金融市场学Ch4-债券市场

1、2022-3-62022-3-6Bond Market1 1Bond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond M

2、arketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond Mark

3、etBond MarketBond MarketBond MarketBond MarketBond MarketBond Market同方向同方向反方向反方向反方向反方向Bond Market债券期限越长，投债券期限越长，投资者承担的信用风资者承担的信用风险、利率风险、通险、利率风险、通货膨胀风险等越大。货膨胀风险等越大。抵押或担保是对债券还本抵押或担保是对债券还本付息的一种保障，是对债付息的一种保障，是对债券投资风险的一种防范，券投资风险的一种防范，是对投资者信心的一种保是对投资者信心的一种保护护Bond MarketBond MarketBond MarketBond MarketBon

4、d MarketBond MarketBond Market设债券的售价为设债券的售价为P P，P1=PP1=P（1+10%1+10%）=10600=10600P=9636.36P=9636.36元元Bond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond Market招标式招标式价格招标价格招标收益率招标收益率招标招标式招标式荷兰式荷兰式美国式美国式混合式混合式Bond MarketBond MarketBond MarketBond Mark

5、etBond MarketBond MarketBond MarketBond MarketBond MarketBond Market现券交易现券交易期货交易期货交易回购交易回购交易信用交易信用交易Bond Market即时交割即时交割次日交割次日交割择日交割：成交后若干天交割择日交割：成交后若干天交割Bond MarketBond Market回避风险回避风险转嫁风险转嫁风险套期保值套期保值投机交易投机交易Bond MarketBond MarketBond MarketBond MarketBond Marketn净价净价= =全价全价- -应计利息应计利息Bond MarketBond

6、 MarketBond Market中 央 国 债 公 司C E N T R A L B O N D C O M 。同 业 中 心In ter-b an k trad in g cen ter协 议 市 场O u t o f IT C银银 行行 间间 市市 场场I In nt te er r- -b ba an nk k m ma ar rk ke et t中 国 结 算 公 司C H IN A S E T T L E C O M 。上 证 所S S E深 交 所S Z E交 易 所 市 场S St to oc ck k E Ex xc ch ha an ng ge e m ma ar rk

7、ke et t中 国 债 券 市 场B Bo on nd d m ma ar rk ke et t o of f c ch hi in na aBond MarketBond MarketBond MarketBond Market交易所债券市场交易所债券市场国债企业债券可转换债券公司债券柜台债券市场柜台债券市场储蓄国债记账式国债Bond Market交易所债券市场交易所债券市场现券买卖标准券回购买断式回购柜台债券市场柜台债券市场现券买卖Bond Market资金清算投资人投资人人民银行支付系统各商业银行清算系统中央结算公司 询价 谈判 达成 交易债券交割Bond MarketBond Mar

8、ketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond Market%100-发行价格偿还期限发行价格）（面额年票面利息认购者收益率Bond Market%100-购买价格持有期限购买价格）（出售价格年票面利息持有期收益率Bond Market%100-购买价格残存期限购买价格）（面额年票面利息最终收益率Bond Market%100-发行价格偿还期限发行价格）（到期本息和认购者收益率偿还期限）票面利率（本金到期本息和1Bond Mark

9、et%100-购买价持有期限购买价）（卖出价持有期收益率Bond MarketBond Market%100-购买价残存期限购买价）（到期本息和最终收益率Bond MarketBond Market%100-发行价格偿还期限发行价格）（面额认购者收益率Bond Market%100-购买价持有期限购买价）（卖出价持有期收益率Bond MarketBond MarketBond MarketnnttkMkCP)1()1(1Bond Market2211)1()1(SMCSCPBond Market221)1(100050%)71(5093.946SBond Market)1()1/(1)1(112,122SfSBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond Market注：债券每半年付息一次，息票为注：债券每半年付息一次，息票为10%10%Bon