金融市场与金融机构Chapter8

1、1Chapter 8The Bond Markets2Chapter PreviewnWe examine how capital markets operate, and then focus our attention on the bonds and the bond market. Topics include:nPurpose of the Capital MarketnCapital Market ParticipantsnCapital Market TradingnTypes of BondsnTreasury BondsnMunicipal Bonds3Chapter Pre

2、view (cont.)nCorporate BondsnFinancial Guarantees for BondsnBond Yield CalculationsnFinding the Value of Coupon BondsnInvesting in Bonds48.1 Purpose of the Capital MarketnBest known capital market securities:nStocks nBondsnThe purpose of money market is for warehousing funds for short term; while th

3、e purpose of capital market is for long term investment;nOriginal maturity is greater than one year, typically for long-term financing or investments58.2 Capital Market ParticipantsnPrimary issuers of securities:nFederal and local governments: debt issuersnCorporations: equity and debt issuersnLarge

4、st purchasers of securities:nHouseholds-You and me68.3 Capital Market TradingnPrimary market for initial public offerings (IPO)nSecondary marketnOver-the-counternOrganized exchanges (i.e., NYSE)78.4 Types of BondsnBonds are securities that represent debt owed by the issuer to the investor, and typic

5、ally have specified payments on specifies dates.nTypes of bonds we will examine include long-term government bonds (T-bonds), municipal bonds, and corporate bonds.8Figure 8.1 Sohio/BP Corporate BondSample Corporate Bond98.5 Treasury BondsnThe U.S. Treasury issues notes and bonds to finance its opera

6、tions.nThe following table summarizes the maturity differences among the various Treasury securities.108.5 Treasury Bonds118.5.1 Treasury Bond Interest RatesnNo default risk since the Treasury can print money to payoff the debtnVery low interest rates, often considered the risk-free rate (although i

7、nflation risk is still present)128.5.1 Treasury Bond Interest RatesnThe next two figures show historical rates on Treasury bills, bonds, and the inflation rate.138.5.1 Treasury Bond Interest Rates148.5.1 Treasury Bond Interest Rates: Bills vs. Bonds158.5.2&8.5.3 Treasury Bonds: Recent InnovationnTre

8、asury Inflation-Indexed Securities: the principal amount is tied to the current rate of inflation to protect investor purchasing powernTreasury STRIPS (Separate Trading of Registered Interest and Principal of Securities, 离拆单售债券本息票): the coupon and principal payments are “stripped” from a T-Bond and

9、sold as individual zero-coupon bonds.168.5.4 Treasury Bonds: Agency DebtnCongress has authorized a number of US agencies such as GNMA, FNMA, and FHLMC, to issue bonds.(p166)nThe debt has an “implicit” guarantee that the U.S. government will not let the debt default.17房利美和房地美n房利美房利美(Fannie Mae)，联邦国民住

10、房贷款协会，联邦国民住房贷款协会 Federal National Mortgage Association 创立于创立于1938年，是政府出资创建，从事金融业务，用以扩大年，是政府出资创建，从事金融业务，用以扩大资金在二级房屋消费市场上流动的资金。资金在二级房屋消费市场上流动的资金。 1970年，房利美年，房利美股票在纽约交易股票所上市。股票在纽约交易股票所上市。1984年，房利美首次在海外发年，房利美首次在海外发放公司债券，从此公司的业务进入国外金融市场。放公司债券，从此公司的业务进入国外金融市场。n房地美房地美(Freddie Mac, 旧名联邦住房抵押贷款公司旧名联邦住房抵押贷款公司)

11、,商业规模仅次于房利美。商业规模仅次于房利美。1970年由国会成立，作为旨在开拓美国抵押市场，增加家庭年由国会成立，作为旨在开拓美国抵押市场，增加家庭贷款所有权与房屋贷款租金收入。贷款所有权与房屋贷款租金收入。n我国持有两房债券约我国持有两房债券约4000亿美金（亿美金（2.5万亿以上人民币）万亿以上人民币）Treasury Bonds: Agency DebtnAlthough not technically Treasury securities, agency bonds are issued by government-sponsored entities, such as GNMA,

12、 FNMA, and FHLMC.nThe debt has an “implicit” guarantee that the U.S. government will not let the debt default. This “guarantee” was clear during the 2008 bailoutThe 20072009 Financial Crisis:Bailout of Fannie and FreddienBoth Fannie and Freddie managed their political situation effectively, allowing

13、 them to engage in risky activities, despite concerns raised.nBy 2008, the two had purchased or guaranteed over $5 trillion in mortgages or mortgage-backed securities.The 20072009 Financial Crisis:Bailout of Fannie and FreddienPart of this growth was driven by their Congressional mission to support

14、affordable housing. They did this by purchasing subprime and Alt-A mortgages.nAs these mortgages defaults, large losses mounted for both agencies. The final outcome remains unknown.n美国参议院金融委员美国参议院金融委员2014年年3月月11日制日制定了一项关闭美国房利美定了一项关闭美国房利美(Fannie Mae)和房地美和房地美(Freddie Mac)的计划，该计的计划，该计划称将会通过立法的方式逐步关闭这两划

15、称将会通过立法的方式逐步关闭这两个政府所有的房地产抵押贷款机构。但个政府所有的房地产抵押贷款机构。但是市场不必因此而恐慌，因为房地美和是市场不必因此而恐慌，因为房地美和房利美将继续向市场提供长期、固定利房利美将继续向市场提供长期、固定利率的抵押贷款。率的抵押贷款。21228.6 Municipal BondsnIssued by local, county, and state governmentsnUsed to finance public interest projectsnTax-free municipal interest rate = taxable interest rate

16、 (1 marginal tax rate)238.6 Municipal Bonds: ExampleSuppose the rate on a corporate bond is 9% and the rate on a municipal bond is 6.75%. Which should you choose?Answer: Find the marginal tax rate:6.75% = 9% x (1 MTR), or MTR = 25%If you are in a marginal tax rate above 25%, the municipal bond offer

17、s a higher after-tax cash flow.248.6 Municipal BondsnTwo types (p167)nGeneral obligation bonds (一般信用担保债券) -backed by “the full faith and credit”of the issurers; nRevenue bonds （收益债券）-backed by the cash flow of a particular revenue-generating project.nNOT default-free (e.g., Orange County California)

18、nDefaults in 1990 amounted to $1.4 billion in this market258.6 Municipal BondsThe next slide shows the volume of general obligation bonds and revenue bonds issued from 1984 through 2003.Note that general obligation bonds represent a higher percentage in the latter part of the sample.268.6 Municipal

19、Bonds: Comparing Revenue and General Obligation Bonds271994年美国桔县财政破产事件年美国桔县财政破产事件n桔县因其盛产柑桔而得名。它曾是美国最富裕的县之一。然而，桔县因其盛产柑桔而得名。它曾是美国最富裕的县之一。然而，19941994年年1212月，县月，县政府突然宣布损失政府突然宣布损失1717亿美元亿美元n破产原因：该县财政官员罗伯特破产原因：该县财政官员罗伯特西春缺乏风险意识，盲目自信。做法是：用西春缺乏风险意识，盲目自信。做法是：用政府的资金购买大批债券；进行回购交易，将债券临时出售给银行，同时向银政府的资金购买大批债券；进行回

20、购交易，将债券临时出售给银行，同时向银行保证在一定时间内用高于出售价的价钱买回债券；用债券回购所得的资金再行保证在一定时间内用高于出售价的价钱买回债券；用债券回购所得的资金再购买债券。购买债券。n西春通过回购交易筹得巨资后，又将其投资了债券市场。他所购买的债券是由政西春通过回购交易筹得巨资后，又将其投资了债券市场。他所购买的债券是由政府担保的按揭贷款所支持的，其中很多属于一种被称为反向浮动利率期票的债券。府担保的按揭贷款所支持的，其中很多属于一种被称为反向浮动利率期票的债券。当利率升高时，对这种债券的付息减少。这种反向浮动利率期票比通常的债券具当利率升高时，对这种债券的付息减少。这种反向浮动利

21、率期票比通常的债券具有更高的风险。当利率上升时，普通债券的价格下跌，而反向浮动利率期票则会有更高的风险。当利率上升时，普通债券的价格下跌，而反向浮动利率期票则会付出双倍的损失，因为不但期票的价格下降，而且所得的利息也要下降。付出双倍的损失，因为不但期票的价格下降，而且所得的利息也要下降。n西春通过债券回购交易共筹集西春通过债券回购交易共筹集195195亿美元资金，其中亿美元资金，其中115115亿投资于长期国债和政府亿投资于长期国债和政府机构债券，机构债券，8080亿美元投资于反向浮动利率期票。由于短期利率大幅上升，造成桔亿美元投资于反向浮动利率期票。由于短期利率大幅上升，造成桔县财政亏损县财

