{"id":19452,"date":"2021-08-12T14:53:01","date_gmt":"2021-08-12T14:53:01","guid":{"rendered":"https:\/\/analystprep.com\/study-notes\/?p=19452"},"modified":"2026-04-29T18:34:01","modified_gmt":"2026-04-29T18:34:01","slug":"study-notes-for-cfa-level-ii-fixed-income-offered-by-analystprep","status":"publish","type":"post","link":"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/study-notes-for-cfa-level-ii-fixed-income-offered-by-analystprep\/","title":{"rendered":"Study Notes for CFA\u00ae Level II \u2013 Fixed Income \u2013 offered by AnalystPrep"},"content":{"rendered":"\r\n<h2>Reading 28: The Term Structure and Interest Rate Dynamics<\/h2>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-relationships-among-spot-rates-forward-rates-yield-to-maturity-expected-and-realized-returns-on-bonds-and-the-shape-of-the-yield-curve\/\" target=\"_blank\" rel=\"noopener\"><em>-a. Describe relationships among spot rates, forward rates, yield to maturity, expected and realized returns on bonds, and the shape of the yield curve;<\/em><\/a><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-how-zero-coupon-rates-spot-rates-may-be-obtained-from-the-par-curve-by-bootstrapping\/\" target=\"_blank\" rel=\"noopener\">-b. Describe how zero-coupon rates (spot rates) may be obtained from the par curve by bootstrapping;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-the-assumptions-concerning-the-evolution-of-spot-rates-in-relation-to-forward-rates-implicit-in-active-bond-portfolio-management\/\" target=\"_blank\" rel=\"noopener\">-c. Describe the assumptions concerning the evolution of spot rates in relation to forward rates implicit in active bond portfolio management;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/uncategorized\/describe-the-strategy-of-riding-the-yield-curve\/\" target=\"_blank\" rel=\"noopener\">-d. Describe the strategy of riding the yield curve;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-the-swap-rate-curve-and-why-and-how-market-participants-use-it-in-valuation\/\" target=\"_blank\" rel=\"noopener\">-e. Explain the swap rate curve and why and how market participants use it in valuation;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/calculate-and-interpret-the-swap-spread-for-a-given-maturity\/\" target=\"_blank\" rel=\"noopener\">-f. Calculate and interpret the swap spread for a given maturity;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-the-z-spread\/\" target=\"_blank\" rel=\"noopener\">-g. Describe short-term interest rate spreads used to gauge economy-wide credit risk and liquidity risk;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-traditional-theories-of-the-term-structure-of-interest-rates-and-describe-each-theorys-implications-for-forward-rates-and-the-shape-of-the-yield-curve\/\" target=\"_blank\" rel=\"noopener\">-h. Explain traditional theories of the term structure of interest rates and describe each theory\u2019s implications for forward rates and the shape of the yield curve;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-how-a-bonds-exposure-to-each-of-the-factors-driving-the-yield-curve-can-be-measured-and-how-these-exposures-can-be-used-to-manage-yield-curve-risks\/\" target=\"_blank\" rel=\"noopener\">-i. Explain how a bond\u2019s exposure to each of the factors driving the yield curve can be measured and how these exposures can be used to manage yield curve risks;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-the-maturity-structure-of-yield-volatilities-and-their-effect-on-price-volatility\/\" target=\"_blank\" rel=\"noopener\">-j. Explain the maturity structure of yield volatilities and their effect on price volatility;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-modern-term-structure-models-and-how-they-are-used\/\" target=\"_blank\" rel=\"noopener\">-k. Explain how key economic factors are used to establish a view on benchmark rates, spreads, and yield curve changes.<\/a><\/em><\/p>\r\n<h2>Reading 29: The Arbitrage-Free Valuation Framework<\/h2>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-what-is-meant-by-arbitrage-free-valuation-of-a-fixed-income-instrument\/\" target=\"_blank\" rel=\"noopener\"><em>-a. Explain what is meant by arbitrage-free valuation of a fixed-income instrument;<\/em><\/a><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/calculate-the-arbitrage-free-value-of-an-option-free-fixed-rate-coupon-bond\/\" target=\"_blank\" rel=\"noopener\">-b. Calculate the arbitrage-free value of an option-free, fixed-rate coupon bond;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-a-binomial-interest-rate-tree-framework\/\" target=\"_blank\" rel=\"noopener\">-c. Describe a binomial interest rate tree framework;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-the-process-of-calibrating-a-binomial-interest-rate-tree-to-match-a-specific-term-structure\/\" target=\"_blank\" rel=\"noopener\">-d. Describe the process of calibrating a binomial interest rate tree to match a specific term structure;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-the-backward-induction-valuation-methodology-and-calculate-the-value-of-a-fixed-income-instrument-given-its-cash-flow-at-each-node\/\" target=\"_blank\" rel=\"noopener\">-e. Describe