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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
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