Study session 7 2018/08/07

Understanding Income statements

 

Revenues-expenses=net income

可以将income statement和other comprehensive income结合起来形成一个 comprehensive income statement。也可以单独的分成两个部分。

 

  • Describe the components of the income statement and alternative presentation formats of that statement.

Net revenue=revenue- adjustment for estimated returns and allownances

Expense有两种处理方法:1、根据其实质(nature)[e.g.]把折旧根据其实质归结到一起

2、根据其功能(function)[e.g.]把所有制造成本归结到一起

Gains & losses它可以是与日常生意活动相关也可以是无关的。

Net income=revenue- ordinary expenses+ other income- other expense+ gain- losses

  • 注意在计算net income的时候,要扣除掉minority interest或者是noncontrolling interest

 

Gross profit=revenue-cost of goods sold

Operating profit=gross profit- selling, operating expenses –depreciation expense

Net income=operating profit- financing expense(interest expense)- tax

  • Interest expense对于金融公司而言是operating income

 

  • Describe general principles of revenue recognition and accrual accounting.

Accrual accounting 使得收入和费用的辨识不同于现金的收付。

如果已经收到了现金而没有提供服务,就属于unearned revenue的范畴,属于负债。

 

特殊的确认收益

Long-term contract

1、对于包含了服务或者是提供牌照的业务,应该是在合同期限内平摊

2、对于能够预测结果的,按照percentage-of-completion来进行

3、对于无法预测结果的,按照the-completeted contract method来进行

IFRS:费用是按照实际发生记录,收入是按照费用发生的额度计算的P45

GAAP:费用和收益都是在完成时计算

根据对比,完工百分比法更加的激进

 

Installment sales(分期付款)

Under GAAP:

        1、对于能够准确预测未来收入的,在交易成功时就记录

2、对于无法准确预测未来收入的,用installment sales method或者cost recovery method

Installment sales method:是按照成本的比例进行计算

Cost recovery method:是先按照成本计算,成本补齐其余计入收益

Under IFRS:

最开始记录的收益是按照discounted present value来计算,之后多余的收入计入interest

Barter transaction(以物易物):

      GAAP要求只有在类似历史交易时才能确认BarterTransaction的Fair Value,确认的根据是历史交易

IFRS要求根据相似,与不相关第三方的非物物交换(Nonbarter Transaction)的金额确认Fair Value。

 

Gross and net reporting of revenue

Gross reporting就是指罗列Sales以及Cost of goods sold

Net reporting是指罗列Sales以及Cost of goods sold的差价部分

 

  • Describe the key aspects of the converged accounting standards for revenue recognition issue by the IASB and FASB in May 2014.

这是一个principles-based approach

其中合同当中,IFRS和GAAP对于probable的定义是不相同的

 

  • Describe general principles of expense recognition and accrual accounting.

Expense recognition 遵循的是mataching principle(产生的收益与成本是同期的)

Period cost是期间费用,计算的是在一段时间内发生的费用。

 

Inventory Expense recognition

1、Specific identification method 针对的是一一对应的方法

2、FIFO

3、LIFO(可以达到减税的作用,用最近的采购物,成本上升)

4、WAC(weighted average cost)平均计算成本

  • 其中FILO是不被IFRS允许的

 

Depreciation expense recognition

1、Straightline recognition(直线折旧法)

在前期会导致Net income虚增,后期会导致其虚减

2、Accelerated recognition(加速折旧法)

在前期折旧比较多

The declining balance method是加速折旧法中常见的,其中有Double-declining method最常见

对于直线折旧法,它的折旧率是1/useful life,而双倍则是2/useful life

同时DD在剩余价值到达residual value的时候就会停止再用该方法,可能会转用straight line recognition

 

Amortization expense recognition

1、如果有明确期限的,就用折旧

2、如果没有明确的期限,需要每年做impairment

 

Bad debt expense and warranty expense recognition

它在出售的当期就应该记录坏账准备和保险费用

 

  • Describe the financial reporting treatment and analysis of non-recurring items.

Non-recurring items非经常性项目

Discontinued operations(税后)

        它和原来的公司业务都是分割开的,并且是不再继续的。

The measurement date是指决定放弃使用的决定日

The phaseout period 是指在决定日和卖掉的日期之间的该段时间

可以预期损失,而获利必须要等出售之后才能确认

它要从未来现金流的预期中被去除

Unusual or infrequent items(税前)

        属于是continuing operations

会影响到公司的net income

Extraordinary items

        GAAP会要求在net income之后罗列特殊事项

现在GAAP,IFRS都没有此类的要求

 

Changes in accounting policy 会计政策的变化

A change in accounting principle

        对于这种,需要做retrospective application(即在本期对以前期数的变化做出调整)

A change in accounting estimate

        不需要做之前的更正,只要本期发生更改即可

它通常不会影响到现金流量

Prior-period adjustment

        之前几期如果出现错误,就需要在本期对前几期进行调整

 

  • Distinguish between the operating and non-operating components of the income statement.

对于non-financing firms:investment income和financing expenses都是non-operating

而这些对于financing firms都是operating

 

  • Describe how EPS is calculated.
  • Distinguish between dilutive and antidilutive securities and describe the implications of each for EPS calculation.

EPS are only calculated for shares of common stock

A simple capital structure是指只有普通股,而没有其他的dilutive securities存在的

A complex capital structure 就是有potential dilutive securities存在

需要计算basic以及diluted EPS

Basic EPS

    计算公式:(net income-preferred dividends)/ average common stock

Stock dividend向之前的股东按照持股比例派发额外的股票

Stock split 将原来的股票进行分割,2-for-1是指把一份股票变两份,3-for-2是把三份变两份

  • 它们都会导致股票总额增加但是持股比例不变。
  • 注意计算 P59

 

Diluted EPS

Dilutive securities是指股票期权、warrants、可转换债券、可转换优先股,它们的行使会使得股权被稀释

Antidilutive securities 是指这些东西的行使会使得EPS增加

计算当中需要注意:

1、the convertible preferred dividends/ the bond`s after-tax interest expense需要加回到分子当中去,如果它们被转换的话。

2、如果是stock options and warrants,用treasury stock method来解决问题

 

  • Convert income statements to common-size income statement

Common-size income statement:是指将每一项都按照revenue的百分比计算

The effective tax rate:是指将其中的tax expense用pretax income来计算

 

  • Evaluate a company`s financial performance using common-size income statement and financial ratio based on the income statement.

Gross-profit margin=gross profit/ revenue可以通过加价或者减少生产成本

Net-profit margin=net income/revenue

 

  • Describe,calculate,and interpret comprehensive income.

Comprehensive income= net income+other comprehensive income

OCI包括了以下内容:

1、Foreign currency exchange gain or losses

2、Adjustment for minimum pension liability

3、Cash flow hedge derivatives 的获益与损失

4、可供出售债券的获益与损失

Study session 6 2018/8/6

Financial statement analysis: An introduction

 

  • Describe the role of financial reporting and financial statement analysis.

The role of financial statement analysis: to use financial information to make economic decisions,得到该公司现在和未来产生现金流的能力。

 

  • Describe the role of the statement of financial position, the statement of comprehensive income, statement of changes in equity and statement of cash flows in evaluating a company`s performance and financial position.

The balance sheet 反映的是公司当时的financial position,包括了asset, liability以及owner`s equity.

Asset=liability+ owner`s equity

The statement of comprehensive income反映的是公司股权除了发行股票、回购股票和发行新股以外的变化。

The income statement 反映的是公司的经营状况,它包括了revenues, expenses, gains and losses.

The income statement+other comprehensive income=The statement of comprehensive income

The statement of changes in equity反映股权投资者投资的变化数量以及来源

The statement of cash flow反映的是公司的现金的收入与付出,包括了operating cash flow, investing cash flow and financing cash flow(包括了发放与偿还债券,给股东发放的股利)

 

  • Describe the importance of financial statement notes and supplementary information- including disclosures of accounting policies, methods and estimates-and management`s commentary.

