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Fixed income analysis workbook.pdf

Fixed income analysis workbook.…

上传者: nwguru 2012-12-16 评分 0 0 0 0 0 0 暂无简介 简介 举报

简介:本文档为《Fixed income analysis workbookpdf》,可适用于经济金融领域,主题内容包含FIXEDINCOMEANALYSISWORKBOOKSecondEditionFrankJFabozzi,PhD,CFAJohnWileySons符等。

FIXEDINCOMEANALYSISWORKBOOKSecondEditionFrankJFabozzi,PhD,CFAJohnWileySons,IncFIXEDINCOMEANALYSISWORKBOOKCFAInstituteisthepremierassociationforinvestmentprofessionalsaroundtheworld,withover,membersincountriesSincetheorganizationhasdevelopedandadministeredtherenownedCharteredFinancialAnalystProgramWitharichhistoryofleadingtheinvestmentprofession,CFAInstitutehassetthehigheststandardsinethics,education,andprofessionalexcellencewithintheglobalinvestmentcommunity,andistheforemostauthorityoninvestmentprofessionconductandpracticeEachbookintheCFAInstituteInvestmentSeriesisgearedtowardindustrypractitionersalongwithgraduatelevelfinancestudentsandcoversthemostimportanttopicsintheindustryTheauthorsofthesecuttingedgebooksarethemselvesindustryprofessionalsandacademicsandbringtheirwealthofknowledgeandexpertisetothisseriesFIXEDINCOMEANALYSISWORKBOOKSecondEditionFrankJFabozzi,PhD,CFAJohnWileySons,IncCopyrightc,byCFAInstituteAllrightsreservedPublishedbyJohnWileySons,Inc,Hoboken,NewJerseyPublishedsimultaneouslyinCanadaNopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying,recording,scanning,orotherwise,exceptaspermittedunderSectionoroftheUnitedStatesCopyrightAct,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthroughpaymentoftheappropriatepercopyfeetotheCopyrightClearanceCenter,Inc,RosewoodDrive,Danvers,MA,(),fax(),orontheWebatwwwcopyrightcomRequeststothePublisherforpermissionshouldbeaddressedtothePermissionsDepartment,JohnWileySons,Inc,RiverStreet,Hoboken,NJ,(),fax(),oronlineathttp:wwwwileycomgopermissionsLimitofLiabilityDisclaimerofWarranty:Whilethepublisherandauthorhaveusedtheirbesteffortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespecttotheaccuracyorcompletenessofthecontentsofthisbookandspecificallydisclaimanyimpliedwarrantiesofmerchantabilityorfitnessforaparticularpurposeNowarrantymaybecreatedorextendedbysalesrepresentativesorwrittensalesmaterialsTheadviceandstrategiescontainedhereinmaynotbesuitableforyoursituationYoushouldconsultwithaprofessionalwhereappropriateNeitherthepublishernorauthorshallbeliableforanylossofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental,consequential,orotherdamagesForgeneralinformationonourotherproductsandservicesorfortechnicalsupport,pleasecontactourCustomerCareDepartmentwithintheUnitedStatesat(),outsidetheUnitedStatesat()orfax()WileyalsopublishesitsbooksinavarietyofelectronicformatsSomecontentthatappearsinprintmaynotbeavailableinelectronicformatsFormoreinformationaboutWileyproducts,visitourWebsiteatwwwwileycomISBNISBNPrintedintheUnitedStatesofAmericaCONTENTSPARTILearningOutcomes,SummaryOverview,andProblemsCHAPTERFeaturesofDebtSecuritiesLearningOutcomesSummaryOverviewProblemsCHAPTERRisksAssociatedwithInvestinginBondsLearningOutcomesSummaryOverviewProblemsCHAPTEROverviewofBondSectorsandInstrumentsLearningOutcomesSummaryOverviewProblemsCHAPTERUnderstandingYieldSpreadsLearningOutcomesSummaryOverviewProblemsCHAPTERIntroductiontotheValuationofDebtSecuritiesLearningOutcomesSummaryOverviewProblemsvviContentsCHAPTERYieldMeasures,SpotRates,andForwardRatesLearningOutcomesSummaryOverviewProblemsCHAPTERIntroductiontotheMeasurementofInterestRateRiskLearningOutcomesSummaryOverviewProblemsCHAPTERTermStructureandVolatilityofInterestRatesLearningOutcomesSummaryOverviewProblemsCHAPTERValuingBondswithEmbeddedOptionsLearningOutcomesSummaryOverviewProblemsCHAPTERMortgageBackedSectoroftheBondMarketLearningOutcomesSummaryOverviewProblemsCHAPTERAssetBackedSectoroftheBondMarketLearningOutcomesSummaryOverviewProblemsCHAPTERValuingMortgageBackedandAssetBackedSecuritiesLearningOutcomesSummaryOverviewProblemsContentsviiCHAPTERInterestRateDerivativeInstrumentsLearningOutcomesSummaryOverviewProblemsCHAPTERValuationofInterestRateDerivativeInstrumentsLearningOutcomesSummaryOverviewProblemsCHAPTERGeneralPrinciplesofCreditAnalysisLearningOutcomesSummaryOverviewProblemsCHAPTERIntroductiontoBondPortfolioManagementLearningOutcomesSummaryOverviewProblemsCHAPTERMeasuringaPortfolio’sRiskProfileLearningOutcomesSummaryOverviewProblemsCHAPTERManagingFundsAgainstaBondMarketIndexLearningOutcomesSummaryOverviewProblemsCHAPTERPortfolioImmunizationandCashFlowMatchingLearningOutcomesSummaryOverviewProblemsviiiContentsCHAPTERRelativeValueMethodologiesforGlobalCreditBondPortfolioManagementLearningOutcomesSummaryOverviewProblemsCHAPTERInternationalBondPortfolioManagementLearningOutcomesSummaryOverviewProblemsCHAPTERControllingInterestRateRiskwithDerivativesLearningOutcomesSummaryOverviewProblemsCHAPTERHedgingMortgageSecuritiestoCaptureRelativeValueLearningOutcomesSummaryOverviewProblemsCHAPTERCreditDerivativesinBondPortfolioManagementLearningOutcomesSummaryOverviewProblemsPARTIISolutionsCHAPTERFeaturesofDebtSecuritiesSolutionsCHAPTERRisksAssociatedwithInvestinginBondsSolutionsContentsixCHAPTEROverviewofBondSectorsandInstrumentsSolutionsCHAPTERUnderstandingYieldSpreadsSolutionsCHAPTERIntroductiontotheValuationofDebtSecuritiesSolutionsCHAPTERYieldMeasures,SpotRates,andForwardRatesSolutionsCHAPTERIntroductiontotheMeasurementofInterestRateRiskSolutionsCHAPTERTermStructureandVolatilityofInterestRatesSolutionsCHAPTERValuingBondswithEmbeddedOptionsSolutionsCHAPTERMortgageBackedSectoroftheBondMarketSolutionsCHAPTERAssetBackedSectoroftheBondMarketSolutionsCHAPTERValuingMortgageBackedandAssetBackedSecuritiesSolutionsxContentsCHAPTERInterestRateDerivativeInstrumentsSolutionsCHAPTERValuationofInterestRateDerivativeInstrumentsSolutionsCHAPTERGeneralPrinciplesofCreditAnalysisSolutionsCHAPTERIntroductiontoBondPortfolioManagementSolutionsCHAPTERMeasuringaPortfolio’sRiskProfileSolutionsCHAPTERManagingFundsAgainstaBondMarketIndexSolutionsCHAPTERPortfolioImmunizationandCashFlowMatchingSolutionsCHAPTERRelativeValueMethodologiesforGlobalCreditBondPortfolioManagementSolutionsCHAPTERInternationalBondPortfolioManagementSolutionsContentsxiCHAPTERControllingInterestRateRiskwithDerivativesSolutionsCHAPTERHedgingMortgageSecuritiestoCaptureRelativeValueSolutionsCHAPTERCreditDerivativesinBondPortfolioManagementSolutionsAbouttheCFAProgramPARTILEARNINGOUTCOMES,SUMMARYOVERVIEW,ANDPROBLEMSCHAPTERFEATURESOFDEBTSECURITIESLEARNINGOUTCOMESAfterreadingChapteryoushouldbeableto:•describethebasicfeaturesofabond(eg,maturity,parvalue,couponrate,bondredeemingprovisions,currencydenomination,issuerorinvestorgrantedoptions)•describeaffirmativeandnegativecovenants•identifythevariouscouponratestructures,suchasfixedratecouponbonds,zerocouponbonds,stepupnotes,deferredcouponbonds,floatingratesecurities•describethestructureoffloatingratesecurities(ie,thecouponformula,interestratecapsandfloors)•defineaccruedinterest,fullprice,andcleanprice•describetheprovisionsforredeemingbonds,includingthedistinctionbetweenanonamortizingbondandanamortizingbond•explaintheprovisionsfortheearlyretirementofdebt,includingcallandrefundingprovisions,prepaymentoptions,andsinkingfundprovisions•differentiatebetweennonrefundableandnoncallablebonds•explainthedifferencebetweenaregularredemptionpriceandaspecialredemptionprice•identifyembeddedoptions(calloption,prepaymentoption,acceleratedsinkingfundoption,putoption,andconversionoption)andindicatewhethereachbenefitstheissuerorthebondholder•explaintheimportanceofoptionsembeddedinabondissue•identifythetypicalmethodusedbyinstitutionalinvestorstofinancethepurchaseofasecurity(ie,marginorrepurchaseagreement)SUMMARYOVERVIEW•Afixedincomesecurityisafinancialobligationofanentity(theissuer)whopromisestopayaspecifiedsumofmoneyatspecifiedfuturedates•Fixedincomesecuritiesfallintotwogeneralcategories:debtobligationsandpreferredstock•Thepromisesoftheissuerandtherightsofthebondholdersaresetforthintheindenture•Theparvalue(principal,facevalue,redemptionvalue,ormaturityvalue)ofabondistheamountthattheissueragreestorepaythebondholderatorbythematuritydate•Bondpricesarequotedasapercentageofparvalue,withparvalueequaltoLearningOutcomes,SummaryOverview,andProblems•Theinterestratethattheissueragreestopayeachyeariscalledthecouponratethecouponistheannualamountoftheinterestpaymentandisfoundbymultiplyingtheparvaluebythecouponrate•Zerocouponbondsdonotmakeperiodiccouponpaymentsthebondholderrealizesinterestatthematuritydateequaltothedifferencebetweenthematurityvalueandthepricepaidforthebond•Afloatingratesecurityisanissuewhosecouponrateresetsperiodicallybasedonsomeformulathetypicalcouponformulaissomereferencerateplusaquotedmargin•Afloatingratesecuritymayhaveacap,whichsetsthemaximumcouponratethatwillbepaid,andorafloor,whichsetstheminimumcouponratethatwillbepaid•Acapisadisadvantagetothebondholderwhileafloorisanadvantagetothebondholder•Astepupnoteisasecuritywhosecouponrateincreasesovertime•AccruedinterestistheamountofinterestaccruedsincethelastcouponpaymentintheUnitedStates(aswellasinmanycountries),thebondbuyermustpaythebondsellertheaccruedinterest•Thefullprice(ordirtyprice)ofasecurityistheagreeduponpriceplusaccruedinteresttheprice(orcleanprice)istheagreeduponpricewithoutaccruedinterest•Anamortizingsecurityisasecurityforwhichthereisaschedulefortherepaymentofprincipal•Manyissueshaveacallprovisiongrantingtheissueranoptiontoretireallorpartoftheissuepriortothestatedmaturitydate•Acallprovisionisanadvantagetotheissuerandadisadvantagetothebondholder•Whenacallablebondisissued,iftheissuercannotcallthebondforanumberofyears,thebondissaidtohaveadeferredcall•Thecallorredemptionpricecanbeeitherfixedregardlessofthecalldateorbasedonacallscheduleorbasedonamakewholepremiumprovision•Withacallschedule,thecallpricedependsonwhentheissuercallstheissue•Amakewholepremiumprovisionsetsforthaformulafordeterminingthepremiumthattheissuermustpaytocallanissue,withthepremiumdesignedtoprotecttheyieldofthoseinvestorswhopurchasedtheissue•Thecallpricesareregularorgeneralredemptionpricestherearespecialredemptionpricesfordebtredeemedthroughthesinkingfundandthroughotherprovisions•Acurrentlycallablebondisanissuethatdoesnothaveanyprotectionagainstearlycall•Mostnewbondissues,evenifcurrentlycallable,usuallyhavesomerestrictionsagainstrefunding•Callprotectionismuchmoreabsolutethanrefundingprotection•Foranamortizingsecuritybackedbyapoolofloans,theunderlyingborrowerstypicallyhavetherighttoprepaytheoutstandingprincipalbalanceinwholeorinpartpriortothescheduledprincipalpaymentdatesthisprovisioniscalledaprepaymentoption•Asinkingfundprovisionrequiresthattheissuerretireaspecifiedportionofanissueeachyear•Anacceleratedsinkingfundprovisionallowstheissuertoretiremorethantheamountstipulatedtosatisfytheperiodicsinkingfundrequirement•Aputablebondisoneinwhichthebondholderhastherighttoselltheissuebacktotheissuerataspecifiedpriceondesignateddates•AconvertiblebondisanissuegivingthebondholdertherighttoexchangethebondforaspecifiednumberofsharesofcommonstockataspecifiedpriceChapterFeaturesofDebtSecurities•Thepresenceofembeddedoptionsmakesthevaluationoffixedincomesecuritiescomplexandrequiresthemodelingofinterestratesandissuerborrowerbehaviorinordertoprojectcashflows•Aninvestorcanborrowfundstopurchaseasecuritybyusingthesecurityitselfascollateral•Therearetwotypesofcollateralizedborrowingarrangementsforpurchasingsecurities:marginbuyingandrepurchaseagreements•Typically,institutionalinvestorsinthebondmarketdonotfinancethepurchaseofasecuritybybuyingonmarginrather,theyuserepurchaseagreements•Arepurchaseagreementisthesaleofasecuritywithacommitmentbythesellertorepurchasethesecurityfromthebuyerattherepurchasepriceontherepurchasedate•Theborrowingrateforarepurchaseagreementiscalledthereporateandwhilethisrateislessthanthecostofbankborrowing,itvariesfromtransactiontotransactionbasedonseveralfactorsPROBLEMSConsiderthefollowingtwobondissuesBondA:yearbondBondB:yearbondNeitherbondhasanembeddedoptionBothbondsaretradinginthemarketatthesameyieldWhichbondwillfluctuatemoreinpricewheninterestrateschangeWhyGiventheinformationinthefirstandthirdcolumns,completethetableinthesecondandfourthcolumns:Priceper$ofQuotedpriceparvalueParvalueDollarprice$,$,$,$,Afloatingrateissuehasthefollowingcouponformula:yearTreasuryratebasispointswithacapofandafloorofThecouponrateisreseteveryyearSupposethatattheresetdatetheyearTreasuryrateisasshownbelowComputethecouponrateforthenextyear:yearTreasuryrateCouponrateFirstresetdateSecondresetdateThirdresetdateFourthresetdateFifthresetdateSixthresetdateSeventhresetdateEighthresetdateNinthresetdateTenthresetdateLearningOutcomes,SummaryOverview,andProblemsAnexcerptfromtheprospectusofa$millionissuebyBecton,DickinsonandCompanyNotesdueOctober,:OPTIONALREDEMPTIONWemay,atouroption,redeemalloranypartofthenotesIfwechoosetodoso,wewillmailanoticeofredemptiontoyounotlessthandaysandnotmorethandaysbeforethisredemptionoccursTheredemptionpricewillbeequaltothegreaterof:()oftheprincipalamountofthenotestoberedeemedand()thesumofthepresentvaluesoftheRemainingScheduledPaymentsonthenotes,discountedtotheredemptiondateonasemiannualbasis,assumingadayyearconsistingoftwelvedaymonths,attheTreasuryRateplusbasispointsaWhattypeofcallprovisionisthisbWhatisthepurposeofthistypeofcallprovisionAnexcerptfromCincinnatiGasElectricCompany’sprospectusfortheFirstMortgageBondsdueinstates,TheOfferedBondsareredeemable(thoughCGEdoesnotcontemplatedoingso)priortoMay,throughtheuseofearnings,proceedsfromthesaleofequitysecuritiesandcashaccumulationsotherthanthoseresultingfromarefundingoperationsuchashereinafterdescribedTheOfferedBondsarenotredeemablepriortoMay,asapartof,orinanticipationof,anyrefundingoperationinvolvingtheincurringofindebtednessbyCGEhavinganeffectiveinterestcost(calculatedtotheseconddecimalplaceinaccordancewithgenerallyacceptedfinancialpractice)oflessthantheeffectiveinterestcostoftheOfferedBonds(similarlycalculated)orthroughtheoperationoftheMaintenanceandReplacementFundWhatdoesthisexcerpttelltheinvestoraboutprovisionsofthisissuertopayoffthisissuepriortothestatedmaturitydateAnassistantportfoliomanagerreviewedtheprospectusofabondthatwillbeissuednextweekonJanuaryofThecallscheduleforthis$million,couponyearissuespecifiesthefollowing:TheBondswillberedeemableattheoptionoftheCompanyatanytimeinwholeorinpart,uponnotfewerthannormorethandays’notice,atthefollowingredemptionprices(whichareexpressedinpercentagesofprincipalamount)ineachcasetogetherwithaccruedinteresttothedatefixedforredemption:IfredeemedduringthemonthsbeginningJanuary,throughthroughthroughfromonprovided,however,thatpriortoJanuary,,theCompanymaynotredeemanyoftheBondspursuanttosuchoption,directlyorindirectly,fromorinanticipationoftheproceedsoftheissuanceofanyindebtednessformoneyborrowedhavinganinterestcostoflessthanperannumTheprospectusfurtherspecifiesthatTheCompanywillprovidefortheretirementbyredemptionof$millionoftheprincipalamountoftheBondseachoftheyearstoandincludingChapterFeaturesofDebtSecuritiesattheprincipalamountthereof,togetherwithaccruedinteresttothedateofredemptionTheCompanymayalsoprovidefortheredemptionofuptoanadditional$millionprincipalamountannually,suchoptionalrightbeingnoncumulativeTheassistantportfoliomanagermadethefollowingstatementstoaclientafterreviewingthisbondissueCommentoneachstatement(Whenansweringthisquestion,rememberthattheassistantportfoliomanagerisrespondingtostatementsjustbeforethebondisissuedin)a‘‘Mymajorconcernisthatifratesdeclinesignificantlyinthenextfewyears,thisissuewillbecalledbytheCompanyinordertoreplaceitwithabondissuewithacouponratelessthan’’b‘‘OnemajoradvantageofthisissueisthatiftheCompanyredeemsitforanyreasoninthefirstfiveyears,investorsareguaranteedreceivingapriceof,apremiumovertheinitialofferingpriceof’’c‘‘Abeneficialfeatureofthisissueist

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