CFA三级知识点必备：Fixed-income_标准版.docx

CTCOTqos一 ft'w一 m&友寄aIW+灵l8吟 O-皿回暮妈滕)I!00一uE6euBIl -lodEOUUTPX1ZDecomposeexpectedreturnsAExaminingthesecomponentsleadstoabetterunderstandingofthedrivingforcesbehindexpectedreturns.AExpectedreturnsE(R)canbedecomposed.E(R)yieldincome+rolldownreturn+E(changeinpricebasedoninvestor'sviewyieldsandyieldspreads)-E(creditlosses)+E(currencygainsorlosses)/Onlyapproximately;/Betterunderstandtheirowninvestmentpositions;/Appliedtoanannualperiod;/Notreflecttaxes.YieldincomeAYieldincomeistheincomethataninvestorreceivesfromcouponpaymentsrelativetothebod,spriceaswellasinterestonreinvestmentincome.annualcouponpaymentYieldincome=currentbondprice/Annualcouponpayment=coupon+reinvestmentincome/Whenreinvestmentincome=0zyieldincome=currentyieldIl鹿围三m6ZunwUMOP=O;oucp>usajyfoaA三lco-PUoBM-UuaaqHE?IoP-ON8PUO8IPBOydPUOguozyo-A6JL!lJ>03ussxsc3c°三3u-Jd6eu：MdS-PUoq一-LU-0>一B1三0NBu-EnsseQSBaUBPEOIUJrLSBBNSp一AII一AUMOP6£=0'、PUoq一Luo*sIunl三3uUMoP-OXAmnl-UMoP=OXExpectedchangeinpricebasedonyieldsATheexpectedchangeinpricebasedoninvestor'sviewsofyieldsandyieldspreadsreflectsaninvestor,sexpectationofchangesinyieldsandyieldspreadsovertheinvestmenthorizon.E(pricebasedoninvestor'sviewofyieldsandyieldspreads)=-modifiedduration×yid÷-×convexity×(yied)22，Expectedchange=0ifexpectedyieldcurvesandyieldspreadstoremainunchangedConvexityestimatestheeffectofthenon-linearityoftheyieldcurveEmbeddedoption:effectiveduration,effectiveconvexityFloatingratenoteshavemodifieddurationnearzeroExpectedcreditloss&currencygain/lossAExpectedcreditlossrepresenttheexpectedpercentageofparvaluelosttodefaultforabond.Expectedcreditlosses=Probability(default)×expectedlossseverity(lossgivendefault)>CurrencygainorlossAnyexpectedfluctuationsinthecurrencyexchangerateorexpectedcurrencygainsorlossesovertheinvestmenthorizon.Canbelockedinovertheinvestmenthorizonusingcurrencyforwards.Estimationoftheinputs>Easiestcomponent:yieldincome.ARelativelystraightforward:rolldownreturn.>MostuncertainInvestor'sviewsofchangesinyieldsandyieldspreads;Expectedcreditloss;Expectedcurrencymovements.行业创新憎值_ExampleAAnnmanagesaBritishpound-denominatedcorporatebondportfolio.HerdepartmentheadinNewYorkhasaskedAnntomakeapresentationonthenextyear'stotalexpectedreturnofherportfolioinUSdollarsandthecomponentsofthisreturn.ThefollowingshowsinformationontheportfolioandAnn,sexpectationsforthenextyear.>Calculatethetotalexpectedreturnofthebondportfolio,assumingnoreinvestmentincome.ExampleNotionalprincipalofportfolio(inmillion)£100Averagebondcouponpayment(per£100)£2.75CouponfrequencyAnnualInvestmenthorizon1yearCurrentaveragebondprice£97.11Expectedaveragebondpriceinoneyear(assuminganunchangedyieldcurve)£97.27Averagebondconvexity0.18Averagebondmodifiedduration3.70Expectedaverageyieldandyieldspreadchange0.26%Expectedcreditlosses0.10%Expectedcurrencylosses(£depreciationversusUS$)0.50%巨业创新憎值一Example三ACorrectAnswer:Yieldincomeoveraoneyearhorizon=2.75/97.11=2.83%.Rolldownreturn=(97.27-97.11)97.11=0.16%.Rollyield=yieldincome+rolldownreturn=2.83%+0.16%=2.99%.TheexpectedchangeinpricebasedonAnn,sviewsofyieldsandyieldspreads=(-3.70*0.0026)+l2*0.18*(0.0026)2=-0.96%.Expectedcreditlosses=-0.1%.Expectedcurrencylosses(£depreciationversusUS$)=-0.5%.Totalexpectedreturn=2.83%+0.16%+(-0.96%)+(-1%)+(-0.5%)=1.43%.2Immunization-multipleliabilitiesManagingmultipleliabilities>ApproachestomanagemultipleliabilitiesCashflowmatching/Entailsbuildingadedicatedportfolioofzero-couponorfixed-incomebondstoensurethattherearesufficientcashinflowstopaythescheduledcashoutflows.Durationmatching/Extendstheideasoftheprevioussectiontoaportfolioofdebtliabilities.Contingentimmunization/Allowsforactivebondportfoliomanagementuntilaminimumthresholdisreachedandthatthresholdisidentifiedbytheinterestrateimmunizationstrategy.CashflowmatchingAItisaclassicstrategytoeliminatetheinterestrateriskthroughbuildingadedicatedassetportfolioofhigh-qualityfixed-incomebonds,sothatmatchestheamountandtimingofthescheduledcashoutflows.Eachcashflowareplacedinaheld-to-maturityportfolio>Whycompanydonotbuybackandretireitsliabilities?Thebuybackstrategywouldbedifficultandcostly;MostcorporatebondsareratherilliquidThecorporatehasmotivationtoimprovethecompany'screditratingbycashflowmatching.Cashflowmatching>AccountingdefeasanceAwayofextinguishingadebtobligationbysettingasidesufficienthighqualitysecurities,suchasUSTreasurynotes,torepaytheliability.>Aconcernforcashflowmatchingstrategyisthecash-in-advanceconstraintCash-in-advanceconstraintmeanssecuritiesarenotsoldtomeetobligations;Forcompany,sufficientfundsmustbeavailableonorbeforeeachliabilitypaymentdatetomeettheobligation;Theremightbelargecashholdingsbetweenpaymentdates,socashreinvestmentriskwouldbefaced,astheshort-terminvestmentsreturnsarerelativelylow.Durationmatching>DurationmatchingformultipleliabilitiesThemoneydurationoftheimmunizingportfoliomatchesthemoneydurationofthedebtliabilities;Marketvaluesandcashflowyieldsoftheassetsandliabilitiesarenotnecessarilyequal.Matchmoneydurationisuseful.>Basispointvalue(BPV)isusedtomeasuremoneyduration,meansIbpschangeincashflowyieldfthemarketvaluechange.DurationmatchingAImmunizationofmultipleliabilitiesisessentiallyaninterestrateriskhedgingstrategyChangesinthemarketvalueoftheassetportfoliocloselymatchchangesinthedebtliabilitieswhetherinterestratechanges.Althoughmoneydurationforassetsandliabilitiesarethesame,thedifferenceinstructureofassetandliabilityshowsadifferenceindispersionandconvexity.ARebalancingisneededIntheory,assetmanagerneedstomakearebalancewhenneeded,sothatthemoneydurationoftheassetcanmatchthemoneydurationoftheliability;Inreality,themanagerlikelywaitsuntilthemismatchislargeenoughtojustifythetransactionscostsinsellingsomebondsandbuyingothers.Methodtorebalance/Sellorbuythebonds;/Useinterestratederivatives.Contingentimmunization>ContingentimmunizationThepresenceofasignificantsurplusallowstheassetmanagertoconsidershybridpassive-activestrategy;Theideabehindcontingentimmunizationisthatassetmanagerscanpursueactiveinvestmentstrategies./Whenactivelymanagedassetsperformedpoorly,themandaterevertstothepurelypassivestrategyofbuildingadurationmatchingportfolio,andthenmanagingittoremainondurationtarget.H3.Strategiesforstableyieldcurve专业创新增值YieldcurvestrategiesAAssumeyieldcurveisupwardslopingActivestrategiesStableyieldcurveQ)Buyandhold(2)Rolldown/ridetheyieldcurve(3)Sellconvexity(4)CarrytradeYieldcurvemovementLevelchangeParallelshiftSlopechangeFlattening(3)SteepeningCurvaturechange(4)LesscurvatureMorecurvatureRatevolatilitychange(5)DecreaseratevolatilityIncreaseratevolatility巨业创新憎值一2.1StrategiesforstableyieldcurveA(1)BuyandholdSelectandholdbondstoearnhigherYTM;Benefitfrom:couponcollectionandreinvestment,indicatingbyhigherYTM;Althoughholdwithoutactivetrading,itisstillanactivemanagement,sincethebond'scharacteristicsdivergefromthebenchmark.A(2)Riding(rolldown)theyieldcurveWhenpriceisupwardsloping,buylongtermbondsandsellshorttermbonds',Benefitfrom:highergainduringpriceappreciationandlowerlossduringpricedepreciation;Particularlyusefulwhen:yieldcurvearestableandrelativelysteep,sincethepricewillappreciatemoreasthetimepasses.Iftheforecastendingyieldonaparticularbondislower(higher)thantheforwardrate,thenitcanbeexpectedtoearnareturngreaterthan(lessthan)theone-periodrate.21-29StrategiesforstableyieldcurveA(3)SellconvexityBuybondswithlowerconvexity,orsay,sellbondswithhigherconvexity./E.g.BuycallablebondsorMBS(negativeconvexity).Benefitfrom:differenceinconvexitybetweenbondswithsameduration.A(4)CarrytradeAcarrytradeinvolvesbuyingsecurityandfinancingitatratethatisZoiverthantheyieldonthatsecurity;Benefitfrom:thespreadbetweentworates;Thecarrytradecanbeinherentlyrisky,becausetheportfolioholds(typically)longer-termsecuritiesfinancedwithshort-termsecurities.CarrytradeAIntra-marketcarrytrades(tradeonlyinonemarket)Thereareatleastthreebasicwaystoimplementacarrytradetoexploitastable,upward-slopingyieldcurve:/Buyabondandfinanceitintherepomarket./Receivedfixedandpayfloatingonaninterestrateswap./Takealongpositioninabond(ornote)futurescontract.三三短画m三6z4zEnwssuxptdxUJ寸ExpectedexcessreturnAHolding-periodexcessreturnXR(s×t)-(s×SD)WhereXRistheholding-periodexcessreturn,Sisthespreadatthebeginningoftheholdingperiod,tistheholdingperiodexpressedinfractionsofayear,sisthechangeinthecreditspreadduringtheholdingperiod,andSD=spreadduration.>ExpectedexcessreturnEXR(s×t)-(s×SD)-(t×p×L)WherePistheannualizedexpectedprobabilityofdefault,Listheexpectedlossseverity.Notethattheterm(PXQiStheexpectedannualcreditloss.ExampleQAAcorporatebondhasaspreaddurationoffiveyearsandacreditspreadof2.75%.2.3.Whatistheapproximateexcessreturnifthebondisheldforsixmonthsandthecreditspreadnarrowsto2.25%?Assumethespreaddurationremainsatfiveyearsandthatthebonddoesnotexperiencedefaultlosses.Whatistheinstantaneous(holdingperiodofzero)excessreturnifthespreadrisesto3.25%?Assumethebondhasa1%annualizedexpectedprobabilityofdefaultandexpectedlossseverityof60%intheeventofdefault.Whatistheexpectedexcessreturnifthebondisheldforsixmonthsandthecreditspreadisexpectedtofallto2.25%?ExampleQACorrectAnswer:Solutionto1:UsingEquation1,theexcessreturnonthebondisapproximately3.875%=(2.75%×0.5)-(2.25%-2.75%)×5.Solutionto2:UsingEquation1,theinstantaneousexcessreturnonthebondisapproximately-2.5%=(2.75%×0)-(3.25%-2.75%)×5.Solutionto3:UsingEquation2,theexpectedexcessreturnonthebondisapproximately3.575%=(2.75%×0.5)-(2.25%-2.75%)×5-(0.5×1%×60%).It'snottheendbutjustbeginning.Yourlifecanbeenhanced,andyourhappinessenriched,whenyouchoosetochangeyourperspective.Don'tleaveyourfuturetochance,orwaitforthingstogetbettermysteriouslyontheirown.Youmustgointhedirectionofyourhopesandaspirations.Begintobuildyourconfidence,andworkthroughproblemsratherthanavoidthem.Rememberthatpowerisnotnecessarilycontroloversituations,buttheabilitytodealwithwhatevercomesyourway.一旦变换看问题的角度，你的生活会豁然开朗，幸福快乐会接踵而来。别交出掌握命运的主动权，也别指望局面会不可思议的好转。你必须与内心希望与热情步调一致。建立自信，敢于与困难短兵相接，而非绕道而行。记住，力量不是驾驭局势的法宝，无坚不摧的能力才是最重要的。