CPA 会计从业实训 初级职称 中级职称 ACCA CMA USCPA CFA FRM 基金从业 银行从业 证券从业 期货从业 财经求职 银行招聘
您已成功注册高顿网校

用 户  名:

初始密码:(您手机后六位)

请尽快到个人中心 修改密码
忘记密码,可点击“忘记密码”进行密码重置。
如有疑问请致电 400-825-0088
登录高顿网校
资料修改成功
失败提示失败提示
合作账号登录
QQ登录 微博登录 微信登录
问题类型
反馈内容(*必填)

+ 上传图片
我的心情
高顿网校

CFA一级考试固定收益知识点:Notching

发布时间:2017-06-14 16:23 来源:高顿网校

小编导读:

1.  CFA知识背景
 
Notching本意为多级别的,作为动词,也可以表示为得分。作为CFA一级固定收益中的知识点,它出现在债券评级里面,常常作为一个单独的知识点考察大家。下面我们就来学习一下这个CFA考试重要知识点吧。

高效CFA冲刺需要哪些资料?全球95%考生都在用:点击领取高顿CFA2017年CFA备考资料精华大礼包。 
 
2.  相关CFA知识点
 
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.  CFA考题
 
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.


高顿网校官方公众号
专业的财经微信,50万+财经人共同关注
扫码关注,微信号:gaodunclass
提供会计、审计、金融、税务等专业财经内容、考证干货、做账实操、
免费学习视频、在线题库、免费答疑…多数优秀财经人都关注了!

 
版权声明: 1、凡本网站注明“来源高顿网校”或“来源高顿”,的所有作品,均为本网站合法拥有版权的作品,未经本网站授权,任何媒体、网站、个人不得转载、链接、转帖或以其他方式使用。
2、经本网站合法授权的,应在授权范围内使用,且使用时必须注明“来源高顿网校”或“来源高顿”,并不得对作品中出现的“高顿”字样进行删减、替换等。违反上述声明者,本网站将依法追究其法律责任。
3、本网站的部分资料转载自互联网,均尽力标明作者和出处。本网站转载的目的在于传递更多信息,并不意味着赞同其观点或证实其描述,本网站不对其真实性负责。
4、如您认为本网站刊载作品涉及版权等问题,请与本网站联系(邮箱fawu@gaodun.com,电话:021-31587497),本网站核实确认后会尽快予以处理。
责编:Allen

热门推荐

部落热帖

沪ICP备 14038153号 诚信网站 可信网站 实名网站认证 安全联盟认证 上海市互联网举报中心 网络社会证信网 沪公网安备31010902001351号
沪B2-20160190 广播电视节目制作经营许可证

Copyright © 2006-2017 高顿网校, All Rights Reserved.