导图社区 CFA一级 固定收益 fixed income
Fixed income思维导图:包含R39 Fixed-Income Securities: Defining Elements,R40 Fixed-Income Markets: Issuance, Trading, andFunding,R40 Fixed-Income Markets: Issuance, Trading, andFunding等等
编辑于2022-05-05 20:15:49Fixed income
R39 Fixed-Income Securities: Defining Elements
Basic features of a fixed-income security
1.The issuer of the bond
Supranational organizations国际组织
Sovereign (national) governments国家
Non-sovereign (local) governments地方债
Quasi-government entities准政府,例如Fannie Mae
Companies (i.e., corporate issuers)公司债
SPE/SPV (special purpose entities/special purpose vehicles)具有特殊目的的实体
2. The maturity date(到期日) of the bond tenor指的是剩余到期日
Money market securities:小于等于一年
Capital market securities: 大于1年
Perpetual bonds: 永续债权,没有到期日
3. The par value (principal value to be repaid)
通常面值都是1000
4. Coupon rate and frequency票面利息
Plain vanilla bond/conventional bond: 在付息日支付固定利息的债券
Zero-coupon bond/pure discount bond: 在到期日之前不支付利息
5. Currency in which payments will be made
Dual-currency bond: makes coupon interest payments in one currency and principal repayment maturity in another currency.
Currency option bond: gives bondholders a choice of which of two currencies they would like to receive their payments in.
Bond Markets & Legal information
Bond Markets
Domestic bonds:债券发行人与发行地一致
Foreign bonds:发行人与发行地不一致
Eurobonds: Type of bond issued internationally,发行货币与发行地货币不一致
Registered bonds: 会记录所有权的变动
Bearer bonds (majority of form of Eurobonds): 不会记录所有权。对于寻求避税的人很有吸引力.
Global bonds: I在欧洲市场和至少一个domestic市场同时发行,多种情况存在
Legal information
Trust deed又叫indenture(信托契约)
general trust deed
Definition: Legal contract that describes the form of the bond, the obligations of the issuer, and the rights of the bondholders.
说明:Market participants frequently call this legal contract the bond indenture, particularly in the United States and Canada.
以发行人的名义书写:内容包括本金、利率及票面利率、支付利息的日期、债券到期日、或有条款(contingency provisions)
(不考)Other legal and regulatory issue addressed in a trust deed
Legal information
The source of repayment
Collaterals
Credit enhancements
Covenants 条款
Taxation
Legal information about issuing entities
Sovereign bonds
Corporate bonds
Securitized bonds
definition: Issued by a separate legal entity created for the purpose of owning specific assets which is called special purpose entities(SPEs) in U.S, and special purpose vehicles(SPVs) in Europe.
说明:提供破产隔离(bankruptcy remote),主办方转让资产被视为合法出售,一旦资产证券化,主办方就不再有所有权。在主办方破产后,债券的任何一方将无法收回资产或者收益
Source of repayment proceeds
Collateral抵押品 & Credit enhancements信用增级
Collateral:a way to reduce credit risk.
Unsecured bonds (No collateral): 没有抵押物,全靠信用,维约时后支付 represent a claim to the overall assets and cash flows of issuer.
Secured bonds:拥有抵押物,维约时先支付 backed by a claim to a specific assets of a corporation.
抵押品的类型
Credit enhancements:reduce the credit risk
Internal credit enhancement
Overcollateralization:过度抵押,比如100万元的债务抵押120万元的抵押品
Reserve accounts or reserve funds储备账户或者储备基金,出现问题时直接从储备账户支付
Subordination/Waterfall structure:分层/瀑布式结构,创建多个债券类别或者分层,并且进行索赔优先级的排序,清算资产的时候首先偿还最优先的债权人
External credit enhancement:
Classification
Surety bond:保险公司担保债券,发行人还不起的时候保险公司补足
Bank guarantee:银行担保,与上面类似,只是担保人是银行
Letter of credit:信用证,如果发行人没有足够的现金支付担保债务,银行为发行人提供贷款承诺
limitations
担保人的信用恶化会降低所涉及债券的信用质量
面临第三方风险,即担保人无法履行义务
cash collateral account现金抵押账户可以很好的解决上述的两个问题,因为抵押物是现金,所以即便是担保人的信用出现问题,也不会导致债券信用评级下降。
Covenants条款 & Tax
Covenants
Affirmative covenants肯定性条款,一般是行政性的,不会增加成本,不会影响现有的业务
what the issuer will do with the proceeds from the bond issue and the promise of making the contractual payments.
Comply with all laws and regulations
Maintain its current lines of business
Insure and maintain its assets, and pay taxes as they come due
Negative covenants否定条款,会增加成本,并且对发行人的潜在业务决策产生重大限制,protect bondholders,力度很强
Restrictions on debt: 限制了额外债务的发行
Negative pledges防止发行比当前债券优先级高的债券
Restrictions on prior claims发行人不能用未抵押的资产做抵押来保护无抵押资产的债券持有人
Restrictions on distributions to shareholders限制对股东股利的分配和其他的付款,比如股票回购
Restrictions on asset disposals规定了发行人在债券存续期间可处置资产的数量
Restrictions on investments限制发行人的投资,不可做高风险投资
Restrictions on mergers and acquisitions收购人需要向受托人提交补充协议,明确说明旧债券和旧合同的条款,否则兼并与收购将会受到限制
Tax
Interest income:支付持有人的债券利息,一般按照工资相等的税率征税
Capital gain or loss: 到期之前出售债券会产生资本利得税,一般资本利得税会低于利息收入税。长期资本利得的税率更低
Original issue discount (OID) bonds: 以较比较大的折价发行,到期偿还本金,差额按照利息收入税率征税,到期时没有资本利得税
Premium bonds:溢价部分可以抵减利息支付的应税部分
Structure of bond cash flow
Principal repayment structures本金还款结构
Plain vanilla bond/bullet bonds:定期支付利息,到期支付本金
Balloon payment: the final payment includes a lump sum in addition to the final period’s interest.
Amortizing loan:定期偿付本金与利息
Fully amortizing全额摊销,本金在最后一次定期付款时全部付清,类似于房贷的等额本息还款方式)
Partially amortizing:本金有一部分剩余的没有还,在最后一期到期偿付
Sinking fund provisions:偿债基金条款规定在一定发行期内,通过一系列的付款偿还本金,降低信用风险
说明
1.最初偿债基金只是一种现金储备,用于偿还本金
2.目前更普遍的是规定一个时间点,这个时间点之前可以只偿还利息,从这个时间点开始,之后每期都必须偿还本金
3.债券发行中包含了一些赎回条款,发行人可以按照市价、票面价值或者特定的价格回购债券
优势
本金可以定期赎回
劣势
1.再投资风险加大,尤其是利率下降的时候
2.发行人有权以低于市场的价格赎回债券
Coupon payment structures票息支付结构
Floating-rate notes浮动利率债券
基础信息
reference rate一般是LIBOR或者美国国债利率
the limit coupon rate有上下限的息票率
上限(cap)
下限(floor)
同时具有上下限(collar)
Variable-rate note: Similar to a floating-rate note, except that the spread is variable rather than constant.
inverse floaters (also called reverse floaters)反向浮动利率债券,票息率与参考利率相反
When the reference rate increases, the coupon rate decreases and vice versa.
Inverse floaters with a coupon leverage greater than zero but lower than one are called deleveraged inverse floaters (0-1). Inverse floaters with a coupon leverage greater than one are called leveraged inverse floaters (>1).
Deferred coupon bonds递延息票债券/拆分票息债券:利息支付被推迟到指定的年份,零息债券就是一种递延债券。
Step-up coupon bonds递增息票债券:可以是固定利率,也可以是浮动利率,票息在规定的日期以规定的幅度增加。
New higher coupon rate>market yield of the call price call the bonds---赎回债券
An increase in bond coupon rates can be viewed as a protection against the increase in market interest rates which is due to the decrease in issuer’s credit rating.
Credit-linked coupon bonds信用连接债券
票息率以一个确定的数值,随着的信用评级的下降而上升。本金不变,coupon连接一个信用事件
Payment-in-kind coupon bonds实物支付债券
允许发行人用其他债券来支付被债券利息
Index-linked bonds指数挂钩债券
其票息支付与本金偿还与指数挂钩弥。
Inflation-linked bonds: are an example of index-linked bonds.
Zero-coupon-indexed bonds:平时不支付利息,通胀的调整仅仅通过本金偿还,比如瑞典
Index-annuity bonds:是完全摊销的一种债券,年金的增加与存续期内的通货膨胀一致,比如澳大利亚地方政府
Interest-indexed bonds:在债券到期日支付固定的名义本金,在存续期内支付与指数挂钩票息,所以通货膨胀的调整仅仅适用于利息的支付,比如澳大利亚的1980年代
Capital-indexed bonds:支付固定的票息率,在存续期内本金会随着指数的上升而增加,因此利息与本金都根据通货膨胀进行调整。
Treasury Inflation-Protected Securities (TIPS)每半年付息一次直到到期,如果到期时调整后的账面价值大于1000美元,持有人将收到调整后的票面价值作为到期付款。如果到期时调整后的账面价值小于1000美元,持有人将在到期日收到1000元,因为这是最低还款金额,不管指数是否下降,它在到期支付的金额等于或者超过其原始面值,就是所谓的保本债券。
Bond with contingency provisions(或有事项)
Callable可赎回 bond and putable可寄售 bond
callable bonds:beneficial to the issuer
basic information
可赎回债券比不可赎回债券的收益率高,价格更低,因为要吸引投资人来买入
Deferred call:延期赎回,在一个特定的时间之前是不可以赎回的
Call price:赎回价
First par call date:发行人首次按照票面价值赎回的日期
Call premium:赎回溢价是赎回价格高于面值的部分
Three styles of exercise for callable bonds
American style: can be called anytime after the first call date.
European style: can only be called on the call date specified.
Bermuda style: can be called on specified dates after the first call date, often on coupon payment dates.
特殊点说明
interest rates fall:当利率下降的时候,发行人会赎回然后以更低的价格买借新债,投资者会面临再投资风险
Make-whole call provision整体赎回债券:因为要提前赎回,那么发行人就必须付清赎回时间点与到期日之间的本金与利息,补偿给投资人。会导致赎回价值明显大于债券当前的市场价格。但是,发行人一般很少这么做,因为包含整体赎回条款的债券是十分昂贵的
Putable bonds:beneficial to the bondholders
可回售债券比不可回售债券价格高,收益率低
如果利率上升,债券持有人会把债券回售给发行人并获得现金,然后以较高的利率再投资
Convertible bond可转债
Conversion parity
At parity: Conversion value = convertible bond’s price
Above parity: conversion value > convertible bond’s price转换成股票会更加值钱,应该转换
Below parity: conversion value < convertible bond’s price 转换成股票不划算,不应该转换
Basic information
对投资人有利
Conversion price: 可转换成股票的每股价格
Conversion ratio: 每张债券可转换的普通股数量
Conversion ratio = par value / conversion price
Conversion value:如果债券现在转换成股票,可转债债券价值用当前股价乘以转换比率
Conversion value = market price of stock * conversion ratio
Conversion premium: 可转换债券价格和转换价值之间的差额,例如可转债的价格是1000元,转换价格是900元,那么转换溢价就是100元
Warrants
是一种附加期权,对投资人有利
持有人在到期日之前有权以固定的行权价格购买发行公司的相关股票,一般是股价上涨,而固定的价格较低,那么持有人就会以较低的价格买入股票
Contingent convertible bonds (“CoCos”)或有可转换债券
如果发生特定的时间,那么可以自动从债券转换成普通股
一些欧洲银行会发行COCO,比如银行必须要保持特定的股权融资水平,如果没有达到的话,债券就会自动转换成普通股,这样可以降低银行的负债,增加银行的权益,还可以帮助银行达到最低股权要求
summary
R40 Fixed-Income Markets: Issuance, Trading, and Funding
Classifications of global fixed income markets
type of issuer谁在发行
By type of issuer
Government and government-related sector
Supranational (international) organizations
Sovereign (national) governments
Non-sovereign (local) governments
Quasi-government entities
Corporate sector
Financial company
Non-financial company
Securitized sector
securitization
By credit quality
Investment grade
Baa3 or above by Moody’s Investors Service
BBB- or above by Standard & Poor’s (S&P) and Fitch Ratings
Non-investment grade/high yield
Below investment grade
By original maturity
Money market securities
Capital market securities
By coupon structure
Floating-rate bonds
Fixed-rate bonds
By currency
Domestic bonds
Foreign bonds
Eurobonds
Global bonds
By geography
Developed market
Emerging market:比旧市场的收益率要高
By other classification
Indexing
Taxable statue
Fixed-income indices固定收益指数
Barclays Capital Global Aggregate Bond Index
J.P Morgan Emerging Market Bond Index
FTSE Bond Index Series
Investors in Fixed-income Securities谁在投资
Central banks
Institutional investors
sovereign wealth funds
Retail investors
Primary and secondary market for bonds
Primary market
Public offering
Underwritten offering包销:with the investment bank or syndicate(银团,一家包不了,多家银行帮着一起) purchasing the entire issue and selling the bonds to dealers.
