固定收益证 券Introduction.pptVIP

* Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Pricing Floating-Rate andInverse-Floating-Rate Securities(continued) Price of an Inverse-Floater In general, an inverse floater is created from a fixed-rate security. The security from which the inverse floater is created is called the collateral. From the collateral two bonds are created: a floater and an inverse floater. (This is depicted in Exhibit 2-4 as found in Overhead 2-32.) ?The price of a floater depends on (i) the spread over the reference rate and (ii) any restrictions that may be imposed on the resetting of the coupon rate. For example, a floater may have a maximum coupon rate called a cap or a minimum coupon rate called a floor. ?The price of an inverse floater equals the collateral’s price minus the floater’s price. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Exhibit 2-4Creation of an Inverse Floater Floating-rate Bond (“Floater”) Inverse-floating-rate bond (“Inverse floater”) Collateral (Fixed-rate bond) Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Price Quotes and Accrued Interest Price Quotes A bond selling at par is quoted as 100, meaning 100% of its par value. A bond selling at a discount will be selling for less than 100. A bond selling at a premium will be selling for more than 100. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 2-* Price Quotes and Accrued Interest(continued) When quoting bond prices, traders quote the price as a percentage of par value. Exhibit 2-5 illustrate how a price quote is converted into a dollar price. (See truncated version of Exhibit 2-5 in Overhead 2-35.) When an investor purchases a bond between coupon payments, the investor must compensate the seller of the bond for the coupon interest earned from the time of the last coupon payment to the settlement date of the bond. This amount is called accrued interest. For corporate and municipal bonds, accrued in