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,sufficientfunds