Best efforts offering代销
Auction:拍卖,美国国债就是拍卖的
Shelf registration注册一次连续发行
Private placement
sale of an entire issue to a qualified investor or a group of investors, which are typically large institutions
Secondary markets
Exchange market满足交易所规定
OTC Dealer Market (largest)场外市场,是dealer市场,做市商市场,赚的是买卖价差,反应市场的流动性,买卖价差大的话说明市场的流动性不好,反之亦然
Electronic Trading Network (growth)电子化的市场
Trade settlement:
Corporate bonds: third trading day after trade date (T+3).
Government bonds: the nest trading day after the trade date(T+1).
Money market securities: on the day of trade date.
funding不同的主体都会发什么类型的债
Securities issued by government-related bonds
Sovereign bonds主权政府发的债,以税收来还债。
可以以本币,也可以用外币来还债,本币的风险小于外币,因为外币需要有充足的外汇储备最为支撑
Treasury Strips零票息国库券,各种期限的零息票证
Coupon Strips,票息部分,从原始票据中剥离的票息
Principal Strips:本金部分
On-the-Run Issues新发行债券,最近发行,很活跃,流通性很好
Off-the-Run Issues未挂牌证券,被最新的给替代掉了
Non-sovereign government bonds地方政府债券,风险略高于主权债,那么收益就略高于主权债
eg. Municipal bond (in the U.S.)
还款来源
GO (general obligation)/Tax-Backed Debt:以税收最为还款来源
Revenue Bonds:一些基础设施工程的收益,相对来说风险略高,收益也就越高
Agency/quasi-government bonds准政府机构
有政府显性或者隐性的担保,所以信用评级会比较高,风险会比较低,价格会比较高
Supranational bonds国际组织发的债
有国际组织作为背书,所以信用评级会高,风险会比较低,价格会比较高一些
Types of debt issued by orporations普通公司
Bank debt: bilateral loan & syndicated loan银行贷款
Bilateral loan: involves only one bank
Syndicated loan: funded by several banks
Commercial paper商业票据:short term, unsecured, low rate
基本特征
以working capital发行的所以期限一般会比较短
short term, unsecured, low rate
可以定向发行,也就是选好了投资者直接定向发行(directly placed)
可以在二级市场交易,但是因为期限比较短,所以投资者一般会持有到期,所以在二级市场的交易并不活跃
Reissued or rolled over when it matures借新债换旧债,如果说旧债该还钱了但新债借不来,就会有违约风险
Rollover risk:因为借新还旧产生的风险
U.S commercial paper Vs. Eurocommercial paper(发行地不等于发行货币的都叫做euro bond
Medium-term notes (MTNs)中票,上架注册发行
特征
Various maturities(9 months to 100 years);
they can customize the bond issue to their needs and stipulate the amount and characteristics of the securities they want to purchase.可以一次注册多次发行,可以满足投资者的不同需求
Corporate bonds
Serial bond issue有一系列的到期日,比如当前我发了100万元的债,10万是10年到底,50万元是20年到期,40万元是30到期
Term maturity structure到期日只有一个
Short-term funding alternatives
Retail Deposits存款
Checking accounts
Saving accounts
Money market mutual funds
Short-Term Wholesale Funds批发业务
Negotiable CDs大额存单
Reserve Funds准备金账户
Interbank funds银行间拆借
Repurchase (repo) Agreement回购协议
定义(借钱的是正回购,债主是逆回购)
Repo rate与Repo margin/haircut
影响因素
总原则:风险高的时候(质量好风险低,时间长的风险高),repo rate 与margin都是比较高的,风险地的时候,两者都是比较低的
Repo rate就是B赚到的return:抵押贷款的利率:(98.5-98)/98
Repo margin/haircut: (100-98)/98
优点
Repurchase agreements are not regulated by the Federal Reserve不受监管
Collateral position of the lender in a repo is better in the event of bankruptcy of the dealer; (liquidity)质量一般比较好
Credit risk
Lender: When the price of the collateral has fallen.