the backward induction valuation methodology and calculate the value of a fixed-income instrument given its cash flow at each node;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/compare-pricing-using-the-zero-coupon-yield-curve-with-pricing-using-an-arbitrage-free-binomial-lattice-2\/\" target=\"_blank\" rel=\"noopener\">-f. Compare pricing using the zero-coupon yield curve with pricing using an arbitrage-free binomial lattice;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-pathwise-valuation-in-a-binomial-interest-rate-framework-and-calculate-the-value-of-a-fixed-income-instrument-given-its-cash-flows-along-each-path\/\" target=\"_blank\" rel=\"noopener\">-g. Describe pathwise valuation in a binomial interest rate framework and calculate the value of a fixed income instrument given its cash flows along each path;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-a-monte-carlo-forward-rate-simulation-and-its-application\/\" target=\"_blank\" rel=\"noopener\">-h. Describe a Monte Carlo forward-rate simulation and its application;<\/a><\/em><\/p>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/time-structure-models-and-how-they-are-used\/\" target=\"_blank\" rel=\"noopener\">-i. <em>Describe time structure models and how they are used;<\/em><\/a><\/p>\r\n<h2>Reading 30: Valuation and Analysis of Bonds with Embedded Options<\/h2>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-fixed-income-securities-with-embedded-options\/\" target=\"_blank\" rel=\"noopener\"><em>-a. Describe fixed-income securities with embedded options;<\/em><\/a><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-the-relationships-between-the-values-of-a-callable-or-putable-bond-the-underlying-option-free-straight-bond-and-the-embedded-option\/\" target=\"_blank\" rel=\"noopener\">-b. Explain the relationships between the values of a callable or putable bond, the underlying option free (straight) bond, and the embedded option;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-how-the-arbitrage-free-framework-can-be-used-to-value-a-bond-with-embedded-options\/\" target=\"_blank\" rel=\"noopener\">-c. Describe how the arbitrage-free framework can be used to value a bond with embedded options;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-how-interest-rate-volatility-affects-the-value-of-a-callable-or-putable-bond\/\" target=\"_blank\" rel=\"noopener\">-d. Explain how interest rate volatility affects the value of a callable or putable bond;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-how-changes-in-the-level-and-shape-of-the-yield-curve-affect-the-value-of-a-callable-or-putable-bond\/\" target=\"_blank\" rel=\"noopener\">-e. Explain how changes in the level and shape of the yield curve affect the value of a callable or putable bond;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/calculate-the-value-of-a-callable-or-putable-bond-from-an-interest-rate-tree\/\" target=\"_blank\" rel=\"noopener\">-f. Calculate the value of a callable or putable bond from an interest rate tree;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-the-calculation-and-use-of-option-adjusted-spreads\/\" target=\"_blank\" rel=\"noopener\">-g. Explain the calculation and use of option-adjusted spreads;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-how-interest-rate-volatility-affects-option-adjusted-spreads\/\" target=\"_blank\" rel=\"noopener\">-h. Explain how interest rate volatility affects option-adjusted spreads;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/calculate-and-interpret-the-effective-duration-of-a-callable-or-putable-bond\/\" target=\"_blank\" rel=\"noopener\">-i. Calculate and interpret the effective duration of a callable or putable bond;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/compare-effective-durations-of-callable-putable-and-straight-bonds\/\" target=\"_blank\" rel=\"noopener\">-j. Compare effective durations of callable, putable, and straight bonds;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-the-use-of-one-sided-durations-and-key-rate-durations-to-evaluate-the-interest-rate-sensitivity-of-bonds-with-embedded-options\/\" target=\"_blank\" rel=\"noopener\">-k. Describe the use of one-sided durations and key rate durations to evaluate the interest rate sensitivity of bonds with embedded options;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/compare-effective-convexities-of-callable-putable-and-straight-bonds\/\" target=\"_blank\" rel=\"noopener\">-l. Compare effective convexities of callable, putable, and straight bonds;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/calculate-the-value-of-a-capped-or-floored-floating-rate-bond\/\" target=\"_blank\" rel=\"noopener\">-m. Calculate the value of a capped or floored floating-rate bond;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-defining-features-of-a-convertible-bond\/\" target=\"_blank\" rel=\"noopener\">-n. Describe defining features of a convertible bond;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/calculate-and-interpret-the-components-of-a-convertible-bonds-value\/\" target=\"_blank\" rel=\"noopener\">-o. Calculate and interpret the components of a convertible bond\u2019s value;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-how-a-convertible-bond-is-valued-in-an-arbitrage-free-framework\/\" target=\"_blank\" rel=\"noopener\">-p. Describe how a convertible bond is valued in an arbitrage-free framework;<\/a><\/em><\/p>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/risk-return-characteristics\/\" target=\"_blank\" rel=\"noopener\">&#8211;<em>q. Compare the risk-return characteristics of a convertible bond with the risk-return characteristics of a straight bond and the underlying common stock.