Financial statement notes 是指能够提供经营额外信息的备注。

Management`s commentary(MD&A它包括了经营的实质、经营的目标、过去的表现,会计的方法,经营的关键关系、来源与风险。注意MD&A有些不经过审计。

 

  • Describe the objective of audits of financial statements, the types of audit reports and the importance of effective internal control.

Audit is an independent review of the entity`s financial statement.

它的目的是provide an opinion on the reliability and fairness of the financial statement.

Accountant是受雇于board of director

审计的意见种类

        Standard auditor`s opinion标准意见,包括了独立履行职责等要素。

An unqualified opinion(a clean opinion)无保留意见:会计师认为公司没有显著的错误

A qualified opinion 保留意见:会计师对于不符合会计标准的exceptions进行罗列

An adverse opinion 反对意见:会计师认为其中有违反会计标准的地方

A disclaimer of opinion 无法表示意见:会计师无法表示确切的意见

When a company has a material loss probably, 会计会加上explanatory paragraph,但是无法准确预测。它是基于going concern assumption

Internal control 保障公司提供正确的信息,这是管理层的责任,对于上市交易的公司,会计师必须对它的内部控制提出意见。

 

  • Describe information sources that analysts use in financial statement analysis besides annual financial statements and supplementary information.

半年报和季报、以及SEC规定的重大事项。

Proxy statement(代理委托书)在重大事项中会发放给股东,例如董事会的选举、补偿、管理层的资质等

Corporate reports and press release通常由管理层撰写,视为public relations or sales materials.

Earnings guidance业绩预告,在业绩预告发布之后,高级管理层会召开新闻发布会

此外还要关注整体的经济、行业以及竞争对手。

 

Study session 6 2018/8/6

Financial Reporting Mechanics

 

  • Describe how business activities are classified for financial reporting purpose.

被划分为 operating, financing and investing activities.

不同企业的分类是不同的。

对于回收贷款所收到的资金,对于制造业企业而言是investing activity,对于银行而言是operating activity。

  • Explain the relationship of financial statement elements and accounts and classify accounts into the financial statement elements.

Financial statement elements是属于比较笼统的称呼,包括了资产、负债、所有者权益、收益和费用等

Accounts则是其下面的科目,用来记录每笔不同的交易,通常成对搭配出现。

Contra account是某些资产的备抵账户,用来抵减某些资产账户

 

Assets包括了:

Accounts Receivable有allowance for bad debt expense

Investment in affiliate对联营企业的投资

Intangible Assets 有accumulated amortization

Liabilities

Owner`s equity包括了:

Capital 股本、Additional paid-in capital(资本公积)、Retained Earnings、Other Comprehensive income(包括了货币兑换的损益、最少最低退休金负债以及投资未实现的收益或损失)

Revenue:

Gains,sales以及investment income

Expenses:

COGS, Selling, general and administrative expenses, Depreciation and amortization, Tax expense, interest expense, Losses.

 

  • Explain the accounting equation in its basic and expanded forms.

Asset= Liability+Owner`s equity

=Liability+Contributed capital+ending retained earnings

=Liability+Contributed capital+beginning retained earnings+revnue-expense-dividends

 

  • Describe the process of recording business transactions using an accounting system based on the accounting equation.

需要用到double-entry accounting

 

  • Describe the needs for accruals and valuation adjustment in preparing financial statements.

Accrual accounting要求在获益的时候计收益,在花费的时候计费用。而不是以现金的变化为标准的。

包括了unearned revenue:它提前收到了现金,但是没有提供服务,属于是负债的一类。

Accrued revenue:是指在它收到现金之前就提供了服务,Revenue增加,AR增加

Prepaid expenses:是一种资产,提前支付了费用

Accrued expenses:是一种负债,应该支付而没有支付的费用

对于unearned revenue以及prepaid expense是现金交易在前,而Revenue以及expense的交易发生在后。

Valuation adjustment 资产的价格需要从historical cost变为market value,这当中的调整涉及到的是owner`s equity,通过statement of income或者other comprehensive income

 

  • Describe the relationships between the income statement, balance sheet, statement of cash flows and statements of owner`s equity.

The income statement 的net income-dividends declare=The retained earning in the balance sheet

The total cash flow=The balance sheet的cash变化

The change in owner`s equity包括了retained earning以及股本等的变化

 

  • Describe the flow of information in an accounting system.

先是journal entries, 通过general entries对每一笔交易进行入账

再是general ledger(总分类账),对general entries按照账户类型进行分类

Initial trail balance 是初步的试算平衡表,根据调整变成adjusted trail balance

最后adjusted trail balance会呈现在会计报表中

 

  • Describe the use of the results of the accounting process in security analysis.

通过MD&A以及footnote了解详细资料,并且进行调整。

防止出现管理层操纵报表的可能性。

 

Study session 6 2018/8/6

Financial Reporting Standards

 

  • Describe the objective of financial statements and the importance of financial reporting standards in security analysis and valuation.

IASB conceptual framework被用来发展标准。

Financial reporting standards are used to provide consistency by narrowing the range of acceptable responses.

虽然标准不是完全为了估值准备,但是它也为估值提供了数据。

 

  • Describe roles and desirable attributes of financial reporting standard setting bodies and regulatory authorities in establishing and enforcing reporting standards, and describe the role of IOSC

Standard setting bodies 是指设置会计标准的主体。

两大主要的标准设置者为IASB以及FASB

FASB主要是设置美国国内的会计标准(GAAP)

IASB主要是设置全球范围内的会计标准(IFRS),有些以前的条款被称为IAS

Regulatory authorities 是指有能力要求其按会计标准进行执行的企业。

是由政府设立的,有公信力的。

美国的SEC,英国的Financial Conduct Authority等

大部分的机构是属于IOSCO

它的信息公开要求

S1 Registration statement

10-K Annual filing

10-Q Quarterly filing

DEF-14A Proxy statement

8-K disclosure of material events

144 私募发行债券

4,5,6 内部人持有和买卖情况

 

  • Describe the status of global convergence of accounting standards and ongoing barriers to developing universally accepted set of financial reporting standard.

越来越多的国家标准向IFRS靠近,欧盟已经采用了IFRS标准。

障碍主要是标准的制定者与监管部门对于会计科目的最优处理持不同的意见。

 

  • Describe the IASB`s conceptual framework, including the objective and qualitative characteristics of financial statements, required reporting elements and constraints and assumptions in preparing financial statements.

目标:

providing financial information that is useful in making decisions about providing resources to the entity.

Qualitative characteristics

Relevance & Faithful representation

另外还有comparability, verifiability, timeliness and understandability

Required reporting elements

Assets, liability, equity, income and expenses

Measurement base: historical cost, amortized cost(扣除了折旧), current cost, net realizable cost, present value, fair value.

Constraints and Assumptions

1、there is trade-off in the enhancing characteristics.

2、cannot be captured directly in financial statements.

Assumptions: accrual accounting and going concerning

 

  • Describe general requirements for financial statements under IFRS.

需要包括的内容:

Balance sheet, statement of comprehensive income, cash flow statement, statement of changes in owners` equity, explanatory notes

基本的特征:

Fair representation, going concerning basis, accrual basis, consistency, materiality, aggregation, no offsetting, reporting frequency, comparative information

它的结构:

A classified balance sheet, minimum information, comparative information

 

  • Compare key concepts under IFRS and GAAP.

1、IFRS:include income and expenses

GAAP: include revenue, expenses, gains, losses, and comprehensive income

2、IFRS:资产是未来收入的可能来源

GAAP:资产是未来的收入

3、GAAP:不允许大部分资产向上的增值

 

  • Identity characteristics of a coherent financial reporting framework and the barriers to creating such a framework

特征:transparent,comprehensiveness,consistency

障碍: valuation, standard setting, measurement

 

  • Analyze company disclosures of significant accounting policies.

 

  • CFA Study Session 5 2018/8/2

Currency exchange rates

 

  • Define an exchange rate and distinguish between nominal and real exchange rates and spot and forward exchange rate.

Exchange rate

Foreign currency quotation: $1.416/Euro 其中欧元就是base currency 而美元就是 price currency

$1.416/Euro就是nominal exchange rate

Real exchange rate:就是随着时间的推移,两国物价水平变化所产生的利率变化

Real exchange rate=nominal exchange rate*(CPI base currency/CPI price currency)

Real exchange rate=nominal exchange rate/( CPI price currency / CPI base currency)

The country with a lower inflation rate will see its real cost of foreign goods increase. Unless the appreciation will offset the inflation differences.

如果说A/B的实际利率增加了,那么A国家的商品对于B国家而言更加便宜了,而B国家的商品对于A国家而言更加贵了。

Spot exchange rate:就是指能够立刻交付的汇率,一般是交易发生两天之后的价格。

Forward exchange rate:就是约定在未来以某一价格交割的汇率。

 

  • Describe functions and participants in the foreign exchange market.

Functions

1、公司与个人进行货币互换的需求

2、capital flow的需求,需要投资或持有另一个国家的资产

公司通过签订forward currency contract,能够减少暴露的风险(hedging its risk),而另一部分外汇市场的参与者则是(Speculative transactions),希望通过承担风险获得更高的收益。

Participants

市场的主要参与者包括了:

1、大的跨国银行(sell side

2、企业、Investment account(分为real money account不能用衍生工具、以及leveraged account能够使用衍生工具的)、Government和Government entities(例如:sovereign wealth funds)、retail market

 

  • Calculate and interpret the percentage change in a currency relative to another currency.

例如欧元兑美元的汇率从$1.42/Euro变到了$1.39/Euro,那么就说Euro has depreciated 2.11% relative to USD.同理可以得到0.7194EUR/USD变成了0.7042EUR/USD,升值了2.16%

欧元的贬值幅度与美元的升值幅度是不一样的。只能计算base currency的变化。

 

  • Calculate and interpret currency cross-rate(交叉汇率).

指通过两个货币对第三国货币的汇率计算出两种货币之间的相对汇率。

 

  • Convert forward quotations expressed on a points basis or in percentage terms into an outright forward quotation.

[e.g.]现在的汇率是2.3481,远期汇率比即期汇率涨了18.3points,就是上涨了0.00183

远期汇率下降了-0.062%,就是2.3481*(1-0.00062)

  • Explain the arbitrage relationship between spot rates, forward rates, and interest rates.

公式:f/s=(1+iprice)/(1+ibase)

 

  • Calculate and interpret a forward discount or premium.

The forward discount or forward premium 就是远期汇率与即期汇率之间的百分比差额。

如果是premium,则base currency会升值,反之亦然。

 

  • Calculate and interpret the forward rate consistent with the spot rate and the interest rate in each currency.

The currency with higher interest rate will depreciate with almost the same amount as the difference in the interest rate.

 

  • Explain exchange rate regime.

对于没有本国货币的国家:

1、对于使用其他国家货币的国家而言,它们不能够施行货币政策

2、对于在monetary union的国家而言,他们使用共同的货币政策。

对于有本国货币的国家:

1、A currency board arrangement就是对于一个货币而言,它跟外国货币保持固定的汇率。

2、conventional fixed peg arrangement就是指一个货币将其与外国货币的汇率保持在某一个范围内,通常±1%。通过direct intervention(就是在外汇市场上买卖货币),或者是indirect intervention来达到目的。

3、Pegged exchange rate within horizontal bands or target zone 就是汇率浮动的范围更加广,然后使用政策的自由范围更多。

4、Crawling peg就是汇率是阶段性的调整的,包括了negative crawling peg(由于通货膨胀而带来的变化),以及positive crawling peg是指含有政策目标的汇率调整。

5、Management of exchange rates within crawling bands是在固定汇率政策与浮动汇率政策之间的政策,如果央行的credibility很高,那么波动的范围就更大。

6、Managed floating exchange rate央行会干预以达到某些特定的政策目标。

7、Independent floating exchange rate就是指完全自由的汇率

 

  • Explain the effects of exchange rates on countries` international trade and capital flow.

The elasticities approach就是指考察汇率变化对进出口的影响,同时由于贸易账户与资本账户相互影响,也可以通过考察资本账户变化来分析影响。

The absorption approach就指考察汇率变化对资本账户的影响,

X-M=(private savings-investment in physical capital)+(tax revenue- government spending)

 

The elasticities approach

假设一个国家有贸易逆差,那么贬值会减少贸易逆差,那么减少的程度将受到the elasticity of demand for export goods and import goods的影响。

Marshall Lerner Condition:出口占总贸易比重*出口产品对价格的敏感度+进口占总贸易比重*(进口产品对价格的敏感程度-1)>0

如果说贸易的主要组成产品都是弹性的,那么贬值的影响将会很显著。

The J curve短期内汇率的变化会带来出口数量按外币计算的减少,贸易逆差加重,而之后长期就会出现Marshall-Lerner Condition。

 

The absorption approach

BT=Y-E balance of trade=national income-total expenditure

货币贬值带来的贸易逆差减少必须是以income相对于消费增长为前提的或者是national saving increase relative to investment

当本国经济处于非完全就业状态,则货币贬值使得本国的商品更加有竞争力,需求更高,收入更高,由于收入的部分会被作为储蓄,因此收入增加大于消费增加。

  • CFA Study Session 5 2018/8/1

International trade and capital flow

 

  • Compare GDP and GNP

GDP是在一个国家的国境线以内生产的。

GNP是由一个国家的国民所生产出来的。

  • The income to capital owned by foreigners invested within a country is included in the domestic country`s GDP not GNP.

 

  • Describe benefits and costs of international trade.

Benefits:

对于进口国家而言,更低的商品价格。对于出口国家而言,更多的就业,更高的工资以及其出口产品的收益。

Costs

对于进口国家处于进口产品产业的工人,需要经过再培训参与其它行业的发展。

总体而言,利大于弊。

 

  • Distinguish between comparative advantages and absolute advantages.

Absolute advantages 就是指能够以更低的成本生产产品。

Comparative advantages 就是指有更低的opportunity cost的生产产品。

[e.g.]

  Yards of cloth Bottles of wine
Portugal 100 110
England 90 80

葡萄牙在两者的生产中都有绝对的优势。

  Opportunity cost cloth Opportunity cost wine
Portugal 1.1 0.91
England 0.89 1.125

但是在cloth的生产当中,葡萄牙更有相对优势。

而在wine的生产当中,英国更加有相对优势。

Possible Production Frontier (见P139):随着产量的上升,机会成本也会不断的上升。

 

  • Compare the Ricardian and Heckscher-Ohlin models of trade and the sources of comparative advantage in each model.

Ricardian model: 影响产出的唯一变量就是劳动力,机会成本主要是因为不同的技术所造成的。

Heckscer-Ohlin Model影响产出的包括了资本和劳动力,机会成本的差异是由于国家所拥有的资本和劳动力的比例不同。Capital intensive的国家在capital intensive的商品上具有相对优势。

在这种情况下,该国家多生产的产品所用的资源价格就会上涨。

 

  • Compare types of trade and capital restrictions and their economic restrictions.

