对外经济贸易大学投资学8课件.pptVIP

Lecture 8 Introduction to Bond Market;*;*;U.S. Treasury Bonds;Other features ;Innovation in the Bond Market;Table 14.1 Principal and Interest Payments for a Treasury Inflation Protected Security;PB = Price of the bond Ct = interest or coupon payments T = number of periods to maturity r = semi-annual discount rate or the semi-annual yield to maturity;Price of a 30 year, 8% coupon bond. Market rate of interest is 10%.;Prices and yields (required rates of return) have an inverse relationship The bond price curve (Figure 14.3) is convex. The longer the maturity, the more sensitive the bond’s price to changes in market interest rates.;Figure 14.3 The Inverse Relationship Between Bond Prices and Yields;Table 14.2 Bond Prices at Different Interest Rates;Yield to Maturity;Yield to Maturity Example;YTM vs. Current Yield;Figure 14.4 Bond Prices: Callable and Straight Debt;Yield to Call;Realized Yield versus YTM;Figure 14.5 Growth of Invested Funds;Figure 14.6 Prices over Time of 30-Year Maturity, 6.5% Coupon Bonds;YTM vs. HPR;Figure 14.7 The Price of a 30-Year Zero-Coupon Bond over Time;Rating companies: Moody’s Investor Service, Standard Poor’s, Fitch Rating Categories Highest rating is AAA or Aaa Investment grade bonds are rated BBB or Baa and above Speculative grade/junk bonds have ratings below BBB or Baa. ;Coverage ratios Leverage ratios Liquidity ratios Profitability ratios Cash flow to debt;Table 14.3 Financial Ratios and Default Risk by Rating Class, Long-Term Debt;Figure 14.9 Discriminant Analysis;Default Risk and Yield;Figure 14.11 Yield Spreads ;Credit Default Swaps;Credit Default Swaps;Figure 14.12 Prices of Credit Default Swaps;Credit Risk and Collateralized Debt Obligations (CDOs);Figure 14.13 Collateralized Debt Obligations;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