是一种过渡融资工具（bridge financing）；
 发行新票据偿还旧票据叫做“rolling over the paper”，对应的风险
叫做 rollover risk ，应对方法是 backup lines of credit(从银行那里
获得备用信用额度)，该方法也称为 liquidity enhancement/ backup
liquidity lines；
 美国商业票据 VS. 欧洲商业票据
Feature US commercial paper Eurocommercial paper
Currency US dollar Any currency
Maturity Overnight to 270 days Overnight to 364days
Interest Discount basis Interest-bearing basis
Settlement T+0(trade date) T+2(trade date plus two
days)
Negotiable Can be sold to another Can be sold to another

Corporate notes and 注意 medium-term note (MTN) 是一个 misnomer （名不副实），不仅

bonds 仅是短期，MTN 也包括一些长期的。

3） Short-term funding alternatives available to banks

Short-term funding alternatives available to banks

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Retail deposits Demand deposit/ checking accounts 活期存款
零售存款 Deposit accounts typically pay on interest
Saving accounts 储蓄账户
Money market account
Short-term Reserve funds 储备资金
wholesale Interbank funds 银行间资金
funds Large-denomination negotiable certificates of deposit 大额可转让定期存单
短期批发资金
Repurchase and  A repo is a way for an investor to borrow money
reverse  A reverse repo agreement is the same transaction viewed from
the buyer's perspective.
repurchase
Higher, the longer repo term.
agreements
Lower, the higher the credit quality of the collateral
回购和逆回购协
security. Lower when the collateral security is delivered to
议 the lender.
Higher when the interest rates for alternative sources of funds are higher.

（3）Serial maturity structure 到期日多个& term maturity structure 一个到期日

4. Sources of Repayment 还款来源

Types of bonds Source of repayments

Sovereign bonds Tax receipts or print money
Non-sovereign bonds General taxing
Revenues of a specific project(airport)
Corporate bonds Cash flow generated by the firm’s operations
securitizations Cash flows of underlying financial assets owned by the SPVs

Reading 53—— 债券的估值

1. 定价公式

C C C T
Ct
P  1  2   T

1 y (1 y)2 (1 y)T t1 (1 y)t

Perpetual Bond：

cF cF 
cF cF
P 
1 y (1 y) 2    
t1 (1 y)
t 
y

2.YTM: yield to maturity

price  coupon  coupon  ...  coupon  principal

(1 YTM ) (1 YTM )2 (1YTM )N

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 price  coupon  coupon  ...  coupon  principal
YTM YTM 2 YTM N 2
(1  ) (1  ) (1  )
2 2 2

特点：
1）At a point in time, a decrease (increase) in a bond's YTM will increase (decrease) its price. 2）
The percentage decrease in value when the YTM increases by a given amount is smaller than the
increase in value when the YTM decreases by the same amount (the price-yield relationship is
convex).
3） If a bond's coupon rare is greater than its YTM, its price will be at a premium to par value.
If a bond's coupon rare is less than its YTM, its price will be at a discount to par value.
4） Other things equal, the price of a bond with a lower coupon rate is more sensitive to a change in
yield than is the price of a bond with a higher coupon rare.
Other things equal, the price of a bond with a longer maturity is more sensitive to a change in
yield than is the price of a bond with a shorter maturity.

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3.bond Pricing: spot rate（即期利率定价）
3 3 3 3100
P0    
(1 5%2)
(1 5.8% )2 (1 6.4% )3 (1 6.8% )4
4.债券的净价、全价和累计的利息
2 2 2

净价 Flat price, clean price, quoted price

全价 Full price, dirty price, invoice price
累计的利息 Accrued interest = Coupon× t/T

Last coupon Settlement day Next coupon

Accrued interest

Clean price/quoted price dirty price

dirty price = clean price + accrued

5. Effective Annual Rate(EAR) Effective yield

n
 r
EAR=1+  1
 n
Continuous Compounding:

n  , EAR  er 1
Current yield = annual cash coupon payment / bond price

6. Option-Adjust Yield(OAY)
The required market discount rate whereby the price is adjusted for the value of the embedded
option.
Callable bond: OAY < YTM
puttable bond: OAY > YTM

7. Rate term structure 利率的期限结构

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8. Forward Yield Curve 远期利率曲线

T T
R F
R
9. Spread 利差

Swap spread =swap ratet-Treasury yieldt

G-spread = yield - yield on government bond
I-spread =yield-swap rate
Z-spread 8 108
104.12  
(1 4%  Z ) (1 5%  Z )2

TED spread =LIBOR rate-T-bill rate

LIBOR-OIS ==LIBOR rate -OIS rate
spread

Reading 55——risk and return 风险和收益

1. 收益来源

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 Three sources
Coupon and principal payments 利息和本金
Reinvestment of coupon payments 利息再投资收益
Capital gains/loss if the bond is sold prior to maturity 出售债券的利得/损失

Assumptions
Coupon and principal payments on time (no credit risk).
Interest rate earned on reinvested coupon payments is equal to YTM.