产生限制的原因:

1、Infant industry 帮助这些婴儿产业成长到足够的规模。

2、National Security 在国家与国家发生冲突的情况下,产品的供给与国家的安全依然能够得到保障。

其它没有什么根据的原因:

1、Protection of domestic jobs 贸易会催生新的岗位,同时消费的价格也更低。

2、Protecting domestic industry 保护地方产业通常是它们利用政治手段排挤贸易,消费者需要为此支付更高的价格。

限制的手段主要包括:

Tariff; Quotas; Export subsidies; Minimum domestic volume and voluntary export restraint

 

Economic effects of Trade restrictions

Tariff

导致进口商品的价格上升,需求量下降,本国需求量上升。

对于出口商利益受损,本国厂商获利,政府获得关税部分的利益。

Quota

限制了进口商品的数量,本国厂商获利,但是本国消费者支付的价格上涨,利益受损。

如果政府通过销售import license的方式,则政府从中获利。

A voluntary export restraint

它会对于进口国家的利益造成损失,是没有花钱的quota rents的部分

Export subsidies

对于出口商获利,但是本国该产品的价格上涨,consumer surplus减少。

总结而言:进口减少,价格上升,消费者剩余减少,本国厂商供给增加,生产者剩余增加。

除了对于部分大国,增加税收会增加国家的福利。其余都是减少其获利。

 

Capital restriction

It is to decrease social welfare.

但是对于发展中国家而言,可以避免短期的因为形势好而大量流入的资金与因为recession而大量流出的资金。

 

  • Explain motivations for and advantages of trading blocs, common markets and market unions.

各种贸易协定的主要目的就是减少不同国家之间的贸易壁垒。

部分贸易协定会增加对于non-member countries的限制。

三种贸易协定(trading blocs, regional trading agreements)

Free trade areas:没有任何的限制

Custom union(关税同盟):对于同盟成员不征收关税,对于非同盟会征收。

Common Market:除了关税同盟以外,劳动力的流动与资本商品的流动都是自由的。

Economic Union:除了上述要求之外,还设置了共同的经济部门和立法。

Monetary Union:除了上述要求之外,还设置了统一的货币

 

  • Describe common objectives of capital restrictions imposed by government.

1、Reduce volatility of domestic asset prices.在经济危机时候,资本的外逃会使得资产价格暴跌。

2、Maintain fixed exchange rate.降低资本流动,能够使用财政政策与货币政策来实现经济目标。

3、Keep domestic interest rate low. 限制投资资本的外流,就能够阻止资本去别的国家寻找更高的利率回报,使得央行能够保持低利率。

4、Protect strategic industry. 对于部分行业:例如通讯以及国防等行业限制投资。

 

  • Describe the balance of payments accounts including their components.

Balance of payment:

Current account (the flow of goods and services)

Merchandise and services; Income receipts(分红以及利息);Unilateral transfer(单方传输)

Capital account(capital transfer and the acquisition and disposal of non-produced, non-financial assets)

Capital transfer; Sales and purchases of non-financial assets

Financial account (investment flows)

Government-owned assets abroad

Foreign-owned assets in the country

经常账户的赤字需要资本账户的盈余来弥补(例如:变卖海外资产等)

 

  • Explain how decisions by consumers, firms and governments affect the BOP

X-M=Savings (private+ public)-Investment

如果说投资时需要对外借款,则说明X<M,有trade deficit.

低的个人储蓄,高的公共开支以及投资都会增加贸易赤字。

同时在这里要对于贸易赤字是由低储蓄或者高投资做出区分。

如果是低储蓄所引起的外国借款,那么在未来就得不到任何的补偿。

如果是高投资所引起的外国借款,未来就可以得到补偿。

 

  • World bank; International monetary fund and World trade organization.

 

  • CFA Study Session 5 2018/7/30

Monetary and fiscal policy

 

  • Compare Monetary and fiscal policy

Fiscal policy is the government`s use of spending and taxation to influence economic activity.

Budget balance: government taxation income=government spending

Budget deficit: government taxation income<government spending

Budget surplus: government taxation income>government spending

Monetary policy is central bank`s actions that affect the quantity of money and credit in an economy in order to influence economic activity.

Expansionary: increase the quantity of money and credit

Contractionary: reducing the quantity of money and credit

The goal: maintaining price stable and producing positive economic growth.

Fiscal policy are used to redistribute income and wealth.

 

  • Describe functions and definitions of money.

Money is a generally accepted medium of exchange. (facilitate indirect exchange)

The functions of money: the medium of exchange; a unit of account; a store of value.

Narrow money: money in circulation+ balances in checkable bank deposits

Broad money: includes narrow money and the amount available in liquid assets

 

  • Describe the money creation process.

Fractional reserve banking: 就是指银行通过发promissory notes,然后将存款部分借出,同时留下一部分的准备金。这种存款、借款、花费再存款形成了循环。

  • 注意计算能够贷出部分为1000(存款金额)/0.25(存款准备金率)

Money multiplier=1/0.25(reserve requirement)

 

Relationship of money and the price level

Quantity theory of money:

Money supply* velocity= price* real output (MV=PY)

Velocity: the average number of times per year each unit of money is used to buy goods or services.

An increase in money supply will lead to a proportionate increase in price level.

Money neutrality: 是指velocity和real output不受到货币供给的影响。

 

  • Describe theories of the demand and supply of money.

Demand

分类:Transaction demand, precautionary demand and speculative demand.

数量:in higher interest rate-lower demand

Supply

The amount is determined by the central bank and is independent of interest rate.

短期内的利率是由需求和供给平衡决定的,供给过多,则利率过高,他们会买入资产减少货币,利率降低。

长期内,央行可以调控货币供给,增加货币供给可以降低利率。

 

  • Describe the fisher effect.

The nominal interest rate=the real interest rate+ the expected inflation

Real interest rate 比较稳定,主要是expected inflation引起了nominal interest rate的变化

The nominal interest rate=the real interest rate+ the expected inflation+ Risk premium

由于预期与现实之间的区别,所以需要加上risk premium

 

  • Describe roles and objectives of central banks.

Roles of central banks:

1、Sole supplier of currency.

Fiat money法定货币:not backed by any tangible value.

2、Bankers to the government and other banks.

3、Regulator and supervisor of payment systems.

确定其承受的风险以及存款的要求

4、Lender of the last resort

5、Holder of gold and foreign exchange reserve

6、Conductor of monetary policy

 

Objective:

主要的目的是inflation control

次要的目的包括:stability in exchange rate; full employment, sustainable positive economic growth, moderate long-term interest rate.

有些国家的汇率是与美元挂钩的(pegging)。他们要求自己的通货膨胀率与目标的通货膨胀率基本相同。

 

  • Contrast the cost of expected inflation and unexpected inflation.

Perfectly anticipated:指通货膨胀率被完全的预期到了。

预期到的通货膨胀使得人们不愿意持有货币(购买力下降太快)。而持有有利息的产品,这使得其间的转换会发生变化。

Unanticipated inflation:未被预期到的通货膨胀率的变化。

未预期到的多的通货膨胀率会导致借款人的借款成本下降。

对于volatile inflation rate的国家,lenders will ask for a higher interest rate for a compensation of their possible loss.这会减缓这个国家的投资进程。

价格变化导致的供求变化变得不可靠。如果说厂家认为它的价格上涨10%是因为需求增加,但是实际情况是通货膨胀率就上涨了10%,就会产生误判。

 

  • Describe tools used to implement monetary policy.

Policy rate 就是指其向央行借款的利率。

通常通过repurchase agreement来实现,通过逆回购来实现。

如果policy rate 比较低,意味着央行股利借款,整体借款利率也会比较低。

The federal funds rate是美国同拆市场的利率,央行通过公开市场操作来影响。

Reserve requirement

降低存款准备金要求,会增加贷款降低利率(前提是银行愿意借款给贷款人)

提高准备金要求,会降低贷款增加利率

Open market operation

指央行通过买卖证券来达到调整利率的目的。它买入证券,则对外的货币供给增加,利率下降。

 

  • Describe the monetary transmission mechanism.

货币政策(increase in policy rate)是如何影响价格和通货膨胀率的:

1、银行的短期借款利率上升,总需求下降(信用消费减少,商业投资减少)

2、债券价格、股权价格、资产价格会降低,因为未来的折现率升高,总资产减少,消费减少。

3、对于未来的经济增长的预期减少

4、本币相对于外币升值,吸引外国的债券价格上升。

利率的上升会导致价格的下降。

 

  • Describe qualities of effective central banks.

