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  • 6 - Fixed Income - Formula Sheet Mini Test Level II

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    cpacfa
    2K vues4 pages
    This document contains formulas for fixed income concepts including standard deviation calculations, binomial interest rate trees, bond valuation formulas like duration and convexity, convertible bond valuations, amortization schedules, mortgage-backed security calculations, and prepayment speed metrics. It provides over 30 formulas across 2 pages for analyzing fixed income securities for the CFA Level II exam.

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    This document contains formulas for fixed income concepts including standard deviation calculations, binomial interest rate trees, bond valuation formulas like duration and convexity, convertible bond valuations, amortization schedules, mortgage-backed security calculations, and prepayment speed metrics. It provides over 30 formulas across 2 pages for analyzing fixed income securities for the CFA Level II exam.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme DOC, PDF ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    2K vues4 pages

    6 - Fixed Income - Formula Sheet Mini Test Level II

    Transféré par

    cpacfa
    This document contains formulas for fixed income concepts including standard deviation calculations, binomial interest rate trees, bond valuation formulas like duration and convexity, convertible bond valuations, amortization schedules, mortgage-backed security calculations, and prepayment speed metrics. It provides over 30 formulas across 2 pages for analyzing fixed income securities for the CFA Level II exam.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme DOC, PDF ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 4

    CFA Level II

    Formula Sheet 6 - Fixed Income


    http://www.cpa-cfa.org
    Fixed Income

    Daily std dev =

    Annualized std dev =

    Binomial interest rate tree:

    Spot rate arbitrage free value =

    Duration =

    Convexity =

    1
    CFA Level II
    Formula Sheet 6 - Fixed Income
    http://www.cpa-cfa.org

    Conversion value =

    Conversion price =

    Conversion premium per share =

    Conversion premium ratio =

    Fav inc differential (yield advantage) =

    Premium payback period =

    Premium over straight value =

    Return on Bond =

    Market price of convertible bond -


    •
    •

    Fully amortizing loan schedule:

    (1) (2) (3) (4) (5) (6)

    Service fee =

    Investor cash flow =

    2
    CFA Level II
    Formula Sheet 6 - Fixed Income
    http://www.cpa-cfa.org

    Weighted avg coupon =

    Weighted avg maturity =

    SMMt =

    •
    •

    CPR =

    PSA CPR if __________=

    PSA CPR if __________ =

    Tranche avg life =

    Notional amt of x% IO tranche =

    Cap rate for floater =

    Cap rate for inverse floater =

    Cost of Ginnie Mae MBS =

    Contraction risk -

    Excess servicing spread =

    Absolute prepayment speed (APS) =

    3
    CFA Level II
    Formula Sheet 6 - Fixed Income
    http://www.cpa-cfa.org

    SMM =

    MBS credit analysis:


    Debt-to-service coverage ratio =

    Loan-to-value ratio =

    Nominal spread =

    Bond equivalent yield =

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