3 cfa 2019 l1 notes2019年cfa l1 notes book5

1、Contents1.2.Learning Outcome Statements (LOS) Study Session 16Fixed Income (1)1.Reading 50: Fixed-Income Securities: Defining Elements1.2.3.4.5.Exam FocusModule 50.1: Bond Indentures, Regulation, and Taxation Module 50.2: Bond Cash Flows and ContingenciesKey ConceptsAnswer Key for Module Quizzes2.Re

2、ading 51: Fixed-Income Markets: Issuance, Trading, and Funding1.2.3.4.5.Exam FocusModule 51.1: Types of Bonds and IssuersModule 51.2: Corporate Debt and Funding Alternatives Key ConceptsAnswer Key for Module Quizzes3.Reading 52: Introduction to Fixed-Income Valuation1.2.3.4.5.6.7.8.Exam FocusModule

3、52.1: Bond Valuation and Yield to Maturity Module 52.2: Spot Rates and Accrued Interest Module 52.3: Yield MeasuresModule 52.4: Yield Curves Module 52.5: Yield Spreads Key ConceptsAnswer Key for Module Quizzes4.Reading 53: Introduction to Asset-Backed Securities1.2.3.4.5.Exam Focus 83Module 53.1: St

4、ructure of Mortgage-Backed SecuritiesModule 53.2: Prepayment Risk and Non-Mortgage-Backed ABS Key ConceptsAnswer Key for Module Quizzes3.Study Session 17Fixed Income (2)1. Reading 54: Understanding Fixed-Income Risk and Return1.2.3.4.5.6.Exam FocusModule 54.1: Sources of Returns, DurationModule 54.2

5、: Interest Rate Risk and Money Duration Module 54.3: Convexity and Yield VolatilityKey ConceptsAnswer Key for Module Quizzes2. Reading 55: Fundamentals of Credit Analysis1.2.3.4.Exam FocusModule 55.1: Credit Risk and Bond Ratings Module 55.2: Evaluating Credit Quality Key Concepts5. Answer Key for M

6、odule Quizzes Topic Assessment: Fixed Income1. Topic Assessment Answers: Fixed Income Study Session 18Derivatives1. Reading 56: Derivative Markets and Instruments4.5.1.2.3.4.5.Exam FocusModule 56.1: Forwards and Futures Module 56.2: Swaps and Options Key ConceptsAnswer Key for Module Quizzes2. Readi

7、ng 57: Basics of Derivative Pricing and Valuation1.2.3.4.5.6.7.Exam FocusModule 57.1: Forwards and Futures ValuationModule 57.2: Forward Rate Agreements and Swap Valuation Module 57.3: Option Valuation and Put-Call ParityModule 57.4: Binomial Model for Option Values Key ConceptsAnswer Key for Module

8、 Quizzes6.Study Session 19Alternative Investments1. Reading 58: Introduction to Alternative Investments1.2.3.4.5.Exam FocusModule 58.1: Private Equity and Real EstateModule 58.2: Hedge Funds, Commodities, and Infrastructure Key ConceptsAnswer Key for Module Quizzes7.Topic Assessment: Derivatives and

9、 Alternative Investments1. Topic Assessment Answers: Derivatives and Alternative Investments AppendixFormulas Copyright8.9.10.List of pages1.2.3.4.5.6.7.8.9.10.11.12.13.14.15.16.17.18.19.20.21.22.23.24.25.26.27.28.29.30.31.32.33.34.35.36.37.38.39.40.41.42.vii viii ix x1234567891011121314151617181920

10、21222324252627282930313233343536373843.44.45.46.47.48.49.50.51.52.53.54.55.56.57.58.59.60.61.62.63.64.65.66.67.68.69.70.71.72.73.74.75.76.77.78.79.80.81.82.83.84.85.86.87.88.3940414243444546474849505152535455565758596061626365666768697071727374757677787980818283848589.90.91.92.93.94.95.96.97.98.99.1

11、00.101.102.103.104.105.106.107.108.109.110.111.112.113.114.115.116.117.118.119.120.121.122.123.124.125.126.127.128.129.130.131.132.133.134.86878990919293949596979899100101102103104105106107108109110111112113114115117118119120121122123124125126127128129130131132133135.136.137.138.139.140.141.142.143.

