投资学,9e,精要版,48772,48760,英文PPT Chap009.ppt 35页

CHAPTER9BondPricesandYields 14-2Bondsaredebt.Issuersareborrowersandholdersarecreditors.Theindentureisthecontractbetweentheissuerandthebondholder.Theindenturegivesthecouponrate,maturitydate,andparvalue.BondCharacteristics 14-3Faceorparvalueistypically$1000;thisistheprincipalrepaidatmaturity.Thecouponratedeterminestheinterestpayment.Interestisusuallypaidsemiannually.Thecouponratecanbezero.Interestpaymentsarecalled“couponpayments”.BondCharacteristics 14-4U.S.TreasuryBondsBondsandnotesmaybepurchaseddirectlyfromtheTreasury.Denominationcanbeassmallas$100,but$1,000ismorecommon.Bidpriceof100:08means1008/32or$1002.50Notematurityis1-10yearsBondmaturityis10-30years 14-5CorporateBondsCallablebondscanberepurchasedbeforethematuritydate.Convertiblebondscanbeexchangedforsharesofthefirm’scommonstock.Puttablebondsgivethebondholdertheoptiontoretireorextendthebond.Floatingratebondshaveanadjustablecouponrate 14-6PreferredStockDividendsarepaidinperpetuity.Nonpaymentofdividendsdoesnotmeanbankruptcy.Preferreddividendsarepaidbeforecommon.Notaxbreak.EquityFixedincome 14-7InnovationintheBondMarketInverseFloatersAsset-BackedBondsCatastropheBondsIndexedBondsTreasuryInflationProtectedSecurities(TIPS). 14-8Table9.1PrincipalandInterestPaymentsforaTreasuryInflationProtectedSecurity 14-9PB=PriceofthebondCt=interestorcouponpaymentsT=numberofperiodstomaturityr=semi-annualdiscountrateorthesemi-annualyieldtomaturityBondPricing 14-10Priceofa30year,8%couponbond.Marketrateofinterestis10%.Example9.2:BondPricing 14-11Pricesandyields(requiredratesofreturn)haveaninverserelationshipThebondpricecurve(Figure14.3)isconvex.Thelongerthematurity,themoresensitivethebond’spricetochangesinmarketinterestrates.BondPricesandYields 14-12Figure9.3TheInverseRelationshipBetweenBondPricesandYields 14-13Table9.2BondPricesatDifferentInterestRates 14-14YieldtoMaturityInterestratethatmakesthepresentvalueofthebond’spaymentsequaltoitspriceistheYTM.Solvethebondformulaforr 14-15YieldtoMaturityExampleSupposean8%coupon,30yearbondissellingfor$1276.76.Whatisitsaveragerateofreturn?r=3%perhalfyearBondequivalentyield=6%EAR=((1.03)2)-1=6.09% 14-16YTMvs.CurrentYieldYTMTheYTMisthebond’sinternalrateofreturn.YTMistheinterestratethatmakesthepresentvalueofabond’spaymentsequaltoitsprice.YTMassumesthatallbondcouponscanbereinvestedattheYTMrate.CurrentYieldThecurrentyieldisthebond’sannualcouponpaymentdividedbythebondprice.Forbondssellingatapremium,couponrate>currentyield>YTM.Fordiscountbonds,relationshipsarereversed. 14-17YieldtoCallIfinterestratesfall,priceofstraightbondcanriseconsiderably.Thepriceofthecallablebondisflatoverarangeoflowinterestratesbecausetheriskofrepurchaseorcallishigh.Wheninterestratesarehigh,theriskofcallisnegligibleandthevaluesofthestraightandthecallablebondconverge. 14-18Figure9.4BondPrices:CallableandStraightDebt 14-19RealizedYieldversusYTMReinvestmentAssumptionsHoldingPeriodReturnChangesinratesaffectreturnsReinvestmentofcouponpaymentsChangeinpriceofthebond 14-20Figure9.5GrowthofInvestedFunds 14-21Figure9.6PricesoverTimeof30-YearMaturity,6.5%CouponBonds 14-22YTMvs.HPRYTMYTMistheaveragereturnifthebondisheldtomaturity.YTMdependsoncouponrate,maturity,andparvalue.Allofthesearereadilyobservable.HPRHPRistherateofreturnoveraparticularinvestmentperiod.HPRdependsonthebond’spriceattheendoftheholdingperiod,anunknownfuturevalue.HPRcanonlybeforecasted. 14-23Figure9.7ThePriceofa30-YearZero-CouponBondoverTime 14-24Ratingcompanies:Moody’sInvestorService,Standard&Poor’s,FitchRatingCategoriesHighestratingisAAAorAaaInvestmentgradebondsareratedBBBorBaaandaboveSpeculativegrade/junkbondshaveratingsbelowBBBorBaa.DefaultRiskandBondPricing 14-25CoverageratiosLeverageratiosLiquidityratiosProfitabilityratiosCashflowtodebtFactorsUsedbyRatingCompanies 14-26Table9.3FinancialRatiosandDefaultRiskbyRatingClass,Long-TermDebt 14-27Figure9.9DiscriminantAnalysis 14-28Sinkingfunds–awaytocallbondsearlySubordinationoffuturedebt–restrictadditionalborrowingDividendrestrictions–forcefirmtoretainassetsratherthanpayingthemouttoshareholdersCollateral–aparticularassetbondholdersreceiveifthefirmdefaultsProtectionAgainstDefault 14-29DefaultRiskandYieldTheriskstructureofinterestratesreferstothepatternofdefaultpremiums.Thereisadifferencebetweentheyieldbasedonexpectedcashflowsandyieldbasedonpromisedcashflows.ThedifferencebetweentheexpectedYTMandthepromisedYTMisthedefaultriskpremium. 14-30Figure9.11YieldSpreads 14-31CreditDefaultSwapsAcreditdefaultswap(CDS)actslikeaninsurancepolicyonthedefaultriskofacorporatebondorloan.CDSbuyerpaysannualpremiums.CDSissueragreestobuythebondinadefaultorpaythedifferencebetweenparandmarketvaluestotheCDSbuyer. 14-32CreditDefaultSwapsInstitutionalbondholders,e.g.banks,usedCDStoenhancecreditworthinessoftheirloanportfolios,tomanufactureAAAdebt.CDScanalsobeusedtospeculatethatbondpriceswillfall.ThismeanstherecanbemoreCDSoutstandingthantherearebondstoinsure! 14-33Figure9.12PricesofCreditDefaultSwaps 14-34CreditRiskandCollateralizedDebtObligations(CDOs)Majormechanismtoreallocatecreditriskinthefixed-incomemarketsStructuredInvestmentVehicle(SIV)oftenusedtocreatetheCDOLoansarepooledtogetherandsplitintotrancheswithdifferentlevelsofdefaultrisk.Mortgage-backedCDOswereaninvestmentdisasterin2007 14-35Figure9.13CollateralizedDebtObligations