<\/em><\/a><\/p>\r\n<h2>Reading 31: Credit Analysis Models<\/h2>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-expected-exposure-the-loss-given-default-the-probability-of-default-and-the-credit-valuation-adjustment\/\" target=\"_blank\" rel=\"noopener\">-a. Explain expected exposure, the loss given default, the probability of default, and the credit valuation adjustment;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-credit-scores-and-credit-ratings\/\" target=\"_blank\" rel=\"noopener\">-b. Explain credit scores and credit ratings;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/calculate-the-expected-return-on-a-bond-given-transition-in-its-credit-rating\/\" target=\"_blank\" rel=\"noopener\">-c. Calculate the expected return on a bond given transition in its credit rating;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-structural-and-reduced-form-models-of-corporate-credit-risk-including-assumptions-strengths-and-weaknesses\/\" target=\"_blank\" rel=\"noopener\">-d. Explain structural and reduced-form models of corporate credit risk, including assumptions, strengths, and weaknesses;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/calculate-the-value-of-a-bond-and-its-credit-spread-given-assumptions-about-the-credit-risk-parameters\/\" target=\"_blank\" rel=\"noopener\">-e. Calculate the value of a bond and its credit spread, given assumptions about the credit risk parameters;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/enterpret-changes-in-a-credit-spread\/\" target=\"_blank\" rel=\"noopener\">-f. Interpret changes in a credit spread;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/explain-the-determinants-of-the-term-structure-of-credit-spreads-and-interpret-a-term-structure-of-credit-spreads\/\" target=\"_blank\" rel=\"noopener\">-g. Explain the determinants of the term structure of credit spreads and interpret a term structure of credit spreads;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/compare-the-credit-analysis-required-for-securitized-debt-to-the-credit-analysis-of-corporate-debt\/\" target=\"_blank\" rel=\"noopener\">-h. Compare the credit analysis required for securitized debt to the credit analysis of corporate debt;<\/a><\/em><\/p>\r\n<h2>Reading 32: Credit Default Swaps<\/h2>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-credit-default-swaps-cds-single-name-and-index-cds-and-the-parameters-that-define-a-given-cds-product\/\" target=\"_blank\" rel=\"noopener\">-a. Describe credit default swaps (CDS), single-name and index CDS, and the parameters that define a given CDS product;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/credit-events\/\" target=\"_blank\" rel=\"noopener\">-b. Describe credit events and settlement protocols with respect to CDS;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/market-price-of-cds\/\" target=\"_blank\" rel=\"noopener\">-c. Explain the principles underlying and factors that influence the market&#8217;s pricing of CDS;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/use-of-cds-to-manage-credit-exposures\/\" target=\"_blank\" rel=\"noopener\">-d. Describe the use of CDS to manage credit exposures and to express views regarding changes in shape and level of the credit curve;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/uses-of-cds\/\" target=\"_blank\" rel=\"noopener\">-e. Describe the use of CDS to take advantage of valuation disparities among different markets, such as bonds, loans, equities, and equity-linked instruments;<\/a><\/em><\/p>\r\n<p>&nbsp;<\/p>\r\n","protected":false},"excerpt":{"rendered":"<p>Reading 28: The Term Structure and Interest Rate Dynamics -a. Describe relationships among spot rates, forward rates, yield to maturity, expected and realized returns on bonds, and the shape of the yield curve; -b. Describe how zero-coupon rates (spot rates)&#8230;<\/p>\n","protected":false},"author":4,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[102,472],"tags":[],"class_list":["post-19452","post","type-post","status-publish","format-standard","hentry","category-cfa-level-2","category-fixed-income","blog-post","no-post-thumbnail","animate"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.4 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>CFA Level II Fixed Income Study Notes<\/title>\n<meta name=\"description\" content=\"Study CFA Level II Fixed Income topics including bond valuation, yield curves, credit analysis, swaps, and fixed income risk measures.\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" 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