Fixed Income Securities
第五章 固定收益证券
一般认为 七年以上的长期债务发行的债券形式为 长期国库券 Treasury bonds 短期债务是以 发行 短期国库券 (Treasury bills)的形式解决的 后者常被简称为 T bills 它的期限最多为一 年 一般常见的是 13 周 16 周和 52 周 而且经常是贴现发行(低于面值) 期限在 1 年到 7 年之间 的被称为 中期国库券 (Treasury Notes) 这三类国库券的计算有一些明显的差异 这一点将在以 后的章节中具体说明
中华精算师考试网
第5章
第五章 固定收益证券
官方总站：圣才学习网 1
在投资收益分析的计算中 我们发现 投资收益水平与金融产品的现金流情况密切相关 一方 面是现金流的流量 另一方面是现金流的频率及确定程度 按照这样的思路 可以将资本市场的金 融产品分为确定收益和不确定收益两大类 特别是从计算的角度看 这两种产品更是有明显的差异 前者主要包括 债券 优先股 抵押支持债券和资产支持债券 后者泛指 普通股票 期货和衍生 产品等 那么作为金融产品价值分析的起点一般选择固定收益产品
美国短期国债 T Bills 的计算 T Bill 一般是贴现报价的 例如 26 周的短期国库券 在
1999 年 8 月 26 日以 97.715 美元 100 元面值 报价 市场中计算收益率的方法
Yd
=
F− F
P
360 t
.com 其中 Yd 表示收益率 t 表示未到期的天数 F 表示面值 P 表示价格 经计算 本例中Yd =4.52%
试网 还有一种优先股票在企业利润很高时可以收到超过正常红利水平的回报 这种优先股被称为 参 考 与优先股 (participating preferred stock) 除支付规定的红利外 其持股人在规定的条件下能与普 算师 通持股人共同参加额外收益的分配的一种优先股 参与优先股现在相当少见 只是在有必要采取特 精 别措施吸引投资者时 才使用参与优先股
固定收益证券的类型及其投资方法
固定收益证券的类型及其投资方法固定收益证券（Fixed Income Securities）是指一类固定收益、利率和本金等待期限内不变的债券投资工具，如国债、政府债券、企业债券、可转换债券等。
其交易方式多样，包括场外交易和交易所交易，是投资固定收益类证券投资者的一个重要选择，具有较低的风险和较稳定的收益。
一、固定收益证券的类型1.国债：是政府主权信用支撑下的财政部门所发行的债券，由国家出面举债，多以长期投资为主。
国债分为固定利率国债和浮动利率国债两种类型。
2.政府债券：是发行人为政府的发债证券，由国家部委或各省市政府等所发行，风险相对国债略高，但其收益也普遍较高。
3.企业债券：是由企业以自有信誉为主要保障出具的债务凭证，与股票相比，企业债券存在着固定的利率和期限等特点，特别适合刚需固定收益流的投资者。
4.公司债券：是发行人为公司的债务凭证，与企业债券相似，是债券市场上的重要品种。
5.金融债券：是银行或信托等金融机构所发行的债券，由于银行信用高于政府信用，故不少投资者将金融债券视为一种相对较低风险、稳定收益的投资选项。
二、固定收益证券的投资方法1.分散资产：分散持有多张不同类型的固定收益证券，可以有效降低风险。
各种类型债券所受到的政策、货币政策等因素的影响不同，因此投资者应根据自身偏好，配置不同类型的固定收益类证券。
2.评估风险：投资者在投资前，应该评估证券的信用风险和利率风险。
信用风险是指发行人无法及时、完全地支付本金和利息的风险；利率风险是指利率变动对证券价格和利率收益率的影响。
3.关注经济指标：固定收益证券的价格往往受到经济形势和通货膨胀等因素的影响，投资者需持续关注国民生产总值、通货膨胀率和货币政策等指标，以制定投资策略。
4.选择时间点：购买时点是影响资产的买卖价格和持有回报的重要因素之一。
在经济形势不断变化的背景下，投资者最好能根据市场状况选择正确的购买时机。
总之，固定收益证券是投资者分散资产、降低风险、稳定收益的好选择。
6.固收总复习笔记
Fixed-Income Securities-1[备注]财务比率不一定Affirmative或Negative由于否定性条款约束发债人，投资人获得更多的权力→更昂贵 [备注]肯定性条款和否定性条款都是Legal，Regulation and Tax①Eurobond market：离岸市场→发行的币种和发行地不一致（例：在澳大利亚发行加币的债券）②National bond market：本币市场→①Domestic bonds：在本国用本币发行；②Foreign bonds：③Global bonds：全球同时在Eurobond market和National bond market发行A,C,B,C [备注]本国本币→domestic；外国本币（外国本币）→forein；本国外币，外国外币→Fixed-Income Securities-2Market ClassificationsType of issuer（按发行者的分类）①government and government-related：政府及政府相关②corporate sector：公司③structured finance sector（结构化融资）：ABS，MBSType credit quality（按照信用级别）①investment grade bond（投资级债券）：风险低，低收益②non-investment grade bond（投机级债券）：风险高，高收益Maturity（按照到期日）①money market security：1年以下②capital market security：1年以上Type of coupon（按照票息的种类）①fixed-rate bonds：固定利率②floating-rate bonds：浮动利率LIBOR：银行之间的拆解利率（无抵押）unsecured interset rateIssurance and TradingPrimary bond market①Pubilic offering投行的发行：underwritten（包销）；syndicated offering（联合报销）；best-effortsAuciton（拍卖）：特指国债FundingGovernment-related bonds：on-the-run（新券）Bank loans：①借的少：bilateral loan（1v1）；②借的多：syndicated loan（1v多家银行）。