它控制通货膨胀率成功与否,主要体现在三方面:

1、Independence:包括了operation independence & target independence

Operation independence是指其政策利率的确定

Target independence是指目标区间的制定等(通常国家没该自由)

2、Credibility:表示中央银行是否会遵守其所指定的通货膨胀率

3、Transparency:透明化能够增加央行的信用。

他们定期公布inflation report.

 

  • Explain the relationship between monetary policy and economic growth, inflation, interest and exchange rate.

货币政策对于真实的产出是没有影响的。

 

  • Contrast the use of inflation, interest rate, and exchange rate targeting by central bank.

有些国家用interest rate作为目标,interest rate降低,则减少货币供给。

有些国家用inflation 作为目标,2%为标准通胀率,误差在±1%。

有些国家(特别是发展中国家)以汇率作为目标,它的缺点就是货币供给的波动率会比较大。

它的效果就是与目标货币的通货膨胀率是相同的,然后他们必须要遵从目标国家的利率和货币政策。

 

  • Determine whether a monetary policy is expansionary or contractionary.

The real trend growth 就是指经济长期可持续的发展速度。

Neutral interest rate 是指货币的增长率既没有增加也没有减少它的trend growth.

Neutral interest rate= real trend rate of economic growth+ inflation target

当interest rate大于neutral interest rate,说明它是contractionary, is a decrease in the growth rate of money supply.

 

  • Describe limitations of monetary policy.

央行减少货币供给,未来的预期通货膨胀率会降低,近期利率升高,远期利率下降。

Bond market vigilantes: 就是指紧缩的货币政策会让长期债券吃香,远期利率上涨。反之亦然。对于有信誉的央行这种影响比较小。

Liquidity trap: 居民对于货币的需求非常的弹性,即使利率没有明显的下降,他们也会多持有货币。在市场正在遭受通货紧缩的时候,增加货币供给并不会起到降低利率的作用。

央行对于通货紧缩,只能将利率降到0,低于0他们将无能为力。

另外,虽然货币供给不断增加,但是银行还是不愿意借款出去。政府会实行QE购入政府债券等来降低利率。

Monetary policy in developing countries:他们的政策实施面临很多的困难。

 

  • Describe roles and objectives of fiscal policy.

通常而言,减少税收、增加财务支出会增加财政赤字、总体需求、就业以及经济增长。

Budget deficit is increased during recessions and budget deficits are decreased to slow growth when inflation is too high.

Keynesian economists 凯恩斯主义学派者支持增加在经济没有实现完全的就业时,积极的财政政策就非常有效。

Monetarist 货币学派认为财政刺激只是暂时的,货币政策可以被用来增加或者减少通货膨胀。

Discretionary fiscal policy自由裁量财政政策以稳定经济为目的的财政政策。

Automatic stabilizers 自动稳定器:在经济不好的时候,税收会减少、对于失业的救济金会增加。这些都是扩张性的政策并且都会增加财政赤字。

 

财政政策的目的包括:

影响经济活动、重新分配财富、在不同的部门之间分配资源。

 

  • Describe tools of fiscal policy, including their advantages and disadvantages.

包括了: spending tools and revenue tools

Spending tools:

Transfer payments;Current spending;Capital spending(这个在未来会增加未来的生产力)

Revenue tools:

Direct taxes; Indirect taxes(depend on goods and services)

Advantages of fiscal tools:

1、社会方面的政策,比如反对烟草可以通过间接税收快速实现。

2、间接税收的快速实现意味着政府的收益能够减少不必要的额外花费。

Disadvantages of fiscal tools:

1、直接税收和转移支付需要花费时间来实施

2、资本支出也需要花时间来实施,等到它实施完成的时候经济已经部分复原。

The effects of fiscal tools:

财政政策将会对预期产生影响,未来增加税收能够快速的减少现在的总体需求。

Spending tools在这方面的影响比revenue tools更大

Revenue tools 中的减税政策对于穷人更加有效,因为他们大部分都用于消费而存款较少。

 

Fiscal Multiplier

那些因为政府支出增加而收入增加的部分人群,他们的支出也会增加。

[e.g.]政府支出增加了$100, MPC=0.8,tax rate=25%,则居民的消费会增加:100*0.8*0.75=60

于是其它居民的收入会增加60,他们的消费会增加36

Fiscal multiplier=1/(1-MPC(1-t))

 

Balanced budget Multiplier

是指增加税收产生的影响:税收的增加会减少可支配收入以及消费支出,减少总需求。

对于$100征税的影响是:减少了100*0.8=80的收入

总体的影响是:100*MPC*fiscal multiplier

Ricardian Equivalence

现在的财政赤字意味着未来会征收更多的税收

如果说现在的消费者省下来付未来税收的钱正好能够偿还政府发放的本金与利息,那么对于总需求将不会产生影响。

如果说消费者在本期的消费高于均衡情况,那么总需求就会增加。

 

  • Describe the arguments about whether the size of a national debt relative to GDP matters.

A country`s debt ratio is the ratio of aggregate debt to GDP.

如果说政府的债券利率高于经济增长率,那么debt ratio就会增长。

争议点:

反对赤字

1、赤字越高,那么未来征税就越高,人们工作的意愿下降,未来增长速度降低。

2、如果说市场对于政府失去信心,投资者就不会选择投资该债券,政府就会面临破产。或者过度发放货币(引起通货膨胀)

3、由于政府借款增加,市场利率也会走高,企业的借款意愿降低,从而导致目前的总需求增加不够快。

支持赤字:

1、如果说债券完全是由本国投资者所持有,那么问题并不会非常严重。

2、如果说这部分债券是投入资本支出,那么未来的收入完全能够承担债券偿还

3、能够促进必要的税收改革

4、如果市场没有按照完全就业情况运行,那么赤字就不会使得资本流向非生产使用。

 

  • Explain the implementation of fiscal policy and difficulties of implementations.

Discretionary fiscal policy 就是指人是刻意的通过税收和花费来实现的。

放任自流的财政政策并不完美因为:

1、你对于未来的判断并不准确

2、政策的实施会出现滞后情况

有三类滞后:recognition lag、Action lag、impact lag

其它影响因素包括:

1、有误的经济数据

2、挤出效应:政府投资会挤出私人投资

3、供给短缺:不是因为需求不足而是人力资源等比较短缺。

4、赤字限制:如果赤字已经达到某一个水平,则会有限制

5、多重目标:既要治理高通胀又要提高就业率

 

  • Describe whether a fiscal policy is expansionary or contractionary.

An increase in surplus is contractionary

An increase in deficit is expansionary

An increase in revenue tools is contractionary and an increase in spending tools is expansionary.

Structural budget deficit 是指假设目前是完全就业情况下所可能产生的情况。

  • Explain the interaction of monetary and fiscal policy.

两者都是积极的:效果是积极的,利率会降低,公共部门与私人部门都会扩张。

收缩的财政与货币政策:效果是收缩的,GDP和总需求都会降低,公共部门与私人部门都会收缩。

扩张的财政与收缩的货币政策:总需求会变得更高(扩张的财政政策),利率会变得更高(收缩的货币政策),政府支出占GDP比重会增加。

紧缩的财政政策与扩张的货币政策:利率会降低,私人部门将会扩张,政府支出占GDP的比重会降低。

 

Study Session 4 2018/7/21

Topics in Demand and Supply Analysis

  • Calculate and interpret price, income, and cross price elasticities of demand and describe factors that affect each measure.

Own-price elasticity 价格弹性,反映的是价格变化百分之多少所对应的需求变化的百分比。

左图为完全刚性(perfectly inelastic),右图为完全弹性(perfectly elastic)

影响因素:

1、如果没有替代品,那么就趋向于inelastic,如果有替代品,那就趋向于elastic.