Borrower: When the price of the collateral has risen
Structured financial instruments结构化的产品
Capital protected instruments可以当作一个portfolio
特征
1. 买一个0息债券 2,买一个看涨期权
tradeoff
亏的话有下限,亏掉期权费,赚的话是没有上限的
Yield enhancement instruments收益增强i产品
coupon不变,本金连接一个信用事件,一般票息率高且折价发行
例如:credit linked note (CLN),coupon不变,本金连接一个信用事件
If credit event dose not occur, the investor receives the par value of the CLN at maturity;
If credit event occurs, the investor receives the par value of the CLN minus the nominal value of the reference asset.(原有计划本金减去信用损失)
收益加强方式
offer higher coupons than otherwise similar bonds.
CLNs are usually issued at a discount
Participation instruments参与工具,参与到市场变量的变化当中去,获得的收益与市场的变量变化挂钩
例如:浮动利率债券
Leveraged instruments特指inverse floater,coupon与市场利率的变动方向是相反的
R41 Introduction to Fixed-Income Valuation(定性与定量都会考)
Bond valuation using YTM
Bond Valuation Process
Estimate the cash flows
Determinate the appropriate discount rate
Calculate the present value of the estimated cash flows
Relationships between price and Yield
一级的债券估值的总体思想是随来现金流折现求和,折现率1.用同一个折现率(YTM)2.用不同的折现率Spot rate
Yield to Maturity (YTM)
三大假设
Hold the bond until maturity;
Full, timely coupon, principal payments (no default);
Coupons are reinvested at original YTM.(coupon再投资是的利率是YTM)YTM相当于IRR
YTM的假设是非常严格的,在实际中是不太经常使用的,再投资的时候用的也是市场的收益率,实务中经常使用的收益率在利率风险中会详细讲述
计算1:已知YTM去求债券价格。使用金融计算器第五排去求现值(注意:题目默认一年折现两次,面值是1000,每年支付的利息相等,到期支付本金与最后一期利息。
计算2:求YTM,用金融计算机年金那一排求,注意我们默认PV与PMY和FV的符号相反(一般PV为负号,PMT与FV是正号),算出来的YTM是期间的,需要用单利法换算成年化的,直接乘以2/4等。
结论(一般不会直接考察)
债券价格与收益率是反向的关系
债券价格的变化是具有凸性的(convexity)收益率变化相同的幅度,价格上涨的要比下跌的幅度大(涨多跌少)
A bond will be priced at a discount (premium) to par value if coupon rate is less (more) than its YTM.
折价债券:P<Par ,Coupon rate<YTM 平价债券:P=Par ,Coupon rate=YTM 溢价债券:P>Par ,Coupon rate>YTM
Relationships between price and time
结论
随着时间的流逝,溢价债券的价值是不断下降的
随着时间的流逝,折价债券的价值是不断上涨的
计算3(一般需要保持利率不变,只看时间变化所带来的债券价值的变化)求由于时间的改变债券价格变动了多少?
例题:
解析:
Valuation with spot rates即期利率
注意事项
1.即期收益率是站在当前的时间点看未来的收益率
2.即期收益率是年化收益率,比如S3=7%,说明我现在开始投,投资三年每年的收益率是7%,其他的也可以完全照搬这个原理
3.未来的一笔现金流折现到现在用到的折现率可以作为即期收益率
4.用零息债券的YTM可以作为即期收益率
计算4. Arbitrage-Free Valuation:用不同时间点的现金流对应不同时间点的spot rate来进行折现求和,不能用金融计算器进行计算。
Flat price, accrued interest, and the full price
Accrued Interest应计利息
Clean(flat) Price不包含应计利息的价格
Full Price (or dirty price):包含了应计利息的价格(clean+accrued)
结论
1.未来现金流折现求和算的是Full price
2.报价的时候报的是clean price
计算5(先求full,再求应计利息,两个做差求出clean price)
使用金融计算器算年金的注意事项
1.等时间间隔
2.等现金流
计算步骤
1,如果时间间隔不相等,那么可以先算出来前一个付息日的full price, 2. 复利滚到交割日算出来交割日的full price 3. 应计利息用单利计算 4. 轧差求出clean price
Matrix pricing矩阵估值
结论:对于交易不活跃的债券使用矩阵估值的方法
估值方法,找到跟需要估值的债券最相近的一系列债券,排成矩阵,然后选择期限最相近的来进行估值。
Linear interpolation线性查补法,认为时间与收益率之间是线性关系
计算6:用相对估值法的思路:找到一个benchmark,一般是时间较短的,因为时间短的风险比较低。然后再加上一个spread即可算出。Y=YBbanchmark+Yt
Yield Measures
Effective annual rate(EAR)
Street convention yield:不考虑节假日的收益率
True yield:考虑节假日的收益率
Current yield当期收益率 (income or interest yield): 比如我投资了一个3年的债券,每年的利息是100元,到期归还本金。那么在第一年末我的收益率是多少?CY=收益/成本
公式:current yield=annual coupon➗price
Simple yield考虑了gain和loss的收益率。It is the sum of the coupon payments plus the straight-line amortized share of the gain or loss, divided by the flat price.
Yield to call (put)没有持有到期,所以不能使用YTM,可以用金融计算器求解
Yield to Worst:赎回收益率与到期收益率中的最低值
Option-adjusted yield:期权调整收益率,根据嵌入期权的价值调整夹着所需的市场贴现率
Yield measures for fixed income valuation
Discount yield:
Discount rate = reference rate + required margin (or discount margin):看在面值的基础上折了多少
按照一年360天进行单利年化
Add-on yield:
按照一年360天进行单利年化
按照一年365天进行单利年华
Bond equivalent yield (investment yield) for money market security: yield stated on a 365-day add-on rate basis.