固定收益证券培训
固定收益证券培训一、引言固定收益证券（Fixed Income Securities）是一种具有固定利率或收益的金融工具，可以为投资者提供稳定可预测的收入。
在金融市场中，固定收益证券被广泛应用于风险管理、投资组合多样化以及资金筹集等方面。
为了帮助投资者深入了解固定收益证券的相关知识和投资策略，我们开展了固定收益证券培训。
二、固定收益证券概述固定收益证券是一种具有固定利率或收益的债权凭证，可以包括国债、企业债、地方政府债券、可转换公司债券、优先股等多种形式。
这些证券以固定的利率或收益向投资者支付利息，且在到期日偿还本金。
由于其收益具有稳定性和可预测性，固定收益证券广受投资者的欢迎。
三、固定收益证券的特点1. 固定利率固定收益证券的特点之一是其具有固定利率或固定收益。
这意味着投资者在购买此类证券时，可以预先确定其未来的收益情况，从而降低了投资的风险。
2. 期限较长相比于股票等其他金融工具，固定收益证券的期限通常较长。
这意味着投资者需要更长的时间来持有这些证券，以获得其固定的利息或收益。
3. 低风险固定收益证券通常被认为是较低风险的投资选择。
由于其具有固定利率和到期日偿还本金的特点，这些证券提供了稳定的收入来源，可以帮助投资者降低风险。
四、固定收益证券的类型1. 国债国债是由政府发行的固定收益证券，以筹集资金用于国家的支出和发展项目。
国债通常具有较高的信用评级，是相对较安全的投资选择。
2. 企业债券企业债券是由公司发行的固定收益证券，用于筹集资金用于企业的运营或扩张。
企业债券的风险因公司的信用状况而异，投资者需要仔细评估公司的偿付能力。
3. 可转换公司债券可转换公司债券是一种混合性质的证券，具有固定的利率和到期日，同时投资者还有权利将其转换为公司的股票。
可转换公司债券既具有固定收益证券的稳定性，又有参与公司股权投资的机会。
4. 地方政府债券地方政府债券是由地方政府或政府机构发行的债券，用于筹集资金用于地方基础设施建设和公共事业发展。
FRM 金融风险管理师考试大纲
Quantitative Analysis Readings:
1. Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value At Risk Approach (Oxford: Blackwell Publishing, 2004). Chapter 2 – Quantifying Volatility in VaR Models th John Hull, Options, Futures, and Other Derivatives, 6 ed. (New York: Prentice Hall, 2006). Chapter 19 – Estimating volatilities and correlations rd Philippe Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, 3 ed. (New York: McGraw-Hill, 2007). Chapter 9 – Forecasting risk and correlations Chapter 12 – Monte Carlo Methods Lampros Kalyvas and Ioannis Akkizidis, Integrated Market, Credit and Operational Risk: A Complete Guide for Bankers and Risk Professionals (London: Risk Books, 2006). Chapter 4 – Extreme Value Theory and in Risk Management Murray R. Spiegel, John Schiller, and R. Alu Srinivasan, Probability and Statistics, Schaum’s Outlines, 2nd ed. (New York: McGraw-Hill, 2000). Chapter 1 – Basic Probability Chapter 2 – Random Variables and Probability Distributions Chapter 3 – Mathematical Expectation Chapter 4 – Special Probability Distributions Chapter 5 – Sampling Theory Chapter 6 – Estimation Theory Chapter 7 – Tests of Hypotheses and Significance Chapter 8 – Curve Fitting, Regression, and Correlation NOTE: Candidates should not memorize formulas of distributions but should understand when it is appropriate to use a particular type of distribution.
FIS(12)
COLLATERALIZED MORTGAGE OBLIGATIONS
Sequential-Pay Tranches
The first CMO was created in 1983 and was
structured so that each class of bond would be retired sequentially. Such structures are referred to as sequential-pay CMOs.
