对外经济贸易大学投资学课件8.ppt

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1、Lecture8IntroductiontoBondMarket2WhatisbondBondsaregivenbyaissuertoinvestors(debtholders)usuallyinordertoraisemoneyforthefirmHowdobondscomparewithloans?PrivatefinancingClosemonitoringofcreditorBilateralloanBondsissuedinprivateplacementPublicfinancingAccesstomorecapitalAb

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

3、alinterestthatthebondstatesissuerwillpayInterestisusuallypaidsemiannually.Thecouponratecanbezero.Interestpaymentsarecalled“couponpayments”.U.S.TreasuryBondsBondsandnotesmaybepurchaseddirectlyfromtheTreasury.Denominationcanbeassmallas$100,but$1,000ismorecommon.Bidpriceof10

4、0:08means1008/32or$1002.50Notematurityis1-10yearsBondmaturityis10-30yearsOtherfeaturesOptionalfeaturesSecuredbond:certainassetsserveascollateralGuaranteedbond:someoneotherthanissuerguaranteespaymentCallable(redeemable)bond:issuermayredeem(pay)bondbeforematurity,oftenrequi

5、respayingcallpremium(e.g.,oneyear’sworthofextrainterest).Whywouldissuerwanttoredeembonds?Convertiblebond:DHscanconvertbondintosharesOthercovenants:issuerobligations,breachofwhich=defaultInnovationintheBondMarketInverseFloatersAsset-BackedBondsCatastropheBondsIndexedBondsT

6、reasuryInflationProtectedSecurities(TIPS).Table14.1PrincipalandInterestPaymentsforaTreasuryInflationProtectedSecurityPB=PriceofthebondCt=interestorcouponpaymentsT=numberofperiodstomaturityr=semi-annualdiscountrateorthesemi-annualyieldtomaturityBondPricingPriceofa30year,8%

7、couponbond.Marketrateofinterestis10%.Example14.2:BondPricingPricesandyields(requiredratesofreturn)haveaninverserelationshipThebondpricecurve(Figure14.3)isconvex.Thelongerthematurity,themoresensitivethebond’spricetochangesinmarketinterestrates.BondPricesandYieldsFigure14.3

8、TheInverseRelationshipBetweenBondPricesandYieldsTable14.2BondPricesatDifferentInterestRatesYiel