难题:把discount rate与BEY放在一起考察:90天的债券,discount rate=2%,求BEY,方法1:根据公式找到F和P之间的关系,然后带入公式计算 方法2:面值取到1000,计算出P,然后代数计算
Yield measures for floating-rate notes
基本概念
Coupon rate = reference rate + quoted margin
discount rate=L+DM/RM
coupon reset date有3点内容(只有在这一天可以重置)
CR=CAP/FLOOR
inverse floater的特征
折现与估值,计算discount margin(是折现率的一部分)
第一步:金融计算器TVM求出YTM
第二步:YTM-LIBOR算出DM
Yield Curve不涉及计算
Yield curve收益率是时间之间的结构
Spot curve也叫做zero curve或者strip curve
Yield curve for coupon bonds
YTM curve
Par bond yield curve
Par curve:
Forward yield curve
用forward rate
Forward rates vs. Spot rates
Forward Rates,站在未来某个时间点看未来收益率的利率
表述:2Y1Y: 第一个Y代表开始时期,第二个Y代表期限,从第二年开始,1年期的债券
计算:知道了spot求forward,或者知道了forward求spot,殊途同归
计算:定价:思路仍但是未来现金流折现求和
Yield spread在相对估值法中Ycoupon=Ybanchmark+spread
Benchmark spread
G-spread:the benchmark is government bond yield(公司债的YTM-国债的YTM)
Zero-volatility spread (Z-spread): 公司债的spot rate-国债spot rate
Interpolated spread (I-spread): 目标的公司债收益率-swap rate
计算G-spread
第一步先求两个债券的YTM 第二步做差就是G-spread
Option-adjusted spread (OAS)剔除权利后的spread
Callable bond: ZS > OAS
Putable bond: ZS < OAS
R42 Introduction to Asset-Backed Securities 将资产证券化产品,资产不同,对应的产品就不同
Securitization
Introduction to Asset-backed Securities
Asset-backed securities资产支持证券,由贷款或者应收账款等资产池或抵押的固定收益证券为资产支持证券
Securitization证券化,将简单的债务、贷款重新包装成更复杂的结构,作为固定收益产品出售给投资人的过程就是证券化
Parties in a Securitization Transaction
Main counterparties
The seller of the collateraloriginator or depositor, e.g. Bank(一般是指的基础金融公司或者银行
The SPVissuer)bankruptcy-remote vehicle(ABS债券的发行商)
Third parties(实务中会有许多其他的第三方参与,简单了解一下即可
Servicer(if different from the seller)
Other parties:
Independent accountants, lawyers/attorneys: Prepare Legal documents
Trustee or trustee agent: safeguard the assets after placed in the trust, hold funds due to the bondholders until they are paid, provides periodic information to the bondholders.
Underwriters, Rating agencies: perform same function as they do in a standard corporate bond offering
Guarantors: guarantees part of the obligations issued by the SPV.
The Securitization Process
Securitization
Benefits of securitization
Lowers or removes the wall between ultimate investors and originating borrowers;
Securitization reduces liquidity risk in the financial system
Securitization enables innovations in investment products
Benefits of SPV in securitization: sell the loan to SPV instead of using it as collateral
bankruptcy-remote vehicle.
Securitization can have lower credit cost than a corporate bond secured by the same collateral.
Funding cost of issuing an asset-backed bond is less than that of issuing a corporate bond
Structures of Securitizations
Credit tranching信用分层,按照层级来支付利息和本金,每个层级面临的风险是不同的senior/subordinated structure
Time tranching时间分层,每个层级拿到利息和本金的时间是不一样的,就叫做时间分层
一般都会同时包含时间分层与信用分层
Foreclosure追索权
Recourse loan有追索权
比如说我借了100万元,以我的房子作为抵押,结果我还不上钱了,房子卖了60万元,还差40万元,有追索权你就可以追着我个人,把剩余的40万元还了。
Nonrecourse loan没有追索权
比如说我借了100万元,以我的房子作为抵押,结果我还不上钱了,房子卖了60万元,还差40万元,没有追索权你就不可以追着我个人,只能拿着60万元走。
Strategic default战略性违约,比如在金融危机的时候,房价跌破了贷款额度,那我直接就不要房子了,钱也不还了。
background information
Mortgage loan:抵押贷款,以特定的抵押物作为担保的贷款,要求借款人向贷款人支付预定的一系列款项。
Loan-to-value ratio(LTV): the ratio of the amount of the mortgage to the property’s purchase price.贷款价值比,房产购买的价格与抵押金额的比率
The higher the LTV, the lower the borrower’s equity, vice versa.
Lower LTV, more equity the borrower has,借款人违约的可能性越小
Interest rate determination: mortgage rate or contract rate
Fixed rate抵押期内抵押贷款利率不变
Four important features of fixed-rate, level payment, fully amortized mortgage loans
The amount of the principal payment increases as time passes;
The amount of interest decreases as time passes;
The servicing fee also declines as time passes;
The ability of the borrower to prepay results in prepayment risk.
Adjustable or variable rate:抵押贷款利率定期重置
Initial period fixed rate抵押贷款在某一初始日期固定,然后进行调整
Convertible:可以将贷款转换成固定利率或者可调整利率
Amortization schedule摊销时间表
Fully amortizing loan在抵押期间,所有本金全额摊销分期偿还,在最后一起还款中本金偿还完毕
Partially amortizing loan所有本金中有一部分不计算在分期偿还本金中,在最后一期还款中一次性偿还完毕。
Interest-only mortgage(IO),在贷款期限内只偿利息,本金在最后一期或者最后几期偿还(balloon risk)
Residential Mortgage-Backed Securities
Weighted average maturity (WAM):加权平均到期日:the weighted maturities average of all the mortgages in the pool, each weighted by the relative outstanding mortgage balance to the value of the entire pool.
Weighted average coupon (WAC):weight the mortgage rate of each mortgage loan in the pool by the percentage of the mortgage outstanding relative to the outstanding amount of all the mortgages in the pool.
Average life:is the weighted average time until both scheduled principal payments and expected prepayments are received.
