固定收益部分一直是三級(jí)的重點(diǎn)，在考試分值所占的權(quán)重（15-20%）甚至比個(gè)人投資者IPS，機(jī)構(gòu)投資者IPS（10-15%）還要高一點(diǎn)；上下午的題都會(huì)同時(shí)出的概率極高。根據(jù)2015年考綱，固定收益部分總共3個(gè)reading（這么多年來(lái)從來(lái)沒有變動(dòng)過，也可見其成熟穩(wěn)定的地位）有一些內(nèi)容近幾年刪除了比如關(guān)于MBS的，剩下的反而是精華中的精華。可以說(shuō)這3個(gè)reading對(duì)于我們整個(gè)三級(jí)的學(xué)習(xí)都是一場(chǎng)攻堅(jiān)戰(zhàn)。

經(jīng)過教材改革，最近幾年固定收益部分在CFA1級(jí)內(nèi)容不斷完善，難度也提高了很多，原先部分二級(jí)內(nèi)容搬到了一級(jí)。一級(jí)里面也增加了很多更深入的講解。而，現(xiàn)在的三級(jí)考生大部分都是讀了當(dāng)年舊考綱的一級(jí)教材，對(duì)于很多概念都掌握的并不清楚，甚至是錯(cuò)誤的。

在Fixed-Income Part-1里，對(duì)于各種策略的原理，比較的內(nèi)容教材講的比較散不成系統(tǒng)，而且也很晦澀；而notes相關(guān)的內(nèi)容又有知識(shí)點(diǎn)的遺落，并且說(shuō)的也更為抽象，尤其是固定收益里的Notching更是很多人都不太了解，下面就來(lái)了解一下。

1. 知識(shí)背景

Notching本意為多級(jí)別的，作為動(dòng)詞，也可以表示為得分。作為CFA考試固定收益中的知識(shí)點(diǎn)，它出現(xiàn)在債券評(píng)級(jí)里面，常常作為一個(gè)單獨(dú)的知識(shí)點(diǎn)考察大家。下面我們就來(lái)學(xué)習(xí)一下這個(gè)知識(shí)點(diǎn)吧。

2. 相關(guān)知識(shí)點(diǎn)

Factors affecting rating:

For the rating agencies, likelihood of default—default risk—is theprimary factor in assigning their ratings. However, there are secondaryfactors as well.

These factors include the priority of payment in the event of adefault (e.g., secured versus senior unsecured versus subordinated) as well aspotential loss severity in the event of default.

Another factor considered by rating agencies is structuralsubordination, which can arise when a corporation with a holding companystructure has debt at both its parent holding company and operating subsidiaries.Debt at the operating subsidiaries will get serviced by the cash flow andassets of the subsidiaries before funds can be passed (“upstreamed”) to theholding company to service debt at that level.

Recognizing thesedifferent payment priorities, and thus the potential for higher (or lower) lossseverity in the event of default, the rating agencies have adopted a notchingprocess whereby their credit ratings on issues can be moved up or down fromthe issuer rating, which is usually the rating applied to its senior unsecured debt.

As a general rule, the higher the senior unsecured rating, the smallerthe notching adjustment will be. The reason behindthis is that the higher the rating, the lower the perceived risk of default, sothe need to “notch” the rating to capture the potential difference in lossseverity is greatly reduced.

For lower-rated credits, however, the risk ofdefault is greater and thus the potential difference in loss from a lower (orhigher) priority ranking is a bigger consideration in assessing an issue’scredit riskiness. Thus, the rating agencies will typically apply largerrating adjustments.

For example, S&P applies the following notching guidelines:

As default risk increases, the concern over what can be recovered takeson greater relevance and, therefore, greater rating significance. Accordingly,the LGD [Loss Given Default] aspect of ratings is given more weight as onemoves down the rating spectrum.

For example, subordinated debt canbe rated up to two notches below a noninvestment grade corporate creditrating,

but one notch at most if the corporate credit rating is investmentgrade.

In the same vein, issues of companies with an ‘AAA’ rating need not benotched at all.

3. 考題

1. Based on the practice of notching by the ratingagencies, a subordinated bond from a company with an issuer rating of BB wouldlikely carry what rating?

B+

BB

BBB–

A is correct.

The subordinated bondwould have its rating notched lower than the company’s BB rating, probably bytwo notches, reflecting the higher weight given to loss severity forbelow-investment-grade credits.

2. The process of moving credit ratings of differentissues up or down from the issuer rating in response to different paymentpriorities is best described as:

A. notching.

B. structural subordination.

C. cross-default provisions.

A is correct.

Notching is the processfor moving ratings up or down relative to the issuer rating when ratingagencies consider secondary factors, such as priority of claims in the event ofa default and the potential loss severity.

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