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1、FixedIncomePortfolioManagementProfessorPaulBolsterNortheasternUniversityBoston,MassachusettsUSAFixedIncomePortfolioManagementWhatisfixedincome?ValuationoffixedincomesecuritiesSourcesofriskinfixedincomeportfoliosPassive,active,andothermanagementstrategies
2、Whatisfixedincome?“Fixedincome”referstoallsecuritiesthatprovide(orpromisetoprovide)contractualpaymentsduringtheirlifetime.Fixedincomesecuritiesoftenmakeregularpaymentsofinterest.Bonds,Notes,somemoneymarketinstrumentsSomevariable-interestinstrumentsarecla
3、ssifiedasfixedincomeBonds–BasicFeaturesContract:interest,par,maturitySeniororJuniorclaim?CollateralorDebentureSinkingFundCall(orPut)featureConversionfeatureOthertypes(floatingrate,ZCB,…)BondRatingsAssessmentofcreditworthinessIssuesarerated,notfirmsRating
4、sagenciesInvestmentgradevs.JunkRatingschangesandvalueBondRatings–S&POutlineIndustryAnalysisIndustryRiskMarketPositionOperatingEfficiencyManagementEvaluationFinancialAnalysisEarningsProtectionFinancialLeverageandassetprotectionCashflowadequacyFinancialfle
5、xibilityAccountingqualityBondRatingSpringfielddebtdowngradedtojunk-bondstatus(BostonGlobe,June3,2004)“only2percentofcitiesnationwideareconsideredtobesuchariskyinvestment.ThemovebyStandard&Poor'sputsSpringfieldinthecompanyofsuchdowntroddeneconomicallyburd
6、enedcitiesasCamden,N.J.;Troy,N.Y.;Cranston,R.I.;andPittsburgh”OneyeartransitionmatrixFromToAaaAaABaaBaBC&DAaa91.97.380.720000Aa1.191.37.10.30.200A0.12.691.25.30.60.20Baa00.25.487.95.50.80.2BondValuationPresentvalue!Assumecashflowsareknown,adjustforriski
7、ntherequiredreturn(orYield-to-Maturity)Example:ATT6s10(aslistedontheNYBondExch.)Parvalue=$1,000;Matures:Oct.15,2011Semiannualcoupon=(6%of$1,000)/2=$30Payments:April15,October15YTMBondPrice=PVofCoupons+PVofPar5.14%1,050.03349.03701.005.64%1,020.58343.0867
8、7.516.14%992.13337.27654.866.64%964.63331.61633.027.14%938.04326.08611.967.64%912.34320.69591.658.14%887.50315.43572.068.64%863.47310.30553.169.14%840.23305.29534.939.64%817.75300.41517.35BondValuationExampleAssumesvaluati