12、144.145.146.147.148.149.150.151.152.153.154.155.156.157.158.159.160.161.162.163.164.165.166.167.168.169.170.171.172.173.174.175.176.177.178.179.180.134135136137138139140141143144145146147148149150151152153155156157159160161162163164165166167168169170171172173174175176177178179180181183181.182.183.18

13、4.185.186.187.188.189.190.191.192.193.194.195.196.197.198.199.200.201.202.203.204.205.206.207.208.209.210.211.212.213.214.215.216.184185186187188189190191192193194195196197198199200201202203204205206207208209211212213214215216217218219220LEARNING OUTCOME STATEMENTS (LOS)STUDY SESSION 16The topical c

14、overage corresponds with the following CFA Institute assigned reading:50. Fixed-Income Securities: Defining ElementsThe candidate should be able to:a. describe basic features of a fixed-income security. (page 2)b. describe content of a bond indenture. (page 3)c. compare affirmative and negative cove

15、nants and identify examples of each. (page 3)d. describe how legal, regulatory, and tax considerations affect the issuance and trading of fixed-income securities. (page 4)e. describe how cash flows of fixed-income securities are structured. (page 8)f. describe contingency provisions affecting the ti

16、ming and/or nature of cash flows of fixed-income securities and identify whether such provisions benefit the borrower or the lender. (page 11)The topical coverage corresponds with the following CFA Institute assigned reading:51. Fixed-Income Markets: Issuance, Trading, and FundingThe candidate shoul

17、d be able to:a. describe classifications of global fixed-income markets. (page 19)b. describe the use of interbank offered rates as reference rates in floating-rate debt. (page 20)c. describe mechanisms available for issuing bonds in primary markets. (page 21)d. describe secondary markets for bonds.

18、 (page 22)e. describe securities issued by sovereign governments. (page 22)f. describe securities issued by non-sovereign governments, quasi-government entities, and supranational agencies. (page 23)g. describe types of debt issued by corporations. (page 24)h. describe structured financial instrumen

19、ts. (page 26)i. describe short-term funding alternatives available to banks. (page 28)j. describe repurchase agreements (repos) and the risks associated with them. (page 29)The topical coverage corresponds with the following CFA Institute assigned reading:52. Introduction to Fixed-Income ValuationTh

20、e candidate should be able to:a. calculate a bonds price given a market discount rate. (page 35)b. identify the relationships among a bonds price, coupon rate, maturity, and market discount rate (yield-to-maturity). (page 37)c. define spot rates and calculate the price of a bond using spot rates. (p

21、age 40)d. describe and calculate the flat price, accrued interest, and the full price of a bond. (page 41)e. describe matrix pricing. (page 42)f. calculate and interpret yield measures for fixed-rate bonds, floating-rate notes, and money market instruments. (page 44)g. define and compare the spot cu

22、rve, yield curve on coupon bonds, par curve, and forward curve. (page 50)h. define forward rates and calculate spot rates from forward rates, forward rates from spot rates, and the price of a bond using forward rates. (page 52)i. compare, calculate, and interpret yield spread measures. (page 56)The

23、topical coverage corresponds with the following CFA Institute assigned reading:53. Introduction to Asset-Backed SecuritiesThe candidate should be able to:a. explain benefits of securitization for economies and financial markets. (page 65)b. describe securitization, including the parties involved in

24、the process and the roles they play. (page 66)c. describe typical structures of securitizations, including credit tranching and time tranching. (page 68)d. describe types and characteristics of residential mortgage loans that are typically securitized. (page 69)e. describe types and characteristics

