本章要求金融課件chap08

KeyConceptsandSkills本KeyConceptsandSkills本章要KnowtheimportantbondfeaturesandbondUnderstandbondvaluesandwhytheyUnderstandbondratingsandwhattheyUnderstandtheimpactofinflationoninterestUnderstandthetermstructureofinterestratesandthedeterminantsofbondyieldsChapterOutline本章內(nèi)BondsandBond債ChapterOutline本章內(nèi)BondsandBond債券GovernmentandCorporate政府和公司Bond債券市InflationandInterest通脹和利DeterminantsofBond債券收益率的決定因8.1BondsandBondValuation債8.1BondsandBondValuation債券和債券估Abondisalegallybindingagreementbetweenaborrowerandalenderthatspecifiesthe:債券是借款人和貸款人間的法律約束協(xié)議，規(guī)定ParfacevalueCouponrateCouponpaymentMaturityTheyieldtomaturityistherequiredmarketinterestrateonthebond.到期收益率為所需的債券的市場(chǎng)利BondValuationPrimaryPrinciple:首要原理BondValuationPrimaryPrinciple:首要原理Valueoffinancialsecurities=PVofexpectedfuturecashflows金融證券的價(jià)值Bondvalueis,therefore,determinedbythepresentvalueofthecouponpaymentsandparvalue.因此，債券的價(jià)值由息票支付和面值的現(xiàn)值決定Interestratesareinverselyrelatedtopresent(i.e.,bond)利率與現(xiàn)值呈負(fù)相關(guān)（如債券）TheBond-PricingEquation1BondValue (1TheBond-PricingEquation1BondValue (1rBondExample債券例ConsideraU.S.governmentbondwithas63/8couponthatBondExample債券例ConsideraU.S.governmentbondwithas63/8couponthatexpiresinDecember2013.考慮票面利率6.375%13年12月份到期的國(guó)債。TheParValueofthebondis$1,000.債券面值為$1,000Couponpaymentsaremadesemiannually(June30andDecember31forthisSincethecouponrateis63/8%,thepaymentisOnJanuary1,2009thesizeandtimingofcashflows12/31/12/1/1/6/30BondExample債券例OnJanuary1,2009,therequiredyieldis在2009年1月1日，收BondExample債券例OnJanuary1,2009,therequiredyieldis在2009年1月1日，收益率為5%Thecurrentvalueis:現(xiàn)值PV$31.8751.05BondExample:CalculatorFindthepresentvalueBondExample:CalculatorFindthepresentvalue(asofanuary1,209ofa638%oupnbndwithem-annualpyment,adamaturitydateofDecembr13iftheYTMis5%.535%13月份到期的債券的現(xiàn)值（0911日）。–31.875 2NBondExample債券例Nowassumethattherequiredyieldis假設(shè)收益率為11%HowdoesBondExample債券例Nowassumethattherequiredyieldis假設(shè)收益率為11%Howdoesthischangethebond’sPV$31.8751.11YTMandBond到期收益率和債券價(jià)WhentheYTM<coupon,thebondtradesYTMandBond到期收益率和債券價(jià)WhentheYTM<coupon,thebondtradesataWhentheYTM=coupon,thebondtradesatDiscount6WhentheYTM>coupon,thebondtradesataBond BondConcepts債券BondpricesandBondConcepts債券Bondpricesandmarketinterestratesmoveinoppositedirections.債券價(jià)格和市場(chǎng)利率以相反的方向運(yùn)Whencouponrate=YTM,price=parWhencouponrateYTM,priceparvalue(premiumbond)當(dāng)息票利率>到期收益率，價(jià)格>面值(溢價(jià)債券Whencouponrate<YTM,price<parvalue(discount當(dāng)息票利率<到期收益率，價(jià)格<面值(折價(jià)債券InterestRateRisk利率風(fēng)InterestRateRisk利率風(fēng)PriceRisk價(jià)格風(fēng)ChangeinpriceduetochangesininterestLong-termbondshavemorepriceriskthanshort-termLowcouponratebondshavemorepriceriskthanhighcouponratebonds.InterestRateRisk利率風(fēng)InterestRateRisk利率風(fēng)ReinvestmentRateRisk再投資風(fēng)Uncertaintyconcerningratesatwhichcashflowscanbe關(guān)于現(xiàn)金流可以被再投資的利率的不確定Short-termbondshavemorereinvestmentrateriskthanlong-term短期債券的再投資風(fēng)險(xiǎn)高于長(zhǎng)期債Highcouponratebondshavemorereinvestmentrateriskthanlowcouponratebonds.