Morgage-Backed Securities(MBS)以贷款作为资产进行证券化
Residential mortgage loans(RMBS以个人住房贷款为资产发行的产品)
agency MBS三大机构
基本介绍
Conforming mortgage满足三大机构各项质量要求的贷款
Non-conforming mortgage不满足三大机构质量要求的贷款
Mortgage pass-through rate:支付给投资者的利息
Mortgage rate securities:收到买房人每个月还的月供
Mortgage rate securities-Mortgage pass-through rate=servicing fees
Mortgage的假设:1.等额的PMT 2.都是以固定利率还款的,比如说市场利率下降了,那我就想借一笔便宜的钱把之前比较贵的钱还上,由此会产生prepayment的问题
Prepayment risk
三大机构会估算出来一个prepayment的情况,在估算出来一个MBS的存活期限average life,真是情况可能与这个预期不一样,这种不确定性带来的风险就叫做prepayment risk
Prepayment option (early repayment option):
Prepayment penalty mortgage
Prepayment risk
Contraction risk市场利率下降,prepayment会上升,那么MBS的存活期限会缩短
Extension risk市场利率上涨,prepayment会下降,那么MBS的存活期限会比预期的长
Prepayment rate提前偿还的速率
Prepayment rates
第一组(年化的)
conditional prepayment rate (CPR)由协会总结出来的提前偿还速率,是一个年化的速率
Public Securities Association (PSA)是一个协会
100PSA特征
200PSA,那么每个月的CPR等于0.4%,30个月后的CPR为12%,保持不变
1.每月CPR增加0.2%,那么30个月之后就是6%
2.30个月以后保持在6%不会再发生变化
第二组(每月的)有印象即可
Monthly prepayment rate(每个月真实的CPR)
Example for MPS
分类
Collateralized Mortgage Obligations (CMO)
Different types of CMOs
Sequential-pay CMO illustration
结论:通过分层,并没有把prepayment risk消除掉,只是对其进行了分层,有些层级的contraction大,有些层级的extension大。
Planned amortization class (PAC)和Support tranche结构
定义/特征:由两个部分组成,一部分是PAC,一部分是surport,其中PAC是具有稳定的现金流的,但是在实际中,由于提前还款,所以现金流做不到稳定,就必须有support结构来保证PAC现金流的稳定性。若现金流非常多,那么PAC拿走本应有的现金流,其余的全部由support吸收,如果现金流非常少,那么PAC全部或者部分拿走来满足现金流的需求,support可以不吸收或者少吸收现金流。
prepayment risk(PAC与support做对比):PAC的prepayment risk比support要小许多。
单独讨论PAC结构的Prepayment risk:1.当提前还款在一定区间的时候,达到initial collar,PAC是非常稳定的。2.当prepayment rate大于initicial的时候,现金流非常多,support本身也是一个债券,他把钱都还完了就可以下线了,那么多余的前还得由support吸收,那么还款期限会变短,会有contraction risk。3.让prepayment risk小于initial的时候,钱太少了,PAC的钱也会少,那么存活期限会变长,会有extension risk。
Others不做重点要求
mortgage pass-through securities(MPS)
Non-agency RMBS
Differences between Agency and Non-agency securities
Agency securities: CMOs are created from pools of pass-through securities.
Non-agency securities: CMOs are created from unsecuritized mortgage loans.是那些不满足三大机构要求的贷款,non-porforming
Non-agency securities have no explicit or implicit government guarantee of payment of interest and principal as agency securities have.没有政府背书风险会比较高,收益率也会比较高。
All non-agency securities are credit enhanced: external and internal.需要做信用增级
与39章的内容一摸一样,在此不赘述Non-agency RMBS require one or more credit enhancement.
internal credit enhancement
external credit enhancement
CMBS (Commercial mortgage-backed securities)以商业贷款为资产发行的证券化产品
特征
Commercial mortgages are non-recourse loans没有追索权,风险会更高
Basic CMBS Structure – Call Protection
Call protection at the structure level从结构层面降低投资人面临的信用风险
CMBS are structured to have sequential-pay tranches, by credit rating.
so the AAA rated bonds must be paid off before the AA rated bonds are, and so on.层级越高,评级越高,质量越好
层级越低,评级越差,质量越差
Call protection at the loan level从贷款的层面降低prepayment risk
Prepayment lockout锁定期,前五年不能有提前偿还
Defeasance前五年同样是锁定期,贷款公司前五年如果想要提前偿还,也是可以的,但是提前偿还的现金流不给到投资者,偿还的钱可以投资一些信用比较好的国债,过了锁定期再把提前偿还的钱还给投资者
Prepayment penalty points:直接收提前还款的罚息
Yield maintenance charges (make-whole charge):提前还款可以,但是你如果提前还了本金,那么剩余的本金减少了,利息也会少。我作为投资人,我需要你在提前还款的时候按照整体的现金流来还款,不能差我钱。
Basic CMBS Structure - Balloon Maturity Provision,比如说有一个30年的贷款,前期还的钱很少,在最后一笔还一个很大的钱,这一笔前就叫做balloon provision,如果说还不上的话,那么CMBS的存续期会变长,就会产生balloon risk,是extension risk的一种。
Analysis of CMBS securities focuses on the property and not the borrower(大致了解即可)
Debt-to-service coverage ratio各年可用于还本付息的资金与当期应还本付息金额的比值。
Loan-to-value ratio
Non-mortgage asset backed securities不以房贷作为基础资产的
1. Auto Loan ABS汽车贷款
1.现金流包含的内容
计划偿还的本金与利息
any prepayment,是比较少的,因为期限与金额也是很少的
2.可以做信用增级
internal credit enhancement
external credit enhancement
2. Credit Card Receivable ABS信用卡应收账款
特征
non-amortizing不摊销的
现金流
finance charges collected 逾期的罚息
fees信用卡年费
principal payment还本金,卡账
锁定期:锁定本金部分的现金流,在锁定期内产生的本金现金流是不支付给投资者的,过了锁定期才会正常支付给投资者
实务当中是rollover的,滚动的,因为这个月的卡账下个月可能就被还清了,所以会有锁定期,用锁定的钱去补充池子当中的资产
Collateralized debt obligations以垃圾债作为资产发行的产品