COLLATERALIZED MORTGAGE OBLIGATIONS
Schedul ed Principal Payment 300PSA
90PSA
Planned amortization schedule
month
Average life variability of PAC and Support tranche Support PSA PAC tranche 0 13.2 24 50 8.8 21.2 100 6.5 17.1 150 6.5 13.3 collar 200 6.5 10.4 250 6.5 5.2 300 6.5 2.9 350 5.9 2.4 400 5.4 1.8
Tranche A B
example1
Calculate the principal payments, ending
principal balance, and interest payments to each tranche in the first month.
example1
tranche A principal payments=391128 tranche A ending principal balance=200000000
投资词汇中英对照
投资词汇中英对照从金融学角度来讲，相较于投机而言，投资的时间段更长一些，更趋向是为了在未来一定时间段内获得某种比较持续稳定的现金流收益，是未来收益的累积。
接下来小编为大家整理了投资词汇中英对照，希望对你有帮助哦!投资词汇中英对照：SEHK联交所Senior Bond优先债券Settlement结算Short Hedge空头对冲Short Position空仓Short Selling抛空/沽空Speculation投机Stock Splits股票分拆Subordinated Bond后偿债券Substantial Shareholder大股东Support Level支持价位Technical Analysis技术分析The Stock Exchange of Hong Kong Ltd.香港联合交易所有限公司Time Horizon投资期Trading Hours of SEHK联合交易所的交易时间Trading Rules交易规则Trust Deed信托契约Underlying Security认股权证相关的股份Unified Exchange Compensation Fund Scheme联合交易所赔偿基金Valuation估价Warrant认股权证Window Dressing粉饰橱窗Yield盈利率Yield To Maturity到期孳息率Zero Coupon Bond无息债券Accrued interest应得利息All-Ordinaries Index所有普通股指数Arbitrage套戥Ask Price买价Asset-Backed Securities具资产保证的证券At-the-money刚到价Automatic Order Matching And Execution System自动对盘及成交系统Basis Point基点Bear Markets熊市Bid Price卖价Bid-ask Spread买卖差价Blue Chips蓝筹股Bond债券Book Value账面值Broker经纪Brokerage Fee经纪佣金Bull Markets牛市Call Option好仓期权/买入(认购)期权Callable Bonds可赎回债券Capital Gain资本增值Capital Markets资本市场Central Clearing and Settlement System中央结算系统Central Money Market Units债务工具中央结算系统Certificate of Deposits存款证China Concepts Stock中国概念股Closed-end闭端基金Collateral抵押品Commercial Paper商业票据Common Stock普通股Compound Interest复息Contract Note成交单Controlling Shareholder控制股东Convertible Bond可换股债券Corporate Bond公司债券Coupon票息Coupon Frequency派息次数Coupon Rate票面息率Covered warrants备兑认股权证Credit Rating信用评级Currency Board货币发行局Current Yield现价息率Custody of Securities证券托管Default Risk不能收回本金的风险Derivative Call衍生认购(认沽)认股权证Derivative Instrument衍生产品Direct Business直接成交Discount Bond折扣债券Diversification分散风险Duration期限Earnings收益Earnings per Share每股盈利Earnings Yield盈利率Equity股本Equity Call Warrants股本认购认股权证Ex-dividend除息Face Value/ Nominal Value面值Fixed Rate Bonds定息债券Fixed-income securities定息证券Floating Rate Bonds浮息债券Fundamental Analysis基本分析Future Value未来值Future Value of an Annuity定期供款之未来值Futures contract期货合约Hang Seng China Enterprises index恒生香港中资企业指数Hang Seng Index香港恒生指数Hang Seng London Reference Index恒生伦敦参考指数Hedge对冲Hong Kong Inter-Bank Offered Rate香港银行同业拆息Hong Kong Monetary Authority香港金融管理局Hong Kong Securities Clearing Company Ltd.香港中央结算有限公司H-Share股HSI Futures Contract恒生指数期货合约Income收入Index Fund指数基金Initial Public Offering首次公开招股Inside Information内幕消息Insider Trading内幕交易Intrinsic Value内在价值Investment投资Investment Adviser投资顾问IPO price首次公开招股价Junk Bond垃圾债券Leverage Ratio杠杆比率Limit Order限价指示Limited Company有限公司Liquidity变现能力Listing挂牌Listing Date上市日期Margin Call补仓Market Capitalisation市价总值Market Maker庄家Market Order市场指示Money Market货币市场Mutual Fund互惠基金Net Asset Value资产净值Offer For Sale公开发售Offer For Subscription公开认购Open Offer公开供股Open-end开放基金Option期权Oversubscribed超额认购Par Bond平价债券Par Value票面值Perpetual Bonds永久债券Placing配售Portfolio投资组合Preference Shares优先股Premium溢价(认股证)Premium Bond溢价债券Present Value现时值Present Value of An Annuity定期供款之现时值Price/Earnings Ratio市盈率Privatisation私有化Professional Conduct Regulations专业操守规例Prospectus招股书Put Option淡仓期权/卖出(认沽)期权Rate of Return收期率Real Interest Rate实质利率Red Chip红筹股Redemption Value赎回价值Reinvestment Value再投资利率Relative Strength Index/RSI相对强弱指数Repurchase Agreement回购协议Resistance Level阻力价位Return回报Rights Issue供股发行Risk-Averse, Risk-Neutral, Risk-Taking风险厌恶，风险中立，追求风险Securities And Futures Commission证券及期货事务监察委员会Securities Dealers´ Representatives证券交易商。
