第二讲，债券的收益率.pptxVIP

第2讲　债券的收益率1. 收益率差异 2. 债券收益率的度量1. 收益率差异LIBOR ：Floater短期借贷央行对基准利率的影响影响yield spread的因素：信用品质 经济景气内含期权 Call or prepayment Put or conversion option流动性 发行规模税收2. 债券收益率的度量就传统的固定收益债券而言，投资收益包括： 定期的利息支付 本金收回（资本利得） 再投资收益 2.1当期收益率 current yield =Annual Interest / Market Price 2.2　到期收益率Yield to Maturity 使债券未来承诺现金流的现值与其当前价格相等的贴现率 与债券价格包含同样信息 内在收益率 解下列关于r的方程: Yield to Maturity: Example10 yrs Maturity Coupon Rate = 7%Price = $950Solve forr = 3.8635%YTM=3.86% x 2 = 7.72%bond equivalent yield (BEY)对价格为面值的债券而言, 息票率=当期收益率=到期收益率对溢价债券而言, 息票率当期收益率到期收益率对折价债券而言, 到期收益率当期收益率息票率2.3　赎回收益率Yield to CallYTC=6.64% YTM=6.82%call protectionyield to call forpremium bonds yield to maturity for discount bonds2.42.5传统收益率度量的局限性：YTM没有考虑利息再投资收益；YTM假定投资者持有债券到期并且以YTM进行再投资；YTC、YTP、CFY存在同样局限 CFY有提前偿付率的假定 内在收益率与债券实现的收益率不一致2.6　实现复利收益率Realized compound Yield 在a）的情况下，实现复利收益率为 1000(1+yrealized)2=1210 yrealized=10% 在b）的情况下，实现复利收益率为 1000(1+yrealized)2=1208 yrealized=9.91%However, in an economy with future interest rate uncertainty, the rates at which interim coupons will be reinvested are not yet known.This reduces much of the attraction of the realized yield measure. 2.7持有期回报率Holding-Period ReturnHPR = [ I + ( P1- P0 )] / P0whereI = interest paymentP1 = price in one periodP0 = purchase priceHolding-Period Return： ExampleCR = 8% YTM = 8% N=10 yearsSemiannual Compounding P0 = $1000In six months the rate falls to 7% P1 = $1068.55HPR = [40 + ( 1068.55 - 1000)] / 1000 HPR = 10.85% (semiannual)When the yield to maturity is unchanged over the period, the rate of return on the bond will equal that yield.An increase in the bond’s yield acts to reduce its price, which means that the holding period return will be less than the initial yield. Conversely, a decline in yield will result in a holding period return greater than the initial yield. 　2.8 OID债券的税后收益 有些债券以较低的息票率发行，按面值打折出售（OID， original issue discount ） 极端的例子为零息债券，没有息票利息，而以价格升值的形式提供全部收益。 美国的国库券是短期零息债券 长期零息债券一般由中长期国债剥离而成（separate trading of registere