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1、CHAPTERSEVENTHESTRUCTUREOFINTERESTRATESFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversityThereisnosingleinterestrateforanyeconomy;rather,thereisaninterdependentstructureofinterestrates.Theinterestratethataborrowerhastopaydependsonamyriadoffactors.
2、Inthischapterwedescribethesefactors.Webeginwithadis-cussionofthebaseinterestrate:theinterestrateonU.S.governmentsecurities.Next,weexplainthefactorsthataffecttheyieldspreadorriskpremiumfornon-Treasurysecurities.Finally,wefocusononeparticularfactorthataffectstheinter-estratedemandedinaneconomyfora
3、particularsecurity:maturity.Therelation-shipbetweenyieldandmaturity(orterm)iscalledthetermstructureofinterestrates,andthisrelationshipiscriticalinthevaluationofsecurities.Determinantsofthegenerallevelofinterestratesintheeconomywillnotbediscussed.THEBASEINTERESTRATEThesecuritiesissuedbytheU.S.Dep
4、artmentoftheTreasuryarebackedbythefullfaithandcreditoftheU.S.government.Consequently,marketparticipantsthroughouttheworldviewthemashavingnocreditrisk.Therefore,interestratesonTreasurysecuritiesarethebenchmarkinterestratesthroughouttheU.S.economy.ThelargesizesofTreasuryissueshavecontributedtomaki
5、ngtheTreasurymarketthemostactiveandhencethemostliquidmarketintheworld.Theminimuminterestrateorbaseinterestratethatinvestorswilldemandforinvestinginanon-Treasurysecurityistheyieldofferedonacomparablematurityforanon-the-runTreasurysecurity.Thebaseinterestrateisalsoreferredtoasthebenchmarkinterestr
6、ate.RISKPREMIUMMarketparticipantsdescribeinterestratesonnon-Treasurysecuritiesastradingataspreadtoaparticularon-the-runTreasurysecurity.Forexample,iftheyield135Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.136PART2BasicAnalyticsona10-yearnon-Tre
7、asurysecurityis7.68%andtheyieldona10-yearTreasurysecurityis6.68%,thespreadis100basispoints.Thisspreadreflectstheaddi-tionalriskstheinvestorfacesbyacquiringasecuritythatisnotissuedbytheU.S.governmentandthereforecanbecalledaris