2、其价格所占收入的高低。所占收入越低,越刚性;所占收入越高,越弹性。

3、时间。随着时间的增长,时间越长,对价格调整越弹性。

  • 弹性不是斜率,弹性是考量价格变化百分比与需求变化百分比之间的关系。

Unity Elasticity(单位弹性=-1)在此处它的总收益是最大的。

>Unity Elasticity (价格高于单位弹性点)则它的需求变化大于弹性变化

<Unity Elasticity (价格低于单位弹性点)则它的需求变化小于弹性变化

 

Income elasticity of demand

表示收入的百分比变化与需求的百分比变化之间的关系。

随着收入的增加而增加需求产品是normal goods

随着收入的增加而减少需求产品是inferior goods

 

Cross Price Elasticity of Demand

该产品的需求变化与其它产品价格变化百分比之间的关系。

如果Elasticity of Demand>0,则说明它们之间是complements(补足物),即一个物品的降价会降低对另一个物品的需求。

如果Elasticity of Demand<0,则说明它们之间是substitute(替代品),即一个物品的降价会增加对另一个物品的需求。

 

Calculating Elasticity

 

 

  • Compare substitution and income effects

Substitution effects替代效应,是指A的价格下降,A的需求量更大。

Income effects收入效应,是指A的价格下降,可支配收入更高,对A的需求量可能更大也可能更小。

可能出现的三种情况:

1)替代效应为正,收入效应为正,A的需求量增大

2)替代效应为正,收入效应为负,A的需求量增大

3)替代效应为正,收入效应为负,A的需求量减小

 

  • Distinguish between normal goods and inferior goods

它们的分类会随着收入的变化而变化,可能一定收入范围内的inferior goods随着收入的增长就会变成normal goods.

Giffen goods是指收入效应大于替代效应的那类商品,价格越低,它们的需求量越少。

Velben good 是指价格越高,需求越大的那部分商品。它不符合消费者的消费逻辑。

 

  • Describe the phenomenon of diminishing marginal returns(边际效用递减)P11

Factors of production生产资料:land, labor, capital &material

A production function生产方程:以产出为应变量,包括了capital和labor两个变量

保持资本量不变,在labor值较小时,随着labor的增加,marginal production of labor is positive.

但是随着labor的持续增加,达到一个点之后,there`s diminishing marginal production of labor.

之后再持续增加labor,marginal production of labor is negative.

 

  • Determine and interpret breakeven and shutdown points (盈亏平衡点与停业点)of production.

The short run: capital is fixed

The long run: all factors are variable,包括资本也是可以变动的

 

Under perfect competition

在短期内,如果销售收入=固定成本+可变成本,则该商品价格处于盈亏平衡点上。

1)如果该价格>可变成本,则公司应该继续经营

2)如果该价格<可变成本,则公司应该选择停止经营(shut down point)

在长期内,如果销售收入<总成本,就应该停止经营。

用英语表述:

If AR>ATC, the firm should stay in the market both in the short run and in the long run.

If AVC=<AR<ATC, the firm should stay in the market in the short run and shut down in the long run.

If AR<AVC,the firm should shut down in both the short run and in the long run.

 

Under imperfect competition

由于在非完全竞争市场中,price与marginal revenue不完全相等,因此只能用TR与TC、TVC相比较。

If TR=TC, breakeven point

If TVC<TR<TC, the firm should stay in the market in the short run and shut down in the long run.

If TR<TVC,the firm should shut down in both the short run and in the long run.

 

  • Describe how economies of scale and diseconomies of scale affect costs.

从长期来看,公司应该在最低点(minimum efficient point)处进行生产,LRAC=P,TR=0

在左侧是economics of scale,可以通过增加生产规模来获得更多的经济效益。

右侧则是diseconomies of scale,

Study Session 17 2018/7/19

Basics of derivative pricing and valuation

 

  • Explain how the concepts of arbitrage, replication, and risk neutrality are used in pricing derivatives.

For risky assets:

S0=E(ST)/(1+Rf+risk premium)T+PV(benefits of holding the assets for time of T)-PV(costs of holding the assets at T)

其中因为投资者为risk aversion,因此它追求的是正的risk premium

 

对于non-arbitrage condition下:

我们能够把其现值视为是未来现金流的折扣。

对于卖出期权定价公式为:

Asset position at time 0+ short position in a forward contract at time 0= (payoff on the asset at time T + payoff on the short forward at time T)/(1+Rf)T

 

Replication 通过多种金融工具来复制一种衍生工具等。

[e.g.]买入股票,并且未来以50的价格卖出该股票,则它的定价公式为:

S-F(50)=50(1+Rf)0.5

买入该股票的远期:借入50元的现值然后以现价S买入该股票

F(50)=S-50(1+Rf)0.5

[e.g.]risk neutral pricing 的例子:用一个risky bond与credit protection derivatives来合成risk free bond. 在这种情况下credit protection derivatives就是两个价格之差。

[e.g.]一个人买了股票,他以40的价格分别卖出了远期和买入了远期,且交割价格相同。

由此可知

Stock+put-call=40/(1+Rf)T

 

  • Distinguish between the value and the price of the forward and future contracts.

Price 对于合约而言,在合约签订的时候便已经确定了

而value则是随着标的物资产的价值变化而变化,在合约签订时为0

 

  • Describe how the value and price of a forward contract are determined at expiration, during the life of the contract and at initiation.

At initiation:

F(T)=S0(1+Rf)T

V(0)= S0-FT/(1+Rf)T

During its life:

V(t)= St-FT/(1+Rf)t

At the expiration time:

The payoff is ST-FT

 

  • Describe monetary and nonmonetary benefits and costs associated with holding the underlying asset and explain how they affect the value and the price of a forward contract.

At initiation:

F(T)=(S0+PV0(costs)- PV0(benefits))*(1+Rf)T

During its life:

V(t)= St+PVt(costs)- PVt(benefits)-FT/(1+Rf)t

Benefits and costs的PV随着时间的增加而减少。

At the expiration time: PV为0

The payoff is ST-FT

 

  • Define a forward rate agreement and describe the issue.

A forward rate agreement(是指约定未来借款利率的协议)

Libor is often the underlying assets.

对于买方来说,如果Libor的利率高于约定利率,则他会获得收益。

对于卖方来说,如果Libor的利率低于约定利率,则他会获得收益。

 

需要借款的人,应该买入FRA,因为未来如果Libor上涨,则他的借款成本虽然会上涨,但是同时他也会得到补偿。

需要投资的人,应该卖出FRA,因为未来如果Libor下降,则他的投资收益会下降,同时他会得到补偿。

 

A synthetic FRA(合成FRA)可以是其借入120天的资金,然后先借出30天,这样的情况等于期限为30天的90天FRA

 

  • Explain why forward and futures prices differ.

理论上的原因包括:

标准化程度、流动性、对手风险等。区别最大的是期货用盯市制度,而远期则没有

实际的原因包括:

       期货的价格与利率之间的相关关系,如果期货价格与利率之间是正相关的,则在期货价格高的时候,可以将多余资金用于投资获得高收益。当期货价格低的时候,借款利率比较低。

因此如果两者正相关,则期货的价格要高于远期。

 

  • Explain how swap contracts are similar to but different from a series of forward contracts.

Distinguish between the value and the price of the swaps.

可以通过一系列的远期协议来模仿掉期,区别在于远期协议的价格是根据期初的利率与协议利率的关系确定的,而掉期则是根据每一期期末的利率与协议利率的关系确定的。

 

Swaps的价格是根据固定利率的利息以及未来浮动利率价值变动决定的。它最开始的价值为0。如果Libor利率上涨,则对于固定利率的支付者来说掉期的价值上涨。

 

  • Explain how the value of a European option is determined at expiration.

Explain the exercise value, time value and moneyness of an option.

