Chap014博迪，凯恩，马库斯《投资学》课件.ppt

Figure 14.10 Callable Bond Issued by Mobil Default Risk and Yield Risk structure of interest rates Default premiums Yields compared to ratings Yield spreads over business cycles Figure 14.11 Yields on Long-Term Bonds, 1954 – 2006 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 Mortgage-backed CDOs were an investment disaster in 2007 Figure 14.12 Collateralized Debt Obligations 14-* Investments, 8th edition Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. CHAPTER 14 Bond Prices and Yields Face or par value Coupon rate Zero coupon bond Compounding and payments Accrued Interest Indenture Bond Characteristics Different Issuers of Bonds U.S. Treasury Notes and Bonds Corporations Municipalities International Governments and Corporations Innovative Bonds Floaters and Inverse Floaters Asset-Backed Catastrophe Figure 14.1 Listing of Treasury Issues Figure 14.2 Listing of Corporate Bonds Secured or unsecured Call provision Convertible provision Put provision (putable bonds) Floating rate bonds Preferred Stock Provisions of Bonds Innovation in the Bond Market Inverse Floaters Asset-Backed Bonds Catastrophe Bonds Indexed Bonds 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 y = semi-annual discount rate or the semi-annual yield to maturity Bond Pricing Ct = 40 (SA) P = 1000 T = 20 periods r = 3% (SA) Price: 10-yr, 8% Coupon, Face = $1,000 Prices and Yields (required rates of return) have an inverse relationship When yields get very high the value of the bond will be very low When yields approach zero, the value of the bond approaches the sum of the cash flows Bond Prices and Yields Figure 14.3 The Inverse Rel