高息票利率債券的再投資風(fēng)險(xiǎn)高于低息票利率MaturityandBondPriceVolatility發(fā)行期限和債券價(jià)格ConsiderMaturityandBondPriceVolatility發(fā)行期限和債券價(jià)格ConsidertwootherwiseidenticalThelong-maturitybondwillhavemuchmorevolatilitywithrespecttochangesinthediscountShortMaturityDiscountLongMaturityCBondCouponRatesandBondPricesmuchmoregesintheountrate.CouponRatesandBondPricesmuchmoregesintheountrate.CLowCouponDiscountBondConsidertwootherwise考慮兩Thelow-couponbondwillvolatilitywithrespectto低息票利率債券的由貼現(xiàn)動(dòng)HighCoupon利率風(fēng)險(xiǎn)度量：久期 Durationofabond利率風(fēng)險(xiǎn)度量：久期 Durationofabondthatprovidescashflowattimeti在 提供現(xiàn)金流 債券久期whereBisitspriceandyisitsyield(continuouslycompounded)B是價(jià)格，y是收益率（連續(xù)復(fù)利D tceytii 利率風(fēng)險(xiǎn)度量：久期 Durationisimportantbecauseitleadstothefollowingkeyrelationship利率風(fēng)險(xiǎn)度量：久期 Durationisimportantbecauseitleadstothefollowingkeyrelationshipbetweenthechangeintheyieldonthebondandthechangeinitsprice（久期衡量債券價(jià)格對(duì)利率的敏感度B ComputingYieldtoMaturityComputingYieldtoMaturity計(jì)算到期收益YieldtomaturityistherateimpliedbythecurrentbondFindingtheYTMrequirestrialanderrorifyoudonothaveafinancialcalculatorandissimilartotheprocessforfindingrwithanannuity.Ifyouhaveafinancialcalculator,enterN,PV,PMT,andFV,rememberingthesignconvention(PMTandFVneedtohavethesamesign,PVtheoppositesign).YTMwithAnnualCouponsYTMwithAnnualCouponsConsiderabondwitha10%annualcouponrate,15yearstomaturity,andaparvalueof$1,000.Thecurrentpriceis考慮一個(gè)年票面利率為10%的，發(fā)行15年，面值為$1,000?，F(xiàn)價(jià)為$928.09Willtheyieldbemoreorlessthan收益率是高于還是低于10%N=15;PV=-928.09;FV=1,000;PMT=CPTI/Y=YTMwithSemiannualCouponsYTMwithSemiannualCoupons帶半年息的到期收益Supposeabondwitha10%couponrateandsemiannualcouponshasafacevalueof$1,000,20yearstomaturity,andissellingfor$1,197.93.IstheYTMmoreorlessthan到期收益率高于還是低于Howmanyperiodsarethere?N=40;PV=-1,197.93;PMT=50;FV=1,000;CPTI/Y=YTM=4%*2=CurrentYieldvs.YieldtoMaturity當(dāng)年CurrentYieldvs.YieldtoMaturity當(dāng)年收益與到期收益CurrentYieldannualcouponprice當(dāng)年收益=Yieldtomaturity=currentyield+capitalgainsExample:10%couponbond,withsemi-annualcoupons,facevalueof$1,000,20yearstomaturity,$1,197.93price當(dāng)年收益Currentyield1001197.930835Priceinoneyear,assumingnochangeinYTM=Capitalgainyield=(1193.68–1197.93)/1197.93-.0035=-YTM=8.35-.35=8%,whichisthesameYTMcomputedBondPricingTheoremsBondsofsimilarrisk(andBondPricingTheoremsBondsofsimilarrisk(andmaturity)willbepricedtoyieldaboutthesamereturn,regardlessofthecouponrate.youknowthepriceofonebond,youcanestimateitsandusethattofindthepriceofthesecondThisisausefulconceptthatcanbetransferredtovaluingassetsotherthanbonds.ZeroCouponBonds零息債 