对外经济贸易大学投资学

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1、Lecture8IntroductiontoBondMarket2WhatisbondBondsaregivenbyaissuertoinvestors(debtholders)usuallyinordertoraisemoneyforthefirmHowdobondscomparewithloans?PrivatefinancingClosemonitoringofcreditorBilateralloanBondsissuedinprivateplacementPublicfinancingAccesstomorecapitalAbilitytosp

2、readrisksMultilateralloanBondsissuedtothepublicSecuritization(e.g.,CLOs,MBSs)3BasicFeaturesofbondsFixedfeaturesofbondsPrincipal(facevalue/parvalue):amountbondstatesisowedtoDHsBondsusuallyhavefacevalueof$1,000Maturity:thedatetheprincipalneedstoberepaidCoupon:annualinterestthattheb

3、ondstatesissuerwillpayInterestisusuallypaidsemiannually.Thecouponratecanbezero.Interestpaymentsarecalled“couponpayments”.U.S.TreasuryBondsBondsandnotesmaybepurchaseddirectlyfromtheTreasury.Denominationcanbeassmallas$100,but$1,000ismorecommon.Bidpriceof100:08means1008/32or$1002.50N

4、otematurityis1-10yearsBondmaturityis10-30yearsOtherfeaturesOptionalfeaturesSecuredbond:certainassetsserveascollateralGuaranteedbond:someoneotherthanissuerguaranteespaymentCallable(redeemable)bond:issuermayredeem(pay)bondbeforematurity,oftenrequirespayingcallpremium(e.g.,oneyear’sw

5、orthofextrainterest).Whywouldissuerwanttoredeembonds?Convertiblebond:DHscanconvertbondintosharesOthercovenants:issuerobligations,breachofwhich=defaultInnovationintheBondMarketInverseFloatersAsset-BackedBondsCatastropheBondsIndexedBondsTreasuryInflationProtectedSecurities(TIPS).Tab

6、le14.1PrincipalandInterestPaymentsforaTreasuryInflationProtectedSecurityPB=PriceofthebondCt=interestorcouponpaymentsT=numberofperiodstomaturityr=semi-annualdiscountrateorthesemi-annualyieldtomaturityBondPricingPriceofa30year,8%couponbond.Marketrateofinterestis10%.Example14.2:BondP

7、ricingPricesandyields(requiredratesofreturn)haveaninverserelationshipThebondpricecurve(Figure14.3)isconvex.Thelongerthematurity,themoresensitivethebond’spricetochangesinmarketinterestrates.BondPricesandYieldsFigure14.3TheInverseRelationshipBetweenBondPricesandYieldsTable14.2BondPr

8、icesatDifferentInterestRatesYiel