Moneyness如果目前执行期权,如果它是获利的则是in the money,如果它是亏损的则是out of the money,如果是没有获利也没有亏损,则是at the money.

Exercise value 取其价值与0的较大者

Time value exercise value+ time value

 

  • Identify the factors that determine the value of an option and explain how each factor affects the value of an option.

Price of the underlying assets.

       如果标的物资产的价值越高,那么call option的价值就越高。

The exercise price

       执行价格越高,call option的价值就越低

The risk-free interest rate

       无风险利率越高,则对于call option来说未来支付的资金的现值越低

Volatility of the underlying

       标的物资产的波动性越强,获益的可能性越大,call和put的价值都会更高

Time to expiration

       它距离结束的时间越长,获益的机会就越大,而对于deep in the money put option而言,则价值越低,因为它的价格只会朝着不利的方向变化。

Cost and benefits of holding the assets

       如果一个债券或者股票分发了红利,那么它本身的价值就下降了,因此call option的价值越低。

 

  • Explain put-call parity for European options

c-s=S-X/(1+Rf)T

 

  • Explain put-call-forward parity for European options

c-s=F0(T)/(1+Rf)T -X/(1+Rf)T

Forward contract的价格为未来的折现,因为通过构造一个pure-discount bond和forward contract的组合就可以得到其价值。

 

  • Explain how the value of an option is determined using a one period binomial period.

例子P186

 

  • Explain under which circumstances the value of European and American options differ.

它们的区别在于美式期权能够提前行权,而欧式期权则不能够提前行权。

对于没有现金流的看涨期权,它们的价值没有区别。由于看涨期权的在到期前有time value因此对于它们到期行权最有价值

对于有现金流的看涨期权

美式期权的价值高于欧式期权。因为现金流会降低标的物的价格,选择提前行权可以避免这种下降。

对于看跌期权而言,是价格的下降让其更有价值。

对于deep in money put option显然美式期权使其更有价值。

Study Session 17 2018/7/18

Derivative(衍生品) Markets and Instruments

  • Define a derivative and distinguish between exchange-traded and over-the-counter derivatives.

Exchange-traded derivatives are standardized and backed by clearing house.

Over-the-counter derivatives is in a dealer market with no central location.(like forwards and swaps)

Some options trade in the over-the-counter market.

 

  • Contrast forward commitments with contingent claims.

A forward commitment 包括了forward contracts, futures contracts and swaps.

Contingent claims或有求偿权

Options are contingent claims that depend on a stock price at some future date.

而对期货与远期合约而言,它可以通过两个期权协议复制获得

 

  • Define forward contracts, futures contracts, options (calls and puts), swaps and credit derivatives and compare their basic characteristics.

Forward contracts (远期合约)

目的是 to hedge an existing exposure to the risk of asset price or interest rate change.

如果现价大于交割价格(Forward Price)则buy side has positive value.

买入远期合约的成为long side,卖出远期合约的称为 short side.

  • 分类:deliverable forward contract是指空头将对应的资产交割给空头。

a cash settled forward contract是指仅仅只交割差额的部分资产。

Futures contract(期货合约)

       它与远期相同点在于:1、它们都是在未来交割 2、它们都约定了未来交易的价格

不同点在于:1、期货的交易对手方都为交易所 2、期货都是标准化的合约 3、期货是在交易所进行交易的 4、政府会监管期货市场

  • 最主要的区别在于期货合约有标准化的合同,规定了交割的时间、交割的价格以及内容等。

The settlement price (交易价格) 是closing period的平均值。

       最后一天的交易价格将会等于其标的物资产的价格

The open interest表示同类期货的数量,有交易者成为了多头或者空头,则open interest 增加,反之则减少。

Speculators(投机者)他们期望从价格变动中获利,而hedgers则是希望规避风险。

Clearing house(清算所)是每个交易的对手方,可以防止对手方风险。

  • Margin 包括了initial margin & maintenance margin

Initial margin是指初始的时候要提供的保证金比例

Maintenance margin 是指交易中需要维持的保证金比例

       每日根据settlement price确定margin的过程称为mark to the market.

如果保证金不够,则需要追加保证金到开仓保证金。

Price limit很多交易会有价格限制

[e.g.]有一个price limit 为0.02的$1.04的期货,则它的交割价值只能在1.02-1.06的范围内,两个边界分别为limit up和limit down.如果因为有范围存在而无法变动,则被成为locked limit.

 

Swaps

       The tenor表示其到期日期

它与远期有很多相似之处:它在期初不要求支付、是传统的工具、场外交易、不受监管、主要是大机构(很少有个人)

A plain vanilla interest rate swap是指固定利率与浮动利率之间的互换

浮动利率的支付方被称为floating-rate payer或者是pay floating side

支付固定利率的一方成为pay fixed side

 

Options

Call options(看涨期权) 未来有权利以某一价格买入标的资产

Put options看跌期权)未来有权利以某一价格卖出标的资产

期权的卖方被称为the option writer

个人可能的状态有long call, short call, long put以及short put

American option 表示在交割日之前都可以进行交割

European option 表示只有在交割当日能够进行交割

 

Credit Derivatives

       CDS(credit default swap) 贷款人通过向一个信用保护卖方定期输送资金,并且在信用违约时得到补偿。

Credit spread option是指其买方在价差增大的时候,能够得到补偿。

 

  • Describe purposes of and controversies related to derivative markets.

The criticism of derivatives is that they are too risky.

The benefits of derivative includes:

       Provide price information; allow risk to be managed and reduce transaction costs.

 

  • Explain arbitrage and the role it plays in determining prices and promoting market efficiency.

Arbitrage 会在定价不公允的时候出现套利的机会。

Based on the law of one price 相同现金流的两个债券应该有相同的价格,如果某一个的价格高,那么应该卖掉高的,买低的。

Arbitrage requires an investment 如果说投资组合没有信用风险,则它的收益率应该与无风险利率是相同的。

如果前者高,则借入无风险资金,投资于投资组合就可以得到超额的回报。

Study Session 16 2018/7/18

  • Describe factors that influence the level and volatility of yield spread.

Risk free rate, inflation rate, a maturity premium, a liquidity premium and a credit spread 都是影响证券收益率的因素

A yield spread=a liquidity premium+ a credit spread

Yield spread的影响因素:

        1、Credit cycle

At the top of the cycle, the market bond perceives low credit risk and is bullish. Credit spreads narrow as the credit cycle improves.

Credit spreads widen as the credit cycle deteriorates.

2、Economic condition

Credit spread narrow as economy strengthen.

3、Financial market performance

Credit spread narrow in strong-performing financial market.

4、Broker-dealer capital

Yield spreads are narrower when broker-dealers provide sufficient capital

5、General market demand and supply

Yield spreads widen when there`s high demand for bond.

The yield spreads on low-quality issues tend to be more volatile than spreads on higher quality issue.

 

  • Describe the special considerations when evaluating the credit of high yield, sovereign, and non-sovereign government debt issuers and issues.

High yield bond: liquidity, financial projections, debt structure, corporation structure and covenants.

Liquidity就是其现金的可获得性,它的来源包括 Balance sheet cash, working capital, CFO, Bank credit, equity issued, sales of assets.

无法借到现金是high yield debt default 的主要原因

Financial projection(财务预估) 对未来的收益以及现金流的估计

Debt structure(债务结构) calculate the leverage for each level of the debt structure when it has multiple layers of debt.

如果一家公司的债务中向银行的借款过多则意味着它的debt structure is too heavy. 在发生危机时,很难再从银行借到钱,破产的概率也更大。

  • Leverage=bond/EBITDA Net Leverage=bond-cash/EBITDA

Corporate structure(公司结构)

holding company structure意味着母公司的收入来源完全是由子公司提供的,但是子公司的现金流要先偿还债务再返还母公司,因此会出现notching

但是母公司可以从多样化的子公司处获得现金流,因此它的评级也可能更高。

Intermediate holding companies是指那些公司没有100%所有权的子公司。

分析师需要计算leverage ratio(debt/EBITDA)at each level and at consolidated basis.

