[对外经济贸易大学投资学课件8.pptVIP

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[对外经济贸易大学投资学课件8.ppt

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[对外经济贸易大学投资学课件8

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 Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. Figure 14.13 Collateralized Debt Obligations Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. 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 Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty