对外经济贸易大学投资学.pptVIP

Lecture8IntroductiontoBondMarket 2 Whatisbond Bondsaregivenbyaissuertoinvestors debtholders usuallyinordertoraisemoneyforthefirmHowdobondscomparewithloans PrivatefinancingClosemonitoringofcreditor Bilateralloan Bondsissuedinprivateplacement PublicfinancingAccesstomorecapitalAbilitytospreadrisks Multilateralloan Bondsissuedtothepublic Securitization e g CLOs MBSs 3 BasicFeaturesofbonds FixedfeaturesofbondsPrincipal facevalue parvalue amountbondstatesisowedtoDHsBondsusuallyhavefacevalueof 1 000Maturity thedatetheprincipalneedstoberepaidCoupon annualinterestthatthebondstatesissuerwillpayInterestisusuallypaidsemiannually Thecouponratecanbezero Interestpaymentsarecalled couponpayments U S TreasuryBonds BondsandnotesmaybepurchaseddirectlyfromtheTreasury Denominationcanbeassmallas 100 but 1 000ismorecommon Bidpriceof100 08means1008 32or 1002 50 Notematurityis1 10yearsBondmaturityis10 30years Otherfeatures OptionalfeaturesSecuredbond certainassetsserveascollateralGuaranteedbond someoneotherthanissuerguaranteespaymentCallable redeemable bond issuermayredeem pay bondbeforematurity oftenrequirespayingcallpremium e g oneyear sworthofextrainterest Whywouldissuerwanttoredeembonds Convertiblebond DHscanconvertbondintosharesOthercovenants issuerobligations breachofwhich default InnovationintheBondMarket InverseFloatersAsset BackedBondsCatastropheBondsIndexedBondsTreasuryInflationProtectedSecurities TIPS Table14 1PrincipalandInterestPaymentsforaTreasuryInflationProtectedSecurity PB PriceofthebondCt interestorcouponpaymentsT numberofperiodstomaturityr semi annualdiscountrateorthesemi annualyieldtomaturity BondPricing Priceofa30year 8 couponbond Marketrateofinterestis10 Example14 2 BondPricing Pricesandyields requiredratesofreturn haveaninverserelationshipThebondpricecurve Figure14 3 isconvex Thelongerthematurity themoresensitivethebond spricetochangesinmarketinterestrates BondPricesandYields Figure14 3TheInverseRelationshipBetweenBondPricesandYields Table14 2BondPricesatDifferentInterestRates YieldtoMaturity Interestratethatmakesthepresentvalueofthebond spaymentsequaltoitspriceistheYTM Solvethebondformulaforr YieldtoMaturityExample Supposean8 coupon 30yearbondissellingfor 1276 76 Whatisitsaveragerateofreturn r 3 perhalfyearBondequivalentyield 6 EAR 1 03 2 1 6 09 YTMvs CurrentYield YTM TheYTMisthebond sinternalrateofreturn YTMistheinterestratethatmakesthepresentvalueofabond spaymentsequaltoitsprice YTMassumesthatallbondcouponscanbereinvestedattheYTMrate CurrentYield Thecurrentyieldisthebond sannualcouponpaymentdividedbythebondprice Forbondssellingatapremium couponrate currentyield YTM Fordiscountbonds relationshipsarereversed Figure14 4BondPrices CallableandStraightDebt YieldtoCall Yieldtocallistheyieldassumingbondwillberepurchasedonitscallabledate Ifinterestratesfall priceofstraightbondcanriseconsiderably Thepriceofthecallablebondisflatoverarangeoflowinterestratesbecausetheriskofrepurchaseorcallishigh Wheninterestratesarehigh theriskofcallisnegligibleandthevaluesofthestraightandthecallablebondconverge RealizedYieldversusYTM ReinvestmentAssumptionsHoldingPeriodReturnChangesinratesaffectreturnsReinvestmentofcouponpaymentsChangeinpriceofthebond Figure14 5GrowthofInvestedFunds Figure14 6PricesoverTimeof30 YearMaturity 6 5 CouponBonds YTMvs HPR YTM YTMistheaveragereturnifthebondisheldtomaturity YTMdependsoncouponrate maturity andparvalue Allofthesearereadilyobservable HPR HPRistherateofreturnoveraparticularinvestmentperiod HPRdependsonthebond spriceattheendoftheholdingperiod anunknownfuturevalue HPRcanonlybeforecasted Figure14 7ThePriceofa30 YearZero CouponBondoverTime