Fixed Income is covered in Study Sessions 10 and 11 or Readings 20 to 22. The table below summarizes what concepts were tested between 2011 and 2015.
|
Year
|
Q#
|
Concepts tested
|
|
2015
|
3
|
Matching effective duration with benchmark, trade based on market forecast,
crossover trade, reducing duration, mean-reversion analysis.
|
|
2014
|
7
|
Breakeven spread analysis, calc. bond portfolio duration, hedging currency risk.
|
|
2013
|
8
|
Cash flow matching vs immunization, calculate initial safety margin, contingent
immunization strategy, economic surplus.
|
|
2013
|
9
|
Top down and bottom up approach, credit spread, on-the-run issues vs off-the-run
issues.
|
|
2012
|
7
|
Return and duration of leveraged portfolio, repo rate, adjust portfolio duration using
futures, duration of call option. Note: Part E is not relevant.
|
|
2011
|
6
|
Dollar duration, rebalancing, trade types.
|