CFA level I 固收错点

• Extension risk is the risk faced that when interest rates rise, fewer prepayments will occur because homeowners will be reluctant to give up the benefits of a contractual interest rate that is now lower than the market rate. As a result, the security becomes longer in maturity than anticipated at the time of purchase.
  延期风险是指当利率上升时，由于房主不愿放弃低于市场利率的合同利率所带来的收益，提前还款将减少的风险。因此，证券到期时间比购买时预期的要长。
• Balloon risk is the risk that the borrower will not be able to arrange for refinancing or sell the property to make the balloon payment typically associated with commercial loans backing CMBS. As a result, the CMBS may extend in maturity, implying that balloon risk is a type of extension risk.
  气球风险是指借款人无法安排再融资或出售房产以支付气球支付的风险，这种风险通常与支持CMBS的商业贷款有关。因此，CMBS可能会到期，这意味着气球风险是一种扩展风险。
• In a dual-currency bond, coupon payments are denominated in one currency, and the par value is denominated in a different currency.
  在双货币债券中，息票支付以一种货币计价，而面值以另一种货币计价。
• In some situations, the maturity effect may not hold for a low-coupon bond that is trading below par.
  在某些情况下，低票面利率债券的到期日效应可能对低于票面利率的债券不起作用。
• Overcollateralization is a form of internal credit enhancement in which more collateral is posted than is needed to obtain or secure financing. It provides an additional credit buffer in the event of default by providing more assets to repay the lender.
  超额担保是一种内部信用增强的形式，在这种形式中，比获得或确保融资所需的抵押品要多。它通过提供更多资产来偿还贷款人，从而在违约时提供额外的信贷缓冲。
  Debt subordination is a form of internal credit enhancement that refers to the ordering of claim priorities of debt in relation to asset ownership.
  债务从属是一种内部信用增强形式，指的是债务相对于资产所有权的债权优先顺序。
• Credit card receivable-backed securities are non-amortizing loans. They have a lockout period during which the only cash flows paid to investors are based on finance charges and fees. When the lockout period is over, principal payments are distributed to investors. In contrast, principal is received monthly in automobile loan-backed securities.
  信用卡应收有价证券是一种非摊销贷款。它们有一个停摆期，在此期间，支付给投资者的唯一现金流是基于财务费用。当停摆期结束时，本金将被分配给投资者。相比之下，汽车贷款支持证券每月收取本金。
• When a company is reorganized, the strict absolute priority has not always been upheld by the courts.
  当一个公司重组时，严格的绝对优先权并不总是得到法院的支持。
• The agreed-on bond price excluding accrued interest is referred to as the flat price.
  议定的不包括应计利息的债券价格称为平价。
• Matrix pricing is most suited to pricing inactively traded bonds and newly underwritten bonds. A credit analyst is least likely to use matrix pricing to price an actively traded bond.
  矩阵定价法最适合于对交易不活跃的债券和新承销的债券进行定价。信用分析师最不可能使用矩阵定价来为活跃交易的债券定价。
• Effective duration is a type of curve duration that measures the sensitivity of the bond price with respect to a benchmark yield curve.
  有效久期是一种曲线期限，用来衡量债券价格相对于基准收益率曲线的敏感性。
  Modified duration is a type of yield duration (as opposed to curve duration), which measures the sensitivity of a bond’s price to a change in its own yield to maturity (not the benchmark yield curve).
  修正久期是一种收益率期限(与曲线期限相反)，它衡量债券价格对其到期收益率(而不是基准收益率曲线)变化的敏感性。
  The effective duration and modified duration of an option-free bond are identical only in the rare circumstance of an absolutely flat yield curve. Typically, the two duration measures will differ, but the difference narrows when the yield curve is flatter, the bond’s time to maturity is shorter, and the bond is priced closer to its par value.
  无期权债券的有久期和修正久期仅在绝对平坦收益率曲线的罕见情况下是相同的。通常情况下，这两种期限度量会有所不同，但当收益率曲线变平、债券到期日缩短、债券定价更接近票面价值时，这种差异就会缩小。
• A callable bond is most likely to experience negative convexity when the bond’s yield to maturity is less than the bond’s coupon rate. When calculating the “convexity effect” for the relationship between bond prices and yields to maturity for a callable bond, the increase in price when the benchmark yield curve is lowered can be smaller than the decrease in price when the benchmark yield curve is raised (in absolute terms). This situation creates negative convexity.
  当到期债券的收益率低于债券的票面利率时，可赎回债券最有可能出现负凸性。在计算可赎回债券的债券价格与到期收益率之间的“凸性效应”时，基准收益率曲线下降时的价格涨幅可以小于基准收益率曲线上升时的价格跌幅(按绝对值计算)。这种情况会产生负凸性。
• The duration gap is a bond’s Macaulay duration minus the investment horizon. A positive duration gap indicates that the investor currently is at risk of higher interest rates.
  久期差距是债券的麦考利久期减去投资期限。正的久期差距表明投资者目前面临更高利率的风险。
• For an option-free, fixed-rate bond, the “inflation duration,” the “real rate duration,” and the “liquidity duration” are all the same number.
  对于无选择权的固定利率债券，“通胀期限”、“实际利率期限”和“流动性期限”都是相同的数字。