25、of residential mortgage-backed securities, including mortgage pass-through securities and collateralized mortgage obligations, and explain the cash flows and risks for each type. (page 71)f. define prepayment risk and describe the prepayment risk of mortgage-backed securities. (page 71)g. describe c

26、haracteristics and risks of commercial mortgage-backed securities. (page 77)h. describe types and characteristics of non-mortgage asset-backed securities, including the cash flows and risks of each type. (page 79)i. describe collateralized debt obligations, including their cash flows and risks. (pag

27、e 81)STUDY SESSION 17The topical coverage corresponds with the following CFA Institute assigned reading:54. Understanding Fixed-Income Risk and ReturnThe candidate should be able to:a. calculate and interpret the sources of return from investing in a fixed-rate bond. (page 89)b. define, calculate, a

28、nd interpret Macaulay, modified, and effective durations. (page 95)c. explain why effective duration is the most appropriate measure of interest rate risk for bonds with embedded options. (page 98)d. define key rate duration and describe the use of key rate durations in measuring the sensitivity of

29、bonds to changes in the shape of the benchmark yield curve. (page 100)e. explain how a bonds maturity, coupon, and yield level affect its interest rate risk. (page 100)f. calculate the duration of a portfolio and explain the limitations of portfolio duration. (page 101)g. calculate and interpret the

30、 money duration of a bond and price value of a basis point (PVBP). (page 102)h. calculate and interpret approximate convexity and distinguish between approximate and effective convexity. (page 103)i. estimate the percentage price change of a bond for a specified change in yield, given the bonds appr

31、oximate duration and convexity. (page 105)j. describe how the term structure of yield volatility affects the interest rate risk of a bond. (page 106)k. describe the relationships among a bonds holding period return, its duration, and the investment horizon. (page 107)l. explain how changes in credit

32、 spread and liquidity affect yield-to-maturity of a bond and how duration and convexity can be used to estimate the price effect of the changes. (page 109)The topical coverage corresponds with the following CFA Institute assigned reading:55. Fundamentals of Credit AnalysisThe candidate should be abl

33、e to:a. describe credit risk and credit-related risks affecting corporate bonds. (page 117)b. describe default probability and loss severity as components of credit risk. (page 117)c. describe seniority rankings of corporate debt and explain the potential violation of the priority of claims in a ban

34、kruptcy proceeding. (page 118)d. distinguish between corporate issuer credit ratings and issue credit ratings and describe the rating agency practice of “notching.” (page 119)e. explain risks in relying on ratings from credit rating agencies. (page 121)f. explain the four Cs (Capacity, Collateral, C

35、ovenants, and Character) of traditional credit analysis. (page 121)g. calculate and interpret financial ratios used in credit analysis. (page 124)h. evaluate the credit quality of a corporate bond issuer and a bond of that issuer, given key financial ratios of the issuer and the industry. (page 124)

36、i. describe factors that influence the level and volatility of yield spreads. (page 127)j. explain special considerations when evaluating the credit of high yield, sovereign, and non-sovereign government debt issuers and issues. (page 128)STUDY SESSION 18The topical coverage corresponds with the fol

37、lowing CFA Institute assigned reading:56. Derivative Markets and InstrumentsThe candidate should be able to:a. define a derivative and distinguish between exchange-traded and over-the-counter derivatives. (page 143)b. contrast forward commitments with contingent claims. (page 144)c. define forward c

38、ontracts, futures contracts, options (calls and puts), swaps, and credit derivatives and compare their basic characteristics. (page 144)d. describe purposes of, and controversies related to, derivative markets. (page 149)e. explain arbitrage and the role it plays in determining prices and promoting

39、market efficiency. (page 149)The topical coverage corresponds with the following CFA Institute assigned reading:57. Basics of Derivative Pricing and ValuationThe candidate should be able to:a. explain how the concepts of arbitrage, replication, and risk neutrality are used in pricing derivatives. (p

