Chap014博迪凱恩馬庫斯《投資學(xué)》課件

1、CHAPTER 14Bond Prices and YieldsFace or par valueCoupon rateZero coupon bondCompounding and paymentsAccrued InterestIndentureBond CharacteristicsDifferent Issuers of BondsU.S. TreasuryNotes and BondsCorporationsMunicipalitiesInternational Governments and CorporationsInnovative BondsFloaters and Inve

2、rse FloatersAsset-BackedCatastropheFigure 14.1 Listing of Treasury IssuesFigure 14.2 Listing of Corporate BondsSecured or unsecuredCall provisionConvertible provisionPut provision (putable bonds)Floating rate bondsPreferred StockProvisions of BondsInnovation in the Bond MarketInverse FloatersAsset-B

3、acked BondsCatastrophe BondsIndexed BondsTable 14.1 Principal and Interest Payments for a Treasury Inflation Protected SecurityPB =Price of the bondCt = interest or coupon paymentsT = number of periods to maturityy = semi-annual discount rate or the semi-annual yield to maturityBond PricingCt= 40 (S

4、A)P= 1000T= 20 periodsr= 3% (SA) Price: 10-yr, 8% Coupon, Face = $1,000Prices and Yields (required rates of return) have an inverse relationshipWhen yields get very high the value of the bond will be very lowWhen yields approach zero, the value of the bond approaches the sum of the cash flowsBond Pr

5、ices and YieldsFigure 14.3 The Inverse Relationship Between Bond Prices and YieldsTable 14.2 Bond Prices at Different Interest Rates (8% Coupon Bond, Coupons Paid Semiannually)Yield to MaturityInterest rate that makes the present value of the bonds payments equal to its priceSolve the bond formula f

6、or rYield to Maturity Example10 yr MaturityCoupon Rate = 7%Price = $950Solve for r = semiannual rater = 3.8635%Yield MeasuresBond Equivalent Yield7.72% = 3.86% x 2Effective Annual Yield(1.0386)2 - 1 = 7.88%Current YieldAnnual Interest / Market Price$70 / $950 = 7.37 %Yield to CallFigure 14.4 Bond Pr

7、ices: Callable and Straight DebtExample 14.4 Yield to CallRealized Yield versus YTMReinvestment AssumptionsHolding Period ReturnChanges in rates affect returnsReinvestment of coupon paymentsChange in price of the bondFigure 14.5 Growth of Invested FundsFigure 14.6 Prices over Time of 30-Year Maturit

8、y, 6.5% Coupon BondsHolding-Period Return: Single PeriodHPR = I + ( P0 - P1 ) / P0whereI = interest paymentP1 = price in one periodP0 = purchase priceHolding-Period Return ExampleCR = 8% YTM = 8%N=10 yearsSemiannual CompoundingP0 = $1000In six months the rate falls to 7%P1HPR = 40 + ( 1068.55 - 1000

9、) / 1000 HPR = 10.85% (semiannual)Figure 14.7 The Price of a 30-Year Zero-Coupon Bond over Time at a Yield to Maturity of 10%Rating companiesMoodys Investor ServiceStandard & PoorsFitchRating CategoriesInvestment gradeSpeculative grade/Junk BondsDefault Risk and RatingsFigure 14.8 Definitions of Eac

10、h Bond Rating ClassCoverage ratiosLeverage ratiosLiquidity ratiosProfitability ratiosCash flow to debtFactors Used by Rating CompaniesTable 14.3 Financial Ratios and Default Risk by Rating Class, Long-Term DebtFigure 14.9 Discriminant AnalysisSinking fundsSubordination of future debtDividend restric

11、tionsCollateralProtection Against DefaultFigure 14.10 Callable Bond Issued by MobilDefault Risk and YieldRisk structure of interest ratesDefault premiumsYields compared to ratingsYield spreads over business cyclesFigure 14.11 Yields on Long-Term Bonds, 1954 2006Credit Risk and Collateralized Debt Obligations (CDOs)Major mechanism to reallocate credit risk in the fixed-i