Ratingcompanies Moody sInvestorService Standard Poor s FitchRatingCategoriesHighestratingisAAAorAaaInvestmentgradebondsareratedBBBorBaaandaboveSpeculativegrade junkbondshaveratingsbelowBBBorBaa DefaultRiskandBondPricing CoverageratiosLeverageratiosLiquidityratiosProfitabilityratiosCashflowtodebt FactorsUsedbyRatingCompanies Table14 3FinancialRatiosandDefaultRiskbyRatingClass Long TermDebt Figure14 9DiscriminantAnalysis DefaultRiskandYield Theriskstructureofinterestratesreferstothepatternofdefaultpremiums Thereisadifferencebetweentheyieldbasedonexpectedcashflowsandyieldbasedonpromisedcashflows ThedifferencebetweentheexpectedYTMandthepromisedYTMisthedefaultriskpremium Figure14 11YieldSpreads CreditDefaultSwaps Acreditdefaultswap CDS actslikeaninsurancepolicyonthedefaultriskofacorporatebondorloan CDSbuyerpaysannualpremiums CDSissueragreestobuythebondinadefaultorpaythedifferencebetweenparandmarketvaluestotheCDSbuyer CreditDefaultSwaps Institutionalbondholders e g banks usedCDStoenhancecreditworthinessoftheirloanportfolios tomanufactureAAAdebt CDScanalsobeusedtospeculatethatbondpriceswillfall ThismeanstherecanbemoreCDSoutstandingthantherearebondstoinsure Figure14 12PricesofCreditDefaultSwaps CreditRiskandCollateralizedDebtObligations CDOs Majormechanismtoreallocatecreditriskinthefixed incomemarketsStructuredInvestmentVehicle SIV oftenusedtocreatetheCDOLoansarepooledtogetherandsplitintotrancheswithdifferentlevelsofdefaultrisk Mortgage backedCDOswereaninvestmentdisasterin2007 Figure14 13CollateralizedDebtObligations InformationonexpectedfutureshorttermratescanbeimpliedfromtheyieldcurveTheyieldcurveisagraphthatdisplaystherelationshipbetweenyieldandmaturityThreemajortheoriesareproposedtoexplaintheobservedyieldcurve OverviewofTermStructure Figure15 1TreasuryYieldCurves BondPricing YieldsondifferentmaturitybondsarenotallequalNeedtoconsidereachbondcashflowasastand alonezero couponbondwhenvaluingcouponbonds Table15 1YieldsandPricestoMaturitiesonZero CouponBonds 1 000FaceValue YieldCurveUnderCertainty Anupwardslopingyieldcurveisevidencethatshort termratesaregoingtobehighernextyearWhennextyear sshortrateisgreaterthanthisyear sshortrate theaverageofthetworatesishigherthantoday srate Figure15 2Two2 YearInvestmentPrograms Figure15 3ShortRatesversusSpotRates DeterminingSpotRates example Z1 3 62 Z2 3 949 Z3 4 007 Thecashflowtimelinefromthestrippedcashflowsisasfollows 0 1 2 3 1 yearbond 2 yearbond 3 yearbond 96 6463 100 000 100 000 4 3 8 100 104 4 103 8 fn one yearforwardrateforperiodnyn yieldforasecuritywithamaturityofn ForwardRatesfromObservedRates Example15 4ForwardRates 4yr 8 00 3yr 7 00 fn 1 08 4 1 07 3 1 fn 1 3605 1 2250 1 fn fn 1106or11 06 DownwardSlopingSpotYieldCurveExample Zero CouponRatesBondMaturity12 111 75 211 25 310 00 49 25 5 ForwardRatesforDownwardSlopingYCExample 1yrForwardRates1yr 1 1175 2 1 12 1 0 1150062yrs 1 1125 3 1 1175 2 1 0 1025673yrs 1 1 4 1 1125 3 1 0 0633364yrs 1 0925 5 1 1 4 1 0 063008 InterestRateUncertainty WhatcanwesaywhenfutureinterestratesarenotknowntodaySupposethattoday srateis5 andtheexpectedshortrateforthefollowingyearisE r2 6 then Therateofreturnonthe2 yearbondisriskyforifnextyear sinterestrateturnsouttobeaboveexpectations thepricewilllowerandviceversa InterestRateUncertaintyContinued Investorsrequireariskpremiumtoholdalonger termbondThisliquiditypremiumcompensatesshort terminvestorsfortheuncertaintyaboutfutureprices ExpectationsLiquidityPreferenceUpwardbiasoverexpectations TheoriesofTermStructure ExpectationsTheory Observedlong termrateisafunctionoftoday sshort termrateandexpectedfutureshort termratesLong termandshort termsecuritiesareperfectsubst