2. Annualized HPY
The compound annual return earned from the bond over the investor’s holding period.

年化的持有期收益率: 使用持有期的年利率进行复利化进行计算 f
1)对于固定利率债券:
不违约
利息以 YTM 再投资
投资者持有至到期
如果投资人持有债券到期那么他获得的年化收益率等于到期收益率。

2)如果投资人提前卖出并且卖出时的 YTM 不变，那么投资人的投资收益率=YTM

3)如果 YTM 在第一次付息日之前上升，那么投资人的持有期收益率会高于购买
债 券 时 的 YTM 。4)
如果 YTM 在第一次付息日之前上升，那么投资人的持有期收益率会低于购买
债券时的 YTM。

价格风险 VS. 再投资风险

价格风险（Market price risk） YTM 变化带来债券价格的不确定性
再投资风险（Reinvestment risk） YTM 变化带来债券利息再投资收益
的不确定性

ln a short-term investment

horizon: ln a long-term investment

horizon:

3. Duration 久期
久期是估计债券价格对利率的敏感度。久期越大，利率风险越高.

Duration 久期

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Macaulay Duration The average time to wait for each payment, weighted
麦考林久期 by the present value of the associated cash flow.
T
C
t PV (Ct ) t 
  T
 t t T T
(1 y)  PV (C ) 
D  t 1 T Ct
  t 1
P    P t  t   ( t
 t 1 t

1 t 1 (1 y)t

Modified duration D
修正久期 D* 
1 y periodic market yield

Approximate modified duration

（主要针对含权债）

Duration of a portfolio K
组合的久期 Dport   w j  D j j
1

4. Convexity 凸性

Duration is a good approximation of price changes for relatively small changes in interest rates.

Reading 56——credit analysis 信用分析

1.Credit risk 信用风险
包括 default risk 和 Loss severity/loss given default
2.expected loss 预期损失

EL  PD  LGD  EAD  PD  (1 f )  EAD

预期损失  违约概率 违约损失率 违约风险暴露
3. Yield Spread 信用利差风险
The difference in yield between a credit-risky bond and a credit-risk-free bond of similar maturity.

4. Seniority Ranking
Secured debt 担保债券

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First lien/first mortgage
Second lien
Third lien
Unsecured debt 无担保债券
Senior debt
subordinated debt
Junior subordinated debt

5. Credit-rating agency
Fitch(惠誉） Moody(穆迪) S&P(标普)
6.Components of traditional credit analysis
Four Cs：Capacity；Collateral；Covenants；Character
7.Financial ratio used in credit analysis（主要的财务指标，可以结合财报一起复习）
Profits and cash flows
Leverage ratios
Coverage ratios

Reading 57 介绍 Asset-Backed Securities

1. Securitization 证券化

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2. tranch 分级
Tranches have different exposures to the risk of default of the assets underlying the ABS.

Tranch 分级
Credit tranching  不同级别的债券的信用风险不同
信用分级  一般分为优先级（senior）/劣后级（subordinated），劣后级承担违
约风险

Time tranching  提前付款的金额首先流向第一级别

时间分级  一般 ABS 协议中，一般会同时约定这两个分级。

3. Mortgage Loans
The interest rate on the loan is called the mortgage rate or contract rate.

Foreclosure 丧失抵押品赎回权:allows the lender to take possession of the mortgaged property

and then sell it in order to recover funds toward satisfying the debt obligation.
4. Prepayment options and prepayment penalties
Prepayment: any payment toward the repayment of principal that is in excess of the scheduled
principal repayment
Prepayment option(early repayment option)：a mortgage loan may entitle the borrower to prepay
all or part of the outstanding mortgage principal prior to the scheduled due date the principal must
be repaid.
Prepayment penalty mortgage：The mortgage may stipulate some sort of monetary penalty when a

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borrower prepays within a certain time period after the mortgage is originated. This time period
may extend for the full life of the loan.