MakeZeroCouponBonds零息債 Makenoperiodicinterestpayments(couponrate=沒(méi)有定期利息支付（票面利率Theentireyieldtomaturitycomesfromthedifferencebetweenthepurchasepriceandtheparvalue整個(gè)到期收益來(lái)自購(gòu)買價(jià)格與面值的差值CannotsellformorethanparvalueSometimescalledzeroes,deepdiscountbonds,ororiginalissuediscountbonds(OIDs)有時(shí)稱為零息，大幅折價(jià)債券，或原始發(fā)行折價(jià)債TreasuryBillsandprincipal-onlyTreasurystripsaregoodof國(guó)庫(kù)券及零息本金國(guó)債是零息債PureDiscountBonds純貼現(xiàn)債InformationneededforvaluingpurediscountTimetomaturity(T)=MaturityPureDiscountBonds純貼現(xiàn)債InformationneededforvaluingpurediscountTimetomaturity(T)=Maturitydate-today’sFacevalue面值(F)Discountrate折現(xiàn)率(r)T02T1PresentvalueofapurediscountbondattimeF純貼現(xiàn)債券在0時(shí)刻的現(xiàn)值PV(1PureDiscountBonds:Findthevalueofa15-yearzero-couponbondwitha$1,000parvalueandaYTMof12求出15年期，票面利息為0，201FPureDiscountBonds:Findthevalueofa15-yearzero-couponbondwitha$1,000parvalueandaYTMof12求出15年期，票面利息為0，201FPVBondPricingwithaSpreadsheetBondPricingwithaSpreadsheetTherearespecificformulasforfindingbondpricesandyieldsonaspreadsheet.PRICE(Settlement,Maturity,Rate,Yld,Redemption,價(jià)YIELD(Settlement,Maturity,Rate,Pr,Redemption,收Settlementandmaturityneedtobeactual計(jì)算和到期需要為實(shí)際TheredemptionandPrneedtogivenas%ofpar贖回和價(jià)格需要表示成面值的百分ClickontheExceliconforan點(diǎn)擊excel圖標(biāo)獲取例子8.2GovernmentandCorporateBondsSecurities8.2GovernmentandCorporateBondsSecuritiesFederalgovernmentdebt聯(lián)邦政府負(fù)T-bills–purediscountbondswithoriginalmaturitylessthanone短期國(guó)債-初始期限小于1年的純貼現(xiàn)債T-notes–coupondebtwithoriginalmaturitybetweenoneandten中期國(guó)債-最初期限在1到10年的息票債T-bonds–coupondebtwithoriginalmaturitygreaterthanten長(zhǎng)期國(guó)庫(kù)券-初始期限10年以上的息票債SecuritiesDebtofstateandlocalgovernments州或地方政府債Varyingdegreesofdefaultrisk,ratedsimilartocorporate不同程度的違約風(fēng)險(xiǎn)，評(píng)級(jí)類似于公司債Interestreceivedistax-exemptatthefederal收到的利率在聯(lián)邦層面免稅After-taxYields稅后收益After-taxYields稅后收益Ataxablebondhasayieldof8%,andamunicipalbondhasayieldof6%.一個(gè)收益率為8%應(yīng)稅債券和一個(gè)收益率為6%市政債券。Ifyouareina40%taxbracket,whichbonddoyou如果你的納稅等級(jí)為40%，你會(huì)8%(1-.4)=Theafter-taxreturnonthecorporatebondis4.8%,comparedtoa6%returnonthemunicipal公司債券的稅后收益率為4.8%，而市政債券的收益率為Atwhattaxratewouldyoubeindifferentbetweenthetwo在什么樣的稅收水平上，兩種債券對(duì)你來(lái)說(shuō)8%(1–T)=T=CorporateBonds公司債CorporateBonds公司債Greaterdefaultriskrelativetogovernment相對(duì)于政府債券有更高的違約風(fēng)Thepromisedyield(YTM)maybehigherthantheexpectedreturnduetothisaddeddefaultBondRatingsInvestmentQuality債券評(píng)級(jí)BondRatingsInvestmentQuality債券評(píng)級(jí)—HighGradeMoody’sAaaandS&PAAA–capacitytopayisextremely穆迪的Aaa和標(biāo)準(zhǔn)普爾AAA-支付Moody’sAaandS&PAA–capacitytopayisvery穆迪的Aa和標(biāo)準(zhǔn)普爾AA-支付的能力很MediumGradeMoody’sAandS&PA–capacitytopayisstrong,butmoresusceptibletochangesincircumstances穆迪的Aa和標(biāo)準(zhǔn)普爾A-支付的能力強(qiáng)，但是易受環(huán)境變化的影Moody’sBaaandS&PBBB–capacitytopayisadequate,adverseconditionswillhavemoreimpactonthefirm’sabilitytopay 