Covenants

Change of control put给了持有者要求发行者回购债券的权利,通常是针对并购的情况。

对于投资级的债券,如果并购不发生评级降低,则无需进行回购。

Restricted payment是指限制给股东发放的分红金额

Limitation on lien 是指限制公司借入的抵押债券的数量,以保证自己有足够的偿还

Restricted versus unrestricted subsidiaries

Restricted subsidiaries 是指那些资产和现金流能用于母公司还债的子公司,通常是比较大的子公司

银行借款的条款比债券的条款更严格。

它可以被视为是投资级债券与股权投资的混合

  • EV(enterprise value)就是指公司的股权的市场价值加上债务的价值,没有上市的公司可以用类似公司的信息替代。

通过考察EV/EBITDA与Debt/EBITDA可以得到它们的差距越大,公司的债务风险越小。

 

Sovereign Debt (主权债务)

需要考虑它的偿债能力以及偿债意愿(因为如果它拒绝支付债务,则投资者也无法告它)

五个关键因素包括:institutional effectiveness Economic prospects International investment position Fiscal flexibility and Monetary flexibility.

主权债务通常有两类:本币债务的评级以及外币债务的评级,外币债务的评级通常低于本币债务,因为外币债务需要通过购买其它国家的货币进行偿还。

在经济差的时候,国家很难通过债务市场借到钱。

 

Non-Sovereign Debt(非主权债务)

是指地方政府或者准政府机构发行的债务。它们没有货币政策的工具,因此必须要平衡收支。

Municipal bond就是美国一种典型的非主权债务。

Municipal bond can be classified as general obligation bonds or revenue bonds.

GO bonds are unsecured bonds backed by the full credit faith credit of the issuing government entity, which is supported by its taxing power.

Municipal government的偿债能力主要依赖于当地的经济情况,同时还要考虑它还款来源的稳定性(例如:依靠capital gains 或者是sales tax的话,变化就很大,信用风险就很大)

Revenue bonds are issued to finance specific projects. Projects是其还款的主要资金来源。要对项目也进行分析。

Study Session 16 2018/7/17

Fundamentals of credit analysis

  • Describe credit risk and credit-related risks affecting corporate bonds.

Describe default probability and loss severity as components of credit rsik.

Credit risk(信用风险) has two components:

1、Default risk 违约风险

Default risk=1-Recovery Rate

2、Loss Severity 损失额度 指借款者违约时可能遭受的损失

The Expected Loss=Default risk*Loss severity

Yield Spread 收益率差

        指相同期限的有信用风险的债券与无信用风险的债券之间的收益率差。

收益率差越大,有信用风险的债券利率越大,价格越低。

[e.g.] A 5 year corporate bond is trading at a spread of +250 points to Treasuries and the yield on 5-year Treasury notes is 4%,

The yield on corporate bond is 4%+2.5%=6.5%

Spread risk 影响的因素包括:

1、Credit Migration risk or downgrade risk是指企业自身信用等级降低

2、Market liquidity risk是指企业债券的市场流动性差异造成的,体现为bid-ask spread等级越低的债券spread risk越大

 

  • Describe Seniority rankings of corporate debt and explain the potential violation of the priority of claims in a bankruptcy proceeding.

Seniority ranking(优先级) a bond`s priority of claims to the issuer` assets and cash flow

Secured bonds are priority to unsecured bonds.

The rankings are as follow:

First lien or first mortgage

Senior secured debt

Junior secured debt

Senior unsecured debt

Senior subordinate debt

Subordinate debt

Junior subordinate debt

The recovery rate are highest for debts with highest priority. Investors require higher yields for lower recovery rate.

A strict priority of the claims are not applied in practice.

 

  • Distinguish between corporate issuer credit ratings and issue credit ratings and describe the rating agency practice of “notching”.

Corporate family ratings(CFR) based on the overall creditworthiness of the company

Corporate credit ratings(CCR) are issue-specific ratings

 

AAA为最高评级,BBB级及以上为投资级债券(investment bond),BBB级以下为垃圾级(non-investment bond/ junk bond/ high yield bond)。

A cross default provision 是指当其中有债券违约的时候,该公司的其它债券也被视为违约。

Notching(多级化)针对同一个发行人的债券进行不同的评级:因为不同债券的条款与优先级不同。

它是因为结构上的从属结构产生的

低等级会导致更多的Notching,因为它的违约风险更高,优先级不同所导致的Recovery rate 的差异也很巨大

[e.g.]母公司与子公司都发行债券,由于子公司的债券条款约束,偿还债务之后的资金才能返还给母公司,因此子公司的债券优先级高于母公司的。

 

  • Explain the risk in relying on ratings from credit rating agencies.

Credit ratings are dynamic(动态的)

Rating agencies are not perfect

Event risk is difficult to assess

Credit ratings lag market pricing

Market prices reflect expected losses while credit ratings only assess default risk.

 

  • Explain the four Cs of traditional credit analysis

Capacity, Collateral, Covenants and Character

Capacity 考察的是企业按时还款的能力,包括了:

Industry Structure

可以通过波特的五力模型来描述:Threat of entry, power of suppliers, power of consumers, threat of substitutions and rivalry among existing competitors.

        Industry Fundamentals

包括了宏观因素对该行业的影响以及行业所在的周期、行业的成长情况以及已经公开的行业因素

        Company Fundamentals

Competitive position; Operating history, management`s strategy and execution, ratio and ratio analysis

Collateral 对于低评级的企业更加重要

Intangible assets 无形资产

对于企业来说,专利是最容易贩卖的,而商誉则是经常会受到减值影响的。

Depreciation 折旧

High Depreciation to capital expenditures may signal that management is not investing enough in the company.

        Equity market capitalization 股票市场情况

A stock traded under its book value indicates that the assets are of low quality.

Human and intellectual capital 人力资源

公司可能有人力资源类的抵押品

Covenants 条款

Affirmative covenants 积极的条款,要求借款人做的事务

Negative covenants 消极的条款,约束借款人做的事务

Character特质

反映了管理层的品质是否正直以及他们对偿还债务的积极程度,考察的内容包括了:

Soundness of the strategy

Track record

Accounting policies and tax strategies.

Fraud and malfeasance record

Prior treatment of bondholders

 

  • Calculate and interpret financial ratios used in credit analysis

Profits and cash flow为偿还债务的来源

EBITDA 缺点是没有考虑capital expenditure以及change in working capital

对于贷款者来说,这些是无法使用的

FFOFunds From OperatingNet Income from continuing operation +depreciation and amortization + deferred taxes

与CFO(Cash flow from operating)的区别在于,它没有考虑working capital的变化。

Free cash flow before dividends

Net income+depreciation&amortization-capital expenditures-increase in working capital

又可以是cash flow from operating activity -capital expenditure

它不包括偶然发生的事件

Free cash flow after dividends

Free cash flow before dividends-dividends=Free cash flow after dividends

它意味着现金能够支付债务或者现金在不断的增加

 

Leverage ratio

        Debt/capital capital=debt + shareholder`s equity

反映了总资本中债务的占比,债务占比约小,信用风险越小。

Debt/EBITDA 该比例越大,则表明公司的信用风险越大

对于高杠杆以及周期性行业来说,这个比例的波动性更大

FFO/Debt 该比例越大,则表示公司的信用风险越小

FCFs after dividends/Debt 该比例越大,则表示公司的信用风险越小

 

Coverage ratio 反映了公司产生现金支付利息的能力强弱

EBITDA/Interest Expense

它比后者使用更加普遍,也比它更大

越大意味着信用风险越小

EBIT/Interest Expense

它更加的保守

越大意味着信用风险更小

 

  • 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

问题为:给定评级的标准判定公司的评级,以及对给定的事件做出相应的评级判断。