分类
collateralized loan obligations (CLOs)资产是垃圾贷款
collateralized bond obligations (CBOs);资产是垃圾债
会做信用分层
收回来的垃圾可能是固定利率,也可能是浮动利率,但是一般发出来的债都是浮动的,那么就需要做信用互换把固定的换成浮动的。
Covered Bonds非资产证券化产品,担保型的债券
Covered bonds:还款来源具有双重保障,可以用借款单位运营产生的现金流来还,也可以用抵押的bond产生的现金流来还
differences against ABS:
dual recourse—that is, to both the issuing financial institution and the
underlying asset pool.说明covered bond的还款来源是双重保障的
ABS是会做分层的,但是covered bond不会做分层
ABS的贷款池子是固定不变的,但是covered bond的池子的可以动态调整的,必须要保证最后的贷款产生的现金流是足够偿还所欠金额的
ABC最后的存续期是不确定的,而covered bond最后的还款期限是确定的
Redemption regimes
Hard-bullet covered bonds
Soft-bullet covered bonds
Conditional pass-through covered bonds
Advantages:信用风险会比较低,那么价格会比较低一些
R43 Understanding Fixed-Income Risk and Return所有的内容都是有可能考察到的
Annualized holding period return
Three sources of return:
Coupon and principal payments
Reinvestment of coupon payments
Capital gain or loss if bond is sold before maturity
考计算题的话直接用PAR减去期初购买时候的价值就可以了
如果考定性的题目的话,要注意我们不能直接去减期初的价格,需要减去的是carrying value(账面价格),因为这个值是考虑了折旧与摊销的
必须会计算年华持有期收益率,Annualized holding period return与realized return是一回事(分三步走)
画出时间图
第一步:站在0时间点算出来债券的价格,要注意I/Y用的一定是当前的利率,金融计算器计算得出P0
第二步:站在我要出售债券的那个时间点,从现金流的角度算一下当前的债券值多少钱,先把coupon单独拿出来,计算FV,这个FV就同时包含coupon和coupon再投资收益。随后把par value通过未来现金流折现法算出来t时间点的债券本金的价格,此时计算也要用当前的I/Y,两者相加得到的就是Pt
第三步:P0*(1+R)t次方=TR,由此推算出来r
Interest rate risk又叫做duration
Duration
definition:
Duration:the price sensitivity to interest rate changes. More sensitive, more possible price volatility衡量收益率变动一个单位,债券价格变动多少
定义式:
Interpreting duration
Duration is the approximate percentage change in price of 1% change in yield. 衡量利率风险,也就是Mod. D
Duration is a weighted average of time (in years) until cash flow will be received. 是一个平均还款期,也就是Mac. D
Duration is the slope of the price-yield curve at the bond’s current YTM.债券价格对收益率曲线的一阶导数first derivative,也就是dollar duration。二阶导求出来的就是凸性convexity
duration影响因素,其实就是比大小
Longer maturity, higher duration;正相关maturity effect
随之逐渐到期,duration会呈现出锯齿状的降低曲线
Lower coupon, higher duration;coupon effect
Lower market yield, higher duration;
Bond with embedded option (callable bond & putable bond) has lower duration.含权债券会使得平均还款期变短,那么duration会比较小
负相关
基础说明(最后想要的探寻的是利率的变化到底对债券价格的影响是多少)
coupon:本身是不会变化的,因为是由coupon rate决定的
coupon reinvestment:是会随着利率发生变化的(coupon interest risk)
par/sales:因为用的是当前的市场利率,所以是会发生变化的(market price risk)
狭义的duration
广义的duration
计算与公式(Yc=Yt+Spread)一定会考的
Yield duration (当债券本身的spread发生了改变)
Macaulay Duration我借出去的钱什么时候能收回来,平均还款期,以现金流的现值计算权重
第一步:求出每个时间点的现值
第二步:用每一笔现金流除以所有现金流现值之和算出权重(其实分母就是债券的价格)
第三步:用权重乘以对应的时间,再求和
不能衡量含权债券
概要
MD (Modified duration)衡量利率风险{MD与利率风险没有搭上,所以引入MD}
不能衡量含权债券
Approximate modified duration可以衡量含权债券
结论
1.含权的只能用AMD或者Effective duration
2.公式
由于债券本身的变化引起的
curve duration(benchmark 发生了改变)
Effective duration可以衡量含权债券
结论
1.含权的只能用AMD或者Effective duration
2.公式
benchmark的变化引起的,通常是指的国债
Money duration/dollar duration当收益率变动一个单位,债券价格变动多少刀
公式:Money duration=annual MD * full price of bond
Money duration expressed as money duration per 100 of bond par value 每100元的par value的duration是多少
公式:Money duration per 100 units of par value= annual MD * full price of bond per 100 of par
Price value of a basis point (PVBP):收益率变动1bp,债券价格变动多少刀
公式:
公式:
Portfolio duration
1.计算:
这里的W指的是单个资产在组合中的权重
2.limitation:只能衡量收益率曲线平行移动,每个时间点上面收益率的变化幅度都是一样的
如果收益率曲线的形状都发生了改变,那么就叫做shaping risk/Yield curve risk
Key rate duration/partial duration:加入第五时间点收益率变了1%,其他时间点收益率保持不变,如果KRD5=3,那么整体组合value变动的百分比就是3%
Convexity 涨多跌少
定义:Convexity is a measure of the curvature of the price-yield curve. 涨多跌少
计算
approximate convexity债券本身的变动
Effective Convexity由于benchmark的变动引起的
duration与convexity结合在一起看对债券价格的影响
duration是一条直线,并不是真实的,与convexity之间总是有一段距离,那么就需要计算出来这段距离是多少。
公式:
代数的时候需要注意MD之前是-号,如果收益率下降了,那么Δy的符号也应是-
含权债券的凸性
callable
putable
duration gap(什么时候coupon RI risk和market price risk可以相互抵消) 当市场利率发生变化的时候,利率上升,在投资收益增加,债券价格下降,两者变化方向相反。
公式:Duration gap = Mac. D – investment horizon,考试的时候要注意持有期限就是investment horizon,然后需要计算Mac. D
分析
duration gap=0
两种风险相互抵消offset
duration gap<0
