固定收益证 券Treasury and Agency Securities.pptVIP

Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 7-* Corporate Bonds (continued) Performance of High-Yield Bonds There have been several studies of the risk and return in the high-yield bond market. In the long run, high-yield corporate bonds have outperformed both investment grade corporate bonds and Treasuries but have been outperformed by common stock. Recovery Ratings While credit ratings provide guidance for the likelihood of default and recovery given default, the market needed better recovery information for specific bond issues. In response to this need, two ratings agencies, Fitch and Standard Poor’s, developed recovery rating systems for corporate bonds. SP recovery ratings for secured debt are given in Exhibit 7-10 (see Overhead 7-24) and the FitchRating recovery rating system is given in Exhibit 7-11 (see Overhead 7-25). Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 7-* Exhibit 7-10SP Recovery Ratings for Secured Debt Recovery Rate Ultimate Recovery of Principal Indicative Recovery Expectation 1+ Highest expectation of full recovery of principal 100% of principal 1 High expectation of full recovery of principal 100% of principal 2 Substantial recovery of principal 80%–100% of principal 3 Meaningful recovery of principal 50%–80% of principal 4 Marginal recovery of principal 25%–50% of principal 5 Negligible recovery of principal 0%–25% of principal Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 7-* Exhibit 7-11FitchRating Recovery Rating System Recovery Rating Recovