金融市场与机构 Jeff Madura 07

7BondMarketsChapterObjectivesProvideinformationalbackgroundonU.S.Treasury,stateandmunicipal,andcorporateBondsCalculatebondyieldfromquoteExplaintheroleofbondstoinstitutionalinvestorsDiscusstheglobalizationofbondmarketsBackgroundonBondsBondsrepresentlong-termdebtsecuritiesContractualPromisetopayfuturecashflowstoinvestorsTheissuerofthebondisobligatedtopay:Interest(orcoupon)paymentsperiodicallyusuallysemiannuallyParorfacevalue(principal)atmaturityPrimaryvs.secondarymarketforbondsBackgroundonBonds Theissuer’scostoffinancingwithbondsisthecouponrateDeterminedbycurrentmarketratesandriskUsuallyfixedthroughouttermDeterminesperiodicinterestpaymentsBondInterestRatesBackgroundonBonds Theyieldtomaturity(TYM)istheyieldthatequatesthefuturecouponandprincipalpaymentswiththebondpriceTheYTMistheinvestor’sexpectedrateofreturnifthebondisheldtomaturityTheactualYTMmayvaryfromtheexpectedbecauseofrisksassumedbytheinvestors

BondYieldtoMaturityBackgroundonBonds Aninvestorcanpurchaseaten-year,$1000parvaluebondwithan8percentannualizedcouponratefor$936.Determinetheyieldtomaturityforthisbond.NIPVPMTFV10–936801000BondYieldtoMaturityBackgroundonBonds Aninvestorcanpurchaseaten-year,$1000parvaluebondwithan8percentannualizedcouponratefor$936.Determinetheyieldtomaturityforthisbond.NIPVPMTFV109–936801000BondYieldtoMaturityBackgroundonBondsCorporateBondsCorporationsMunicipalBondsStateandLocalGovernmentsFederalAgencyBondsFederalAgenciesTreasuryBondsFederalGovernment(U.S.Treasury)TypeofBondIssuerBondsbyIssuersU.S.TreasuryBondsIssuedbytheU.S.TreasurytofinancefederalgovernmentexpendituresMaturityNotes,<10YearsBonds,>10to30YearsActiveOTCSecondaryMarketSemiannualInterestPaymentsBenchmarkDebtSecurityforAnyMaturityTreasuryBondsTreasuryBondQuotations 8.38Aug.2013-18 103:05103.11YTM?CouponrateMaturitydateBid/AskpriceaspercentoffacevalueFractionsofpricein32ndsExample:Bidprice103:05,Askprice103:11YieldtoMaturity(YTM)U.S.TreasuryBondYieldToMaturity$83.80Pmt2013–Today=N$1000AskPrice=FV$1033.44PV**AskPrice=103and11/32%ofFaceValueor$1033.4375CalcYTMTreasuryBondsCouponbondsInterestpaidsemiannuallyToregisteredbondholdersStrippedTreasurybondsZero-couponsecuritiesaresoldwithclaimsonU.S.TreasurybondsheldinatrustOnesecurityrepresentstheprincipalpayment(np)atmaturityOthersecuritiesrepresentstheinterestpayments(ci)atinterestpayingdatesCashFlowVariationinT-BondsTreasuryBondsIntendedforinvestorswhoseekinflationprotectionwiththeirinvestmentsCouponrateslessthanotherTreasuriesPrincipalvalueadjustedfortheU.S.inflationrate(CPI)every6monthsCouponincomeincreaseswithinflationInflation-IndexedBondsFederalAgencyBondsGovernmentNationalMortgageAssociation(GNMA)IssuesbondsandusesproceedstopurchaseinsuredFHAandVAmortgagesAU.S.GovernmentAgencyBackedbyexplicitguaranteeofFederalGovernmentExampleofsocialallocationofcapitalFederalAgencyBondsFederalHomeLoanMortgageAssociation(FreddieMac)IssuesbondsandusesproceedstopurchaseconventionalmortgagesAU.S.government-sponsoredagencyNoexplicitguaranteeofbondsbyfederalgovernment,butcreditriskisverylowUsedtoprovideliquidityforthriftsandsupportofhomeownershipMunicipalBondsStateandlocalgovernmentobligationsRevenuebondsvs.generalobligationBondsInvestorinterestincomeexemptfromfederalincometaxTaxReformActof1986placedlimitationsontax-exemptbondissuanceforprivatepurposesCorporateBondsWhencorporationswanttoborrowforlong-termperiodstheyissuecorporatebondsUsuallypaysemiannualinterestMosthavematuritiesbetween10-30yearsPublicofferingvs.privateplacementLimitedexchange,largerOTCsecondarymarketInvestorsseeksafetyofprincipalandsteadyincomeCorporateBondsIndentureLegaldocumentspecifyingrightsandobligationsofissuerandbondholderTrusteeRepresentsbondholderstoassurecompliancewithindentureCorporateBondTerminologyCorporateBondsSinkingFundProvisionRequirementthatthefirmretireacertainamountornumberofbondseachyearProtectsinvestorswithprincipalreductionProtectiveCovenantsPlacesrestrictionsonthefirmtoprotectbondholdersExamples:limitsdividendsandofficersalaries,restrictsadditionaldebtCorporateBondTerminologyCorporateBondsCallprovisions:AbilitytopaybondsoffearlyCallpremiumAdvantagetoissuers;disadvantagetoinvestorBondcollateralUsuallyconsistsofamortgageonrealpropertyUnsecuredbondsarecalleddebenturesandarebackedonlybythegeneralcreditoftheissuingfirmCorporateBondTerminologyCorporateBondsLow-couponandzero-couponbondsProvideinvestorsknownrateofreturnImputedinterestincometaxedifnotintax-shelteredinvestmentplanAttractivetopensionfundswithexpectedpayoutsVariable-ratebondsConvertiblebondsCorporateBondTerminologyCorporateBondsJunkBondsJunkbondsarealsocalledhigh-yieldbondsornoninvestmentratedbondsPopularizedinthedirectfinanceboomofthe1980sTheriskpremiumisbetweenthreeandsevenpercentaboveTreasurybondsandsusceptibletocontagioneffectsSecondarymarketsupportedbydealermarketCorporateBondsMarketQuotation

ATT6½297.3214885/8th+1/4

AT&Tbondquotefor1/13/02(U.S.ExchangeBond)6.5%couponrateMaturityin20297.3%currentyield(annualinterest/price)214bondstradedonthisdayBondpricedatcloseofday885/8th%offace($1000)or$886.25Bondpriceup¼pointforthedayor$2.50Exhibit7.5Financial

InstitutionParticipation

in

Bond

MarketsCommercial

banks

and

savings•Purchase

bonds

for

their

asset

portfolio.and

loan

associations

(S&Ls)•Sometimes

place

municipal

bonds

for

municipalities.•Sometimes

issue

bonds

as

a

source

of

secondary

capital.Finance

companies•Commonly

issue

bonds

as

a

source

of

long-term

funds.Mutual

funds•Use

funds

received

from

the

sale

of

shares

to

purchase

bonds.

Some

bond

mutual

fundsspecialize

in

particular

types

of

bonds,

while

others

invest

in

all

types.Brokerage

rms•Facilitate

bond

trading

by

matching

up

buyers

and

sellers

of

bonds

in

the

secondary

market.Investment

banking

rms•Place

newly

issued

bonds

for

governments

and

corporations.They

may

place

the

bondsand

assume

the

risk

of

market

price

uncertainty

or

place

the

bonds

on

a

best-efforts

basisin

which

they

do

not

guarantee

a

price

for

the

issuer.Insurance

companies•Purchase

bonds

for

their

asset

portfolio.Pension

funds•Purchase

bonds

for

their

asset

portfolio.•MajorInvestorsinCorporateBonds,December,2001LifeInsuranceCompanies$1.33TrillionForeignInvestors$1.23