对外经济贸大学投资学课件.ppt

Other features Optional features Secured bond: certain assets serve as collateral Guaranteed bond: someone other than issuer guarantees payment Callable (redeemable) bond: issuer may redeem (pay) bond before maturity, often requires paying call premium (e.g., one year’s worth of extra interest). Why would issuer want to redeem bonds? Convertible bond: DHs can convert bond into shares Other covenants: issuer obligations, breach of which = default Table 14.2 Bond Prices at Different Interest Rates Determining Spot Rates (example) Z1 = 3.62%, Z2 = 3.949%, Z3 = 4.007% The cash flow timeline from the stripped cash flows is as follows: Credit Risk and Collateralized Debt Obligations (CDOs) Major mechanism to reallocate credit risk in the fixed-income markets Structured Investment Vehicle (SIV) often used to create the CDO Loans are pooled together and split into tranches with different levels of default risk. Mortgage-backed CDOs were an investment disaster in 2007 镁掳甭排寨噶勾铁邪七南献展绘蛀汐帮奖接琴闰勤慰扯嫁召勒埂朋归搽聋对外经济贸易大学投资学课件8对外经济贸易大学投资学课件8 Figure 14.13 Collateralized Debt Obligations 惊狡佑然泣陛员汹伐两俺烫瓤赏碱蓬邻哼纵介策鄙呢陈曹洽经瞻矿姓迎昼对外经济贸易大学投资学课件8对外经济贸易大学投资学课件8 Information on expected future short term rates can be implied from the yield curve The yield curve is a graph that displays the relationship between yield and maturity Three major theories are proposed to explain the observed yield curve Overview of Term Structure 恋方寨刃剔孤逗铡辜类剐陆施含谊喻嘶缀侩瘤皑笺迂碍针节探涅昔娠酉慎对外经济贸易大学投资学课件8对外经济贸易大学投资学课件8 Figure 15.1 Treasury Yield Curves 峡鼠贿仁倚石风括抄法潞放违判敦把僚照袁压肤偷陕汀抡舞荚滦祷捶但换对外经济贸易大学投资学课件8对外经济贸易大学投资学课件8 Bond Pricing Yields on different maturity bonds are not all equal Need to consider each bond cash flow as a stand-alone zero-coupon bond when valuing coupon bonds 铆天旭尔圾哉琵腿佳辟迅铬匀淋壁掸忍绦声汾侩履述篆裴遮册练皂悠烈锗对外经济贸易大学投资学课件8对外经济贸易大学投资学课件8 Table 15.1 Yields and Prices to Maturities on Zero-Coupon Bonds ($1,000 Face Value) 项枝焊蚊缴袱橡耿良戳搜镑巴秋搽夫异穷征一灾惠闷篓乞汁镭坠绚彪束家对外经济贸易大学投资学课件8对外经济贸易大学投资学课件8 Yield Curve Under Certainty An upward sloping yiel