22、政亏损2020亿美元，被迫宣布破产。亿美元，被迫宣布破产。288.7 Corporate BondsnTypically have a face value of $1,000, although some have a face value of $5,000 or $10,000nPay interest semi-annually298.7 Corporate BondsnCannot be redeemed (赎回) anytime the issuer wishes, unless a specific clause states this (call option 购买选择权).n

23、Degree of risk varies with each bond, even from the same issue. The required interest rate varies with level of risk.308.7 Corporate BondsnThe next slide shows the interest rate on various bonds from 1973-2004.nThe degree of risk ranges from low-risk (AAA) to higher risk (BBB). Any bonds rated below

24、 BBB are considered sub-investment grade debt.318.7 Corporate Bonds: Interest RatesFigure 8.5 Corporate Bond Interest Rates, 19732004 (End of year)Corporate Bonds: Interest Rates338.7.1 Characteristics of Corporate BondsnRegistered BondsnReplaced “bearer” bondsnIRS (Inland Revenue Service 国税局) can t

25、rack interest income this waynRestrictive Covenants 限制性契约nMitigates conflicts with shareholder interestsnMay limit dividends, new debt, ratios, etc.348.7.1 Characteristics of Corporate BondsnCall Provisions 回购条款nThe right for the issuers to force the holders to sell back.nSinking fundnInterest of th

26、e stockholders nHigher yield for the call provisionnConversion nSome debt may be converted to equitynSimilar to a stock option, but usually more limited358.7.2 Types of Corporate BondsnSecured BondsnMortgage bondsnEquipment trust certificatesnUnsecured BondsnDebenturesnSubordinated debentures 附属债券 l

27、ower priority claimnVariable-rate bonds 利率可变债券/36nJunk BondsnDebt that is rated below BBBnOften, trusts and insurance companies are not permitted to invest in junk debtnMichael Milken developed this market in the mid-1980s, although he was convicted of insider trading8.7.2 Types of Corporate Bonds37

28、8.7.3 Corporate Bonds: Debt RatingsThe next slide explains in further details the rating scale for corporate debt. The rating scale is for Moodys. Both Standard and Poors and Fitch have similar debt rating scales.388.7.3 Corporate Bonds: Debt Ratings398.7.3 Corporate Bonds: Debt Ratings (cont.)408.8

29、 Financial Guarantees for BondsnSome debt issuers purchase financial guarantees to lower the risk of their debt.nThe guarantee provides for timely payment of interest and principal, and are usually backed by large insurance companies.nFinancial guarantees were developed in 1970s to insure municipal

30、bonds and expanded to cover many corporate bonds as well later on.418.9 Bond Yield CalculationsnBond yields are quoted using a variety of conventions, depending on both the type of issue and the market.nWe will examine two bond yield calculations commonly used for short and long-term debt.428.9.1 Bo

31、nd Yield Calculations: Current YieldWhat is the current yield for a bond with a face value of $1,000, a current price of $921.01, and a coupon rate of 10.95%?Answer:ic = C / P = $109.50 / $921.01 = 11.89%Note: C ( coupon) = 10.95% x $1,000 = $109.50438.9.2 Bond Yield Calculations: Yield on a Discoun

32、t BasisWhat is the discount yield for a one-year bond with a face value of $1,000, and a current price of $875?Answer:idb = (F-P) / F x 360 / days to maturity = (1000 875) / 1000 x 360 / 365 = 12.33%448.10 Finding the Value of Coupon BondsBond pricing is, in theory, no different than pricing any set

33、 of known cash flows the current price is the present value of all future cash flows. The table on the next slide outlines some of the terminology unique to debt, which may be necessary to understand to determine the cash flows.458.10 Finding the Value of Coupon Bonds468.10 Finding the Value of Coup

34、on BondsLets use a simple example to illustrate the bond pricing idea.What is the price of two-year, 10% coupon bond (semi-annual coupon payments) with a face value of $1,000 and a required rate of 12%?478.10 Finding the Value of Coupon BondsSolution:nIdentify the cash flows:$50 is received every si

35、x months in interest$1000 is received in two years as principal repaymentnFind the present value of the cash flows (calculator solution):N = 4, FV = 1000, PMT = 50, I = 6Computer the PV. PV = 965.35488.11 Investing in BondsnBond are the most popular alternative to stocks for long-term investing.nEve

36、n though the bonds of a corporation are less risky than its equity, investors still have risk: price risk and interest rate risk, which were covered in chapter 3498.11 Investing in BondsThe next slide shows the amount of bonds and stock issued from 1983 to 2003.Note how much larger the market for new debt is. Even in the late 1990s,