穆迪的aa和標(biāo)準(zhǔn)普BondRatingsSpeculative債券評(píng)級(jí)-BondRatingsSpeculative債券評(píng)級(jí)-LowGradeMoody’sBaandB穆迪的Ba和S&PBBandB標(biāo)準(zhǔn)普爾的BB和ConsideredspeculativewithrespecttocapacitytoVeryLowGradeMoody’s穆迪的S&PC&D標(biāo)準(zhǔn)普爾的C和Highlyuncertainrepaymentand,inmanycases,alreadyindefault,withprincipalandinterestinarrears.8.3BondMarkets債券市8.3BondMarkets債券市Primarilyover-the-countertransactionswithdealersconnectedelectronically主要是場(chǎng)外交易，同經(jīng)銷商通過(guò)電子聯(lián)系。Extremelylargenumberofbondissues,butgenerallylowdailyvolumeinsingleissuesMakesgettingup-to-datepricesdifficult,particularlyonasmallcompanyormunicipalissuesTreasurysecuritiesareanTreasuryQuotations8Nov132:24-TreasuryQuotations8Nov132:24-Whatisthecouponrateonthebond?Whendoesthebondmature?Whatisthebidprice?WhatdoesthisWhatistheaskprice?WhatdoesthisHowmuchdidthepricechangefromthepreviousWhatistheyieldbasedontheaskCleanversusDirtyPricesCleanversusDirtyPricesCleanpricequotedpriceDirtypricepriceactuallypaidquotedpriceplusaccruedinterest骯臟價(jià)格：實(shí)際支付價(jià)格=報(bào)價(jià)+應(yīng)計(jì)利息ExampleConsiderT-bondinpreviousslideassumetodayisJuly15,2009例子：考慮前一幻燈片的長(zhǎng)期國(guó)庫(kù)券，假設(shè)上次派息到現(xiàn)在的天數(shù)Numberofdayssincelastcoupon息票期間的天數(shù)Numberofdaysinthecouponperiod應(yīng)計(jì)利息Accruedinterest61/184)(.04*1,000Prices(basedonask):價(jià)格（基于賣盤價(jià)干凈價(jià)格Cleanprice骯臟價(jià)格Dirtyprice1,327.5013.26So,youwouldactuallypay$1,340.76forthe所以，你實(shí)際會(huì)為該債券支付$1,340.768.4InflationandInterest8.4InflationandInterestRatesRealrateofinterest–changeinpurchasing實(shí)際利率-Nominalrateofinterest–quotedrateofinterest,changeinpurchasingpowerandinflation名義利率-報(bào)價(jià)利率，購(gòu)買力和通脹的Theexantenominalrateofinterestincludesourdesiredrealrateofreturnplusanadjustmentforexpectedinflation預(yù)期的名義利率包含我們期望8.4InflationandInterestRates8.4InflationandInterestRatesRealversusNominalRatesRealversusNominalRates(1R1r)(1hwhere這RnominalraterrealratehexpectedinflationrateApproximation近R=r+Inflation-MostgovernmentbondsfaceInflation-Mostgovernmentbondsfaceinflation大部分政府債券面臨通脹風(fēng)TIPS(TreasuryInflation-ProtectedSecurities),however,eliminatethisriskbyprovidingpromisedpaymentsspecifiedinreal,ratherthannominal,termsTIPS（通貨膨脹保值債券）卻通過(guò)提供TheFisherEffectExampleTheFisherEffectExampleIfwerequirea10%realreturnandweexpectinflationtobe8%,whatisthenominalrate? R=(1.1)(1.08)–1=.188=近似Approximation:R10%8%Becausetherealreturnandexpectedinflationarerelativelyhigh,thereisasignificantdifferencebetweentheactualFisherEffe