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CHAPTER14 BondPricesandYields 2 Bondsaredebt Issuersareborrowersandholdersarecreditors Theindentureisthecontractbetweentheissuerandthebondholder Theindenturegivesthecouponrate maturitydate andparvalue BondCharacteristics 3 Faceorparvalueistypically 1000 thisistheprincipalrepaidatmaturity Thecouponratedeterminestheinterestpayment Interestisusuallypaidsemiannually Thecouponratecanbezero Interestpaymentsarecalled couponpayments BondCharacteristics 4 U S TreasuryBonds BondsandnotesmaybepurchaseddirectlyfromtheTreasury Denominationcanbeassmallas 100 but 1 000ismorecommon Bidpriceof100 08means1008 32or 1002 50 Notematurityis1 10yearsBondmaturityis10 30years 5 CorporateBonds Callablebondscanberepurchasedbeforethematuritydate Convertiblebondscanbeexchangedforsharesofthefirm scommonstock Puttablebondsgivethebondholdertheoptiontoretireorextendthebond Floatingratebondshaveanadjustablecouponrate 6 PreferredStock Dividendsarepaidinperpetuity Nonpaymentofdividendsdoesnotmeanbankruptcy Preferreddividendsarepaidbeforecommon Notaxbreak EquityFixedincome 7 InnovationintheBondMarket InverseFloatersAsset BackedBondsCatastropheBondsIndexedBondsTreasuryInflationProtectedSecurities TIPS 8 Table14 1PrincipalandInterestPaymentsforaTreasuryInflationProtectedSecurity 9 PB PriceofthebondCt interestorcouponpaymentsT numberofperiodstomaturityr semi annualdiscountrateorthesemi annualyieldtomaturity BondPricing 10 Priceofa30year 8 couponbond Marketrateofinterestis10 Example14 2 BondPricing 11 Pricesandyields requiredratesofreturn haveaninverserelationshipThebondpricecurve Figure14 3 isconvex Thelongerthematurity themoresensitivethebond spricetochangesinmarketinterestrates BondPricesandYields 12 Figure14 3TheInverseRelationshipBetweenBondPricesandYields 13 Table14 2BondPricesatDifferentInterestRates 14 YieldtoMaturity Interestratethatmakesthepresentvalueofthebond spaymentsequaltoitspriceistheYTM Solvethebondformulaforr 15 YieldtoMaturityExample Supposean8 coupon 30yearbondissellingfor 1276 76 Whatisitsaveragerateofreturn r 3 perhalfyearBondequivalentyield 6 EAR 1 03 2 1 6 09 16 YTMvs CurrentYield YTM TheYTMisthebond sinternalrateofreturn YTMistheinterestratethatmakesthepresentvalueofabond spaymentsequaltoitsprice YTMassumesthatallbondcouponscanbereinvestedattheYTMrate CurrentYield Thecurrentyieldisthebond sannualcouponpaymentdividedbythebondprice Forbondssellingatapremium couponrate currentyield YTM Fordiscountbonds relationshipsarereversed 17 YieldtoCall Ifinterestratesfall priceofstraightbondcanriseconsiderably Thepriceofthecallablebondisflatoverarangeoflowinterestratesbecausetheriskofrepurchaseorcallishigh Wheninterestratesarehigh theriskofcallisnegligibleandthevaluesofthestraightandthecallablebondconverge 18 Figure14 4BondPrices CallableandStraightDebt 19 RealizedYieldversusYTM ReinvestmentAssumptionsHoldingPeriodReturnChangesinratesaffectreturnsReinvestmentofcouponpaymentsChangeinpriceofthebond 20 Figure14 5GrowthofInvestedFunds 21 Figure14 6PricesoverTimeof30 YearMaturity 6 5 CouponBonds 22 YTMvs HPR YTM YTMistheaveragereturnifthebondisheldtomaturity YTMdependsoncouponrate maturity andparvalue Allofthesearereadilyobservable HPR HPRistherateofreturnoveraparticularinvestmentperiod HPRdependsonthebond spriceattheendoftheholdingperiod anunknownfuturevalue HPRcanonlybeforecasted 23 Figure14 7ThePriceofa30 YearZero CouponBondoverTime 24 Ratingcompanies Moody sInvestorService Standard Poor s FitchRatingCategoriesHighestratingisAAAorAaaInvestmentgradebondsareratedBBBorBaaandaboveSpeculativegrade junkbondshaveratingsbelowBBBorBaa DefaultRiskandBondPricing 25 CoverageratiosLeverageratiosLiquidityratiosProfitabilityratiosCashflowtodebt FactorsUsedbyRatingCompanies 26 Table14 3FinancialRatiosandDefaultRiskbyRatingClass Long TermDebt 27 Figure14 9DiscriminantAnalysis 28 Sinkingfunds awaytocallbondsearlySubordinationoffuturedebt restrictadditionalborrowingDividendrestrictions forcefirmtoretainassetsratherthanpayingthemouttoshareholdersCollateral aparticularassetbondholdersreceiveifthefirmdefaults ProtectionAgainstDefault 29 DefaultRiskandYield Theriskstructureofinterestratesreferstothepatternofdefaultpremiums Thereisadifferencebetweentheyieldbasedonexpectedcashflowsandyieldbasedonpromisedcashflows ThedifferencebetweentheexpectedYTMandthepromisedYTMisthedefaultriskpremium 30 Figure14 11YieldSpreads 31 CreditDefaultSwaps Acreditdefaultswap CDS actslikeaninsurancepolicyonthedefaultriskofacorporatebondorloan CDSbuyerpaysannualpremiums CDSissueragreestobuythebondinadefaultorpaythedifferencebetweenparandmarketvaluestotheCDSbuyer 32 CreditDefaultSwaps Institutionalbondholders e g banks usedCDStoenhancecreditworthinessoftheirloanportfolios tomanufactureAAAdebt CDScanalsobeusedtospeculatethatbondpriceswillfall ThismeanstherecanbemoreCDSoutstandingthantherearebondstoinsure 33 Figure14 12PricesofCreditDefaultSwaps 34 CreditRiskandCollateralizedDebtObligations CDOs Majormechanismtorealloca
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