40、age 155)b. distinguish between value and price of forward and futures contracts. (page 158)c. explain how the value and price of a forward contract are determined at expiration, during the life of the contract, and at initiation. (page 159)d. describe monetary and nonmonetary benefits and costs asso

41、ciated with holding the underlying asset and explain how they affect the value and price of a forward contract. (page 160)e. define a forward rate agreement and describe its uses. (page 161)f. explain why forward and futures prices differ. (page 163)g. explain how swap contracts are similar to but d

42、ifferent from a series of forward contracts. (page 163)h. distinguish between the value and price of swaps. (page 163)i. explain how the value of a European option is determined at expiration. (page 165)j. explain the exercise value, time value, and moneyness of an option. (page 165)k. identify the

43、factors that determine the value of an option and explain how each factor affects the value of an option. (page 167)l. explain putcall parity for European options. (page 168)m. explain putcallforward parity for European options. (page 170)n. explain how the value of an option is determined using a o

44、ne-period binomial model. (page 171)o. explain under which circumstances the values of European and American options differ. (page 174)需要最新CFA、FRM、AQF、ACCA資料歡迎添加微信286982279需要最新CFA、FRM、AQF、ACCA資料歡迎添加微信286982279STUDY SESSION 19The topical coverage corresponds with the following CFA Institute assigned

45、reading:58. Introduction to Alternative InvestmentsThe candidate should be able to:a. compare alternative investments with traditional investments. (page 183)b. describe categories of alternative investments. (page 184)c. describe potential benefits of alternative investments in the context of portf

46、olio management. (page 185)d. describe hedge funds, private equity, real estate, commodities, infrastructure, and other alternative investments, including, as applicable, strategies, sub-categories, potential benefits and risks, fee structures, and due diligence. (page 185)e. describe, calculate, an

47、d interpret management and incentive fees and net-of-fees returns to hedge funds. (page 199)f. describe issues in valuing and calculating returns on hedge funds, private equity, real estate, commodities, and infrastructure. (page 185)g. describe risk management of alternative investments. (page 201)

48、The following is a review of the Fixed Income (1) principles designed to address the learning outcome statements set forth by CFA Institute. Cross-Reference to CFA Institute Assigned Reading #50.READING 50: FIXED-INCOME SECURITIES: DEFINING ELEMENTSStudy Session 16EXAM FOCUSHere your focus should be

49、 on learning the basic characteristics of debt securities and as much of the bond terminology as you can remember. Key items are the coupon structure of bonds and options embedded in bonds: call options, put options, and conversion (to common stock) options.MODULE 50.1: BOND INDENTURES, REGULATION,

50、AND TAXATIONThere are two important points about fixed-income securities that we will develop further along in the Fixed Income study sessions but may be helpful as you read this topic review.Video covering this content is available online.The most common type of fixed-income security is a bond that

51、 promises to make a series of interest payments in fixed amounts and to repay the principal amount at maturity. When market interest rates (i.e., yields on bonds) increase, the value of such bonds decreases because the present value of a bonds promised cash flows decreases when a higher discount rat

52、e is used.Bonds are rated based on their relative probability of default (failure to make promised payments). Because investors prefer bonds with lower probability of default, bonds with lower credit quality must offer investors higher yields to compensate for the greater probability of default. Oth

53、er things equal, a decrease in a bonds rating (an increased probability of default) will decrease the price of the bond, thus increasing its yield.LOS 50.a: Describe basic features of a fixed-income security.CFA Program Curriculum: Volume 5, page 299The features of a fixed-income security include sp

54、ecification of: The issuer of the bond.The maturity date of the bond.The par value (principal value to be repaid). Coupon rate and frequency.Currency in which payments will be made.Issuers of BondsThere are several types of entities that issue bonds when they borrow money, including:Corporations. Often corporate bonds are ided into those issued by financial companies and those issued