Negative gap exposes the investor to reinvestment risk from decreasing interest rates.再投资风险会比较大,在投资风险更大,利率上涨,在投资风险下降,在投资收益上升,对投资者是好的,反之则对投资者不好
duration gap>0
MD比较大,说明市场价格风险大
Positive gap exposes the investor to market price risk from increasing interest rates.说明市场价格风险更大,利率下降,价格上升,对于投资者是比较好的,利率上升,价格下降,对于投资者是不好的,投资者可能有亏损
Empirical Duration and Analytical duration
Analytical duration:通过MD,等等计算得到的就是分析duration(假设yield与curve是互相独立的,一个变的时候,另一个不发生改变
Empirical duration根据实际当中历史数据的到的duration就是经验duration
概要
For a government bond,因为只有benchmark的风险,这时候analytical与empirical的计算结果是很相近的
corporation bond:在市场有压力的时候国债的利率会下降For high-yield bond,人们一般回去买国债,因为避险。那国债价格上涨,收益率下降。公司债的收益率会上涨因为需要更多的风险补偿。此时empirical与analytic可能不相等。
Relationships Between Price and Yield
Inverse effect
Coupon effect:
Maturity effect
Convexity effect
R44 Fundamentals of Credit Analysis(考的是定性的)
Credit risk
Default risk3违约风险,需要考虑default probability,违约概率,以前有过违约的,现在违约的可能性就会比较大。
loss given default:100万元的债券违约了,把资产卖了60万元,这60万元就是recovery rate
recovery rate:100万元的债券违约了,把资产卖了60万元,这60万元就是recovery rate
两者相加等于1
Expected loss = Default probability * Loss severity given default(二级会重点介绍)
Capital Structure:
Seniority Ranking求偿顺序 在破产清算的时候,为了能让流程走下去,会象征性的给次级贷款一些偿付,并不严格按照rating来
1.lien,有mortgage的是最先偿还的
2.有抵押的贷款优于无抵押的
3.senior的优于junior优于subordinate
Pari Passu:同一级别的债券,按照债券的比例来偿还
credit rating
investment grade
Moody评级Baa3及以上
S&P and Fitch 评级BBB及以上
non-investment rating
Moody评级Baa3以下
Issuer credit rating给公司评级,一般指的是一个公司只靠自己,unsecured,能发行的质量最好的债。
Issue ratings:债的评级,在不做任何信用增级的情况下,债的评级不能超过公司的最优评级。
Notching:公司债的评级可能和公司的评级是不一样的,质量差的公司更有可能出现notching
Cross default provisions:交叉违约条款,比如说A发行了两个债券,其中一个到期违约了,那么另外一个就算是没有到期,也可以现在去求偿。
Structural subordination子母公司,子公司的信用评级会比母公司好。因为子公司的还款来源更加明确一点
Risks in relying on agency ratings(不能过度依赖信用评级):
1.动态的,评级可能会发生改变
2.信用评级机构可能是不值得信赖的
3.事件性的问题是很难预料的,比如说三聚氰胺奶粉
4.信用评级是滞后于市场改变的,一般是已经变差了才去调整评级
The 4Cs of credit analysis
Capacity refers to the ability of the borrower to make its debt payments on time.(基本面分析的内容)
1.Industry analysis
2. Industry fundamentals
3. Company fundamentals
4. Comments on issuer’s liquidity
Collateral refers to the quality and value of the assets supporting the issuer’s indebtedness.(指的是站在全公司的角度看资产的评估)
Intangible assets
Patents are considered high-quality intangible assets because they can be more easily sold to generate cash flows as compared to other intangibles.
Goodwill is not considered a high-quality intangible asset and is usually written down when the company performance is poor.
Depreciation
High depreciation expense relative to capital expenditures may signal that management is not investing sufficiently in the company.
The quality of the company's assets may be poor, which may lead to reduced operating cash flow and potentially high loss severity.
Equity market capitalization
A stock that trades below book value may indicate that company assets are of low quality.
Human and intellectual capital
These are difficult to value, but a company may have intellectual property that can serve as collateral.
Covenants are the terms and conditions of lending agreements that the issuer must comply with.肯定条款于否定条款
Affirmative covenants: obligated to do.
Negative covenants: limited in doing.
Character refers to the quality of management.看公司是否靠谱,管理层人品好不好
Yield and spread,重点掌握yield spread的影响因素
Yield on corporate bond (for a given maturity) = real interest rate + expected inflation rate + liquidity premium + credit spread + tax impact
Credit cycle等同于经济周期
Economic conditions
Financial performance of the issuer.
宏观环境变好的话,信用周期也好,大家的利率都不好,spread就比较小,在低谷的时候spread会变大
Broker-dealer capital:dealer手中的资金很大的话,交易活跃,流动性好,spread会变窄
General market demand and supply公司债的需求高的话,收益率下降,spread收窄
微观角度
Credit analysis of different bonds第一章节介绍过
high yield bond
sovereign bond
municipal bond市政债券
LIBOR(伦敦银行同业拆解利率)
1.每天公布,有多种货币,不同的到期日
2.没有单一的LIBOR,一般都是一套设定好的利率,比如30天美元LIBOR,90天法郎LIBOR
3.也被作为其他债务工具的参考利率,比如抵押贷款利率等。
4.在coupon reset date说的是在下一个票息日支付的利息
5.新的一年期利率决定明年年底的利率
6.LIBOR的利率必须与债券票面利率重置的频率想匹配