债券名称列表
债券名称列表（1）10年国债：CGB 10year, 10-year Treasury Bond, 10yr T-Bond（2）5年国债：CGB 5year, 5-year Treasury Bond, 5yr T-Bond （3）二十年国债：20Year Treasury Bond, 20yr T-Bond, CGB20Year（4）30年国债：30Year Treasury Bond, 30yr T-Bond, CGB 30Year （5）财政收入债：Revenue bond, municipal bond, tax-free bonds （6）住宅抵押债：Mortgage-backed security, mortgage bond（7）银行承兑债：Bank acceptance bonds, banker's acceptance （8）农业可转换债：Convertible debt securities ofagricultural industries（9）企业可转换债：Convertible debt securities of corporate bonds（10）建筑可转换债：Convertible debt securities of real estate（11）可交换债：Exchangeable debt securities（12）阳光债：Fixed income securities, fixed income bonds, corporate bonds（13）金融债：Financial institution bonds, financial institutions' bonds（14）净资金债：Netfunds bonds, netfunds debenture（15）海外可转换债：Foreign convertible debt securities （16）货币市场工具：Money market instruments, money market securities（17）国内定期存单：Certificates of Deposit (CDs), Domestic CDs（18）可分割债：Split-Payment Bonds（19）可赎回债：Redeemable Bonds（20）资产支持债：Asset-backed securities, asset-backed bonds。
金融专业英语词汇
LIBOR: lending rate among banks in the London market.
Treasury notes or bonds(中期国库券): debt obligations of the federal government with original maturities of one year or more.
Municipal bonds: tax-exempt bonds issued by state and local governments.
Corporate bonds: long-term debt issued by private corporations typically paying semiannual coupons and returning the face value of the bond of maturity.
Initial public offerings IPO
Asset allocation: allocation of an investment portfolio across broad asset classes.
Security selection: choice of specific securities within each asset class.
Futures contract: obliges traders to purchase or sell an asset at an agreed-upon price at a specified future date.
《固定收益证券》课程教学大纲
《固定收益证券》课程教学大纲(2004年制定，2006年修订)课程编号:050162英文名:Fixed Income Securities课程类型:专业主干课前置课:证券投资学、公司财务后置课:金融衍生工具学分:3学分课时:54课时主讲教师:华仁海等选定教材:汤震宇等～固定收益证券定价理论～北京:复旦大学出版社～2004. 课程概述:《固定收益证券》是金融工程专业的一门专业主干课程。
固定收益证券是一大类重要金融工具的总称，其主要代表是国债、公司债券、资产抵押证券等。
固定收益证券包含了违约风险、利率风险、流动性风险、税收风险和购买力风险。
本课程主要讲授固定收益证券的计价习惯，零息债券，附息债券，债券持续期、凸性和时间效应，利率期限结构模型，含权债券定价，利率期货、期权和互换的定价，住房贷款支撑证券(MBS)等。
教学目的:通过本课程的学习，使学生了解固定收益证券方面的基本知识，掌握固定收益证券行业中的重要术语;掌握分析利率变化和评估固定收益证券及其衍生品价值的工具;学会管理固定收益证券的利率风险;掌握确定债券选择权或者暗含选择权的最佳执行策略。
教学方法:本课程主要以课堂讲授为主，并采取课件辅助教学。
各章教学要求及教学要点第一章货币的时间价值课时分配:4课时教学要求:通过本章学习，使学生掌握货币的时间价值概念、会计核算、现金流的现值和终值。
教学内容:第一节货币时间价值的计算一、单利的计算。
(一)单利利息的计算。
(二)单利终值的计算。
(三)单利现值的计算。
二、复利的计算。
(一)复利终值。
(二)复利现值。
(三)复利息。
(四)名义利率与实际利率。
三、年金的计算。
(一)普通年金。
1、普通年金的终值计算。
2、偿债基金。
3、普通年金的现值计算。
(二)预付年金。
1、预付年金终值计算。
2、预付年金现值计算。
3、递延年金。
4、永续年金。
思考题:1、什么是货币的时间价值,如何计算,2、单利和复利的区别,3、如何计算年金的现值和终值,第二章固定收益证券特性课时分配:7课时教学要求:通过本章学习，使学生了解固定收益证券的特征，了解固定收益证券的各种测度，掌握不同证券价格情况下当前收益率、到期收益率和票面收益率的关系，了解中国债券市场的历史、现状和特点。
2019年金融分析师考试必备资料CFA 2019 - Level 1 SchweserNotes Book 5
Contents1.Learning Outcome Statements (LOS)2.Study Session 16—Fixed Income (1)1.Reading 50: Fixed-Income Securities: Defining Elements1.Exam Focus2.Module 50.1: Bond Indentures, Regulation, and Taxation3.Module 50.2: Bond Cash Flows and Contingencies4.Key Concepts5.Answer Key for Module Quizzes2.Reading 51: Fixed-Income Markets: Issuance, Trading, and Funding1.Exam Focus2.Module 51.1: Types of Bonds and Issuers3.Module 51.2: Corporate Debt and Funding Alternatives4.Key Concepts5.Answer Key for Module Quizzes3.Reading 52: Introduction to Fixed-Income Valuation1.Exam Focus2.Module 52.1: Bond Valuation and Yield to Maturity3.Module 52.2: Spot Rates and Accrued Interest4.Module 52.3: Yield Measures5.Module 52.4: Yield Curves6.Module 52.5: Yield Spreads7.Key Concepts8.Answer Key for Module Quizzes4.Reading 53: Introduction to Asset-Backed Securities1.Exam Focus 832.Module 53.1: Structure of Mortgage-Backed Securities3.Module 53.2: Prepayment Risk and Non-Mortgage-Backed ABS4.Key Concepts5.Answer Key for Module Quizzes3.Study Session 17—Fixed Income (2)1.Reading 54: Understanding Fixed-Income Risk and Return1.Exam Focus2.Module 54.1: Sources of Returns, Duration3.Module 54.2: Interest Rate Risk and Money Duration4.Module 54.3: Convexity and Yield Volatility5.Key Concepts6.Answer Key for Module Quizzes2.Reading 55: Fundamentals of Credit Analysis1.Exam Focus2.Module 55.1: Credit Risk and Bond Ratings3.Module 55.2: Evaluating Credit Quality4.Key Concepts需要最新CFA、FRM、AQF、ACCA资料欢迎添加微信zyz7864683315.Answer Key for Module Quizzes4.Topic Assessment: Fixed Income1.Topic Assessment Answers: Fixed Income5.Study Session 18—Derivatives1.Reading 56: Derivative Markets and Instruments1.Exam Focus2.Module 56.1: Forwards and Futures3.Module 56.2: Swaps and Options4.Key Concepts5.Answer Key for Module Quizzes2.Reading 57: Basics of Derivative Pricing and Valuation1.Exam Focus2.Module 57.1: Forwards and Futures Valuation3.Module 57.2: Forward Rate Agreements and Swap Valuation4.Module 57.3: Option Valuation and Put-Call Parity5.Module 57.4: Binomial Model for Option Values6.Key Concepts7.Answer Key for Module Quizzes6.Study Session 19—Alternative Investments1.Reading 58: Introduction to Alternative Investments1.Exam Focus2.Module 58.1: Private Equity and Real Estate3.Module 58.2: Hedge Funds, Commodities, and Infrastructure4.Key Concepts5.Answer Key for Module Quizzes7.Topic Assessment: Derivatives and Alternative Investments1.Topic Assessment Answers: Derivatives and Alternative Investments8.Appendix9.Formulas10.Copyright需要最新CFA、FRM、AQF、ACCA资料欢迎添加微信zyz786468331List of pages1.vii2.viii3.ix4.x5.16.27.38.49.510.611.712.813.914.1015.1116.1217.1318.1419.1520.1621.1722.1823.1924.2025.2126.2227.2328.2429.2530.2631.2732.2833.2934.3035.3136.3237.3338.3439.3540.3641.3742.38需要最新CFA、FRM、AQF、ACCA资料欢迎添加微信zyz78646833144.4045.4146.4247.43需要最新CFA、FRM、AQF、ACCA资料欢迎添加微信zyz78646833148.4449.4550.4651.4752.4853.4954.5055.5156.5257.5358.5459.5560.5661.5762.5863.5964.6065.6166.6267.6368.6569.6670.6771.6872.6973.7074.7175.7276.7377.7478.7579.7680.7781.7882.7983.8084.8185.8286.8387.8488.8590.8791.8992.9093.9194.9295.9396.9497.9598.96需要最新CFA、FRM、AQF、ACCA资料欢迎添加微信zyz786468331 99.97100.98101.99102.100103.101104.102105.103106.104107.105108.106109.107110.108111.109112.110113.111114.112115.113116.114117.115118.117119.118120.119121.120122.121123.122124.123125.124126.125127.126128.127129.128130.129131.130132.131133.132134.133。
cfa金融英语词汇表
cfa金融英语词汇表
如您所提，以下是一些与CFA (Chartered Financial Analyst) 金融英语相关的词汇表：
1. Asset Management - 资产管理
2. Equity - 股票/股权
3. Fixed Income - 固定收益
4. Derivatives - 衍生品
5. Portfolio - 投资组合
6. Risk Management - 风险管理
7. Hedge Fund - 对冲基金
8. Mutual Fund - 共同基金/互惠基金
9. Valuation - 估值/价值评估
10. Financial Reporting - 财务报告
11. Securities - 证券
12. Investment Banking - 投资银行业务
13. Alternative Investments - 另类投资
14. Performance Measurement - 绩效评估
15. Capital Markets - 资本市场
16. Financial Analysis - 财务分析
17. Private Equity - 私募股权
18. Risk Assessment - 风险评估
19. Corporate Finance - 公司金融
20. Ethics - 伦理规范
以上词汇可以作为CFA金融英语方面的参考，涵盖了金融业务的各个方面。
可根据需要进一步扩展相关词汇。
固定收益部英文介绍
固定收益部英文介绍English:Fixed income refers to investments that pay a fixed interest or dividend income, such as bonds, CDs, and preferred stocks. These investments provide a predictable stream of income for the investor, making them popular among those who are looking for stability and steady returns. Fixed income securities are considered less risky than stocks because they are more likely to provide a consistent income, even during times of market volatility. They are often used to achieve specific investment objectives, such as preserving capital, generating income, or diversifying a portfolio. Fixed income securities can be issued by governments, corporations, and financial institutions, and they come with varying levels of credit risk, liquidity, and maturity. Investors can choose from a wide range of fixed income products, each with its own unique features and characteristics.Translated content:固定收益指的是支付固定利息或股息收入的投资，例如债券、存单和优先股。
CFA一级笔记-第八部分 固定收益证券
CFA一级考试知识点第八部分固定收益证券债券五类主要发行人超国家组织supranational organizations，收回贷款和成员国股金还款主权（国家）政府sovereign/national governments，税收、印钞还款非主权（地方）政府non-sovereign/local governments（美国各州），地方税收、融资、收费。
准政府机构quasi-governments entities（房利美、房地美）公司（金融机构、非金融机构）经营现金流还款Maturity到期时间、tenor剩余到期时间小于一年是货币市场证券、大于一年是资本市场证券、没有明确到期时间是永续债券。
计算票息需要考虑付息频率，未明确的默认半年一次付息。
双币种债券dual-currency bonds支付票息时用A货币，支付本金时用B货币。
外汇期权债券currency option bongds给予投资人选择权，可以选择本金或利息币种。
本金偿还形式子弹型债券bullet bond，本金在最后支付。
也称为plain vanilla bond（香草计划债券）摊销性债券amortizing bond，分为完全摊销和部分摊销。
偿债基金条款sinking found provision，也是提前收回本金的方式，债券发行方在存续期间定期提前偿还部分本金，例如每年偿还本金初始发行额的6%。
票息支付形式固定票息债券fixed-rate coupon bonds，零息债券会折价发行，面值与发行价之差就是利息，零息债券也称为纯贴现债券pure discount bond。
梯升债券step – up coupon bonds票息上升递延债券deferred coupon bonds/split coupon bonds，期初几年不支付，后期才开始支付票息。
（前期资金紧张或研发型项目）实物支持债券payment-in-kind/PIK coupon bonds票息不是现金，而是实物。
固定收益证券fixed-income securities chapter 12
Setting investment objectives
› There are numerous types of investors that invest in fixed income instruments.
› Each will have different objectives, depending on the underlying business. › Pension funds and insurance companies – to earn higher return than
Players in fixed-income market
Investment management process
› 5 stages: 1. Setting investment objectives. 2. Establishing investment policy. 3. Selecting a portfolio strategy. 4. Selecting assets. 5. Measuring and evaluating performance.
- Investors will use some of the methods we have examined in previous lectures to determine their subjective value for the security, compare to price and trade depending on the transaction costs.
CFA特许金融分析师考试必备词汇05-Level 1
IndentureA contract between an issuer of bonds and the bondholder stating the time period before repayment, amount of interest paid, if the bond is convertible (and if so, at what price or what ratio), if the bond is callable and the amount of money that is to be repaid. Investopedia Says:The indenture is another name for the bond contract terms, which are also referred to as a deed of trust.契约:债券发行人与债券持有人之间的合约，列明偿还年期、支付利率、可否转换（如可转换，转换的价格及比率），以及偿还资金的金额callable adj.可赎回的, 可随时支付的(如贷款),见通知即兑付(证券或贷款)variant adj.1.不同的; 差别的; 变异的2.易变的, 不定的; 各种各样的n. 变种变量/式Covenant 保证条款/契约:债券协议中的条文，承诺将会或不会进行某些行动A promise in an indenture, or any other formal debt agreement, that certain activities will or will not be carried out.Investopedia Says:The purpose of a covenant is to give the lender more security. Covenants can cover everything from minimum dividend payments to levels that must be maintained in working capital.straight bond纯粹债券；直接债券（内）；传统债券；普通债券（港）；标准债券option free bond 无期权债券指不附任何嵌入选择权的债券，其价格与收益率不是线性关系，而是具有一定凸度的曲线关系，即不含期权债券的价格上升的速度比下降的速度快Treasury Bond＝T-Bond（长期）国库券/国库债券期限10年以上的可买卖定息美国政府债务证券Treasury Note政府票据中期国库券期限1至10年的可买卖定息美国政府债务证券Treasury Bill短期国库券美国政府发行的债务证券，期限少于一年。
40本顶级经典金融学书籍英文版
40本顶级经典金融学书籍英文版一、经典中的经典！1、金融学，兹威博迪，罗伯特莫顿（中文版）2、Asset Pricing 2005，John H. Cochrane3、Dynamic Asset Pricing ,Duffie4、Continuous-Time Finance Robert C. Merton二、固定收益1、Interest Rate- Models Theory and Practice (2nd Edition),Damiano Brigo ·Fabio Mercurio2、The Handbook of Fixed Income Securities 7thE,Frank J. Fabozzi三、投资学Investments--Bodie, Kane, Marcus 5ed四、金融工程和数量金融1、Principle of financial engineering，Salih N. Neftci2、FINANCIAL ENGINEERING AND COMPUTATION,YUH-DAUH LYUU3、Introduction to the Economics and Mathematics of Financial Markets,Jakˇsa Cvitani´c and Fernando Zapatero4、A Benchmark of quantative finace,Eckhard Platen5、Dynamic Structure Modeling,SANJAY K. NAWALKHA6、Numerical Methods for Finance,Jhon A.D.Appleby五、公司财务与兼并收购1、Corporate Fiance 6e,Ross−Westerfield−Jaffe2、Corporate Finance-theory practice，Pascal Quiry Maurizio Dallocchio Yann Le Fur Antonio Salvi3、The Theory of Corporate Finance，Jean Tirole4、Handbook of Corporate Finance1,WILLIAM T. ZIEMBA5、Handbook of Corporate Finance2,WILLIAM T. ZIEMBA6、Principles of Corporate Finance, Seventh Edition,Brealey−Meyers7、Mergers, Acquisitions and Corporate Restructuring,PATRICK A. GAUGHAN8、Mergers, Acquisitions and Corporate Restructuring,Chandrashekar Krishnamurti Vishwanath S.R.六、金融市场、机构和货币经济学1、The economics of money,banking and financial markets,Mishkin2、Monetary Economics,Jagdish Handa3、Monetary Theory and Policy，Carl E. Walsh4、Financial Markets and Institutions 5e,Peter Howells and Keith Bain5、Handbook of Finance Financial Markets and Instruments - (2008),Frank J. Fabozzi6、Microeconomics of Banking 2e,Xavier Freixas and Jean-Charles Rochet七、国际金融和汇率1、The Economics of Exchange Rates,Lucio Sarno2、Handbook of International Banking 2003,Andrew W. Mullineux3、International Finance--Putting Theory Into Practice,Piet Sercu八、行为金融Advances in Behavioral Finance,Richard H. Thaler12月16日更新UNDERSTANDING FINANCIAL CRISES,FRANKLIN ALLEN Understanding International Bank Risk,Andrew Fight1Frequently Asked Questions in Quantitative Finance(Wilmott)2Paul Wilmott Introduces Quantitative Finance,Paul Wilmott Fixed Income Analysis 2ndE Frank J. FabozziFixed Income Markets and Their Derivatives,Suresh Sundaresan subprime mortigage credit derivativesPrinciples of Financial Economics,Stephen F. LeRoyFinancial risk manager handbook,PHILIPPE JORIONMeasuring Market Risk,Kevin Dowd。
固定收益证券精ppt课件
《Fixed Income Securities Analysis》讲义，Copyrights © 2004，吴文锋
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尽量少输钱，或不输钱
三个目标
寻求市场或对手漏洞而xed Income Securities Analysis》讲义，Copyrights © 2004，吴文锋
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个人的投资机会
《Fixed Income Securities Analysis》讲义，Copyrights © 2004，吴文锋
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Introduction-2
Why？ What？ How？
《Fixed Income Securities Analysis》讲义，Copyrights © 2004，吴文锋
存量 Dec-08 Dec-09 Jun-10
净发行 2007 2008
2009
Q1-2 2010
21572.8 22731.9 26071 24693 2777.5 2351.1 449.9 126.4
浮动利率 7168.4 7895.5 8353.2 7480.1 1129.2 1204.1 -68.59 -98.8
6
成交量大
• 在美国，债券的成交金额占资本市场交 易量的80%
• 日本的债券成交量则是股票的5倍 • 债券的发行量更要比股票大很多
《Fixed Income Securities Analysis》讲义，Copyrights © 2004，吴文锋
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全球市场债券和票据的发行总量单位：十亿美元
总量
Dec 2007
• 4、固定收益证券分析，潘席龙，西南财经大学 出版社，2007年
《Fixed Income Securities Analysis》讲义，Copyrights © 2004，吴文锋
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Inflation-indexed bonds
Inflation-indexed bonds deliver coupons and principal that are indexed on the future inflation rates They are mainly issued by governments to make it clear they are willing to maintain a low inflation level An inflation-indexed bond can be used to
Initially created by investment banks( trademark zeros) Coupons are detached and principal and coupons sold individually
—It used to imply a tax break —Not anymore, the law has changed —Even after the law changed, great success
maturity date
yield
1.2
TYPES OF FIXED INCOME SECURITIES
1.2.1
BONDS
Interest rates types
Zero Coupon bonds Fixed-rate bonds Floating-rate notes (FRN)：
—reference index *k +margin —floating-rate bonds —Variable-rate bonds or adjustable-rate bonds —Inverse floater
Issuance market (Domestic , Eurodollar…)
Copyright © Rong Chen, 2007, Finance Department, XMU
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coupon rate
price
Bond Markets
A US T-Bond Description on Bloomberg
固定收益证券 , (美)布鲁斯·塔克曼(Bruce Tuckman)著,黄嘉斌译；北京：宇航出版社 ，1999 固定收益证券：对利率风险进行定价和套期保值的动态方法 ,李奥奈尔·马特里尼, 菲利 普·普里奥兰德著；肖军译,北京：机械工业出版社，2002 谢剑平， 2003， 固定收益证券：投资与创新，人民大学出版社 Copyright 债券市场，东华书局 4 薛立言 刘亚秋， 2006，© Rong Chen, 2007, Finance Department, XMU 林清泉，2005，固定收益证券, 武汉大学出版社
Copyright © Rong Chen, 2007, Finance Department, XMU
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Syllabus
Part I basic knowledge: Fixed-income instruments, prices and yields Part II Term structure: Empirical properties and classical theories of the term structure & Deriving the zero-coupon yield curve Part III Hedging interest-rate risk with duration, convexity and other ways Part IV Investment strategies: passive, active and performance measurement. Part Part Part Part V: Interest rate swaps, forwards and futures VI: Dynamic term structure modeling VII: Interest-rate derivatives VIII: Securitization
Copyright © Rong Chen, 2007, Finance Department, XMU
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Face value
—par amount/ nominal amount/ principal amount —The total issued amount —The outstanding amount —The minimum amount and minimum increment that can be purchased —The redemption value —The issuance price —Currency denomination
Copyright © Rong Chen, 2007, Finance Department, XMU 3
Reference
Lionel Martellini, Philippe Priaulet, Stephane Priaulet, 2003, Fixed-income securities: valuation, risk management and portfolio strategies, Wiley. Suresh M. Sundaresan, 1997, Fixed income markets and their derivatives, South-Western College Publishing John Hull, 2006, options, futures and other derivatives, Prentice Hall Moorad Choudhry, 2005, Fixed-income securities and derivatives handbook, Bloomberg Bond markets, analysis and strategies, Frank J. Fabozzi ,4th edition, NJ :Prentice Hall,2000
Fixed Income Securities
Dr. Rong Chen The Department of Finance Xiamen University
Fixed income ?
Fixed cash flow / interest rate sensitive Major types
— traditional fixed-income securities —Interest rate derivatives —Bonds with embedded options
—Pure discount securities placed through auction —Maturity 13, 26 and 52 weeks
Treasury Notes and Bonds
—Half coupon paid semi-annually —Maturity 2, 3, 5, 7, 10 (notes) and 30 years (bonds) —Sold in denominations of $1,000 —Bonds may be callable or term securities —Bullet bonds/ amortization —Nominal coupon-bearing securities/ inflationlinked Copyright © Rong Chen, 2007, Finance Department, XMU
Copyright © Rong Chen, 2007, Finance Department, XMU
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Chapter 1
Introduction
1.1
MAJOR CHARACTERISTICS
Issuers
the issuer’s name the issuer’s type the issuer’s domicile
Municipalities Corporations International Governments and Corporations
Copyright © Rong Chen, 2007, Finance Department, XMU 19
Government Securities
Treasury Bills
Copyright © Rong Chen, 2007, Finance Department, XMU 21
Copyright © Rong Chen, 2007, Finance Department, XMU
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Time
The maturity date
Short/ medium/ long term/ Consols Callable, puttable….
—The issuance date —the interest accrual date —the settlement date —Day-count conventions
Internet resources
/chinabond/i ndex.jsp中国债券信息网 /databas/n ew/zaxiang/shouye/index.jsp中国货币网 /和讯债券
— hedge a portfolio against a rise in the inflation rate — diversify a portfolio based on low correlation with stocks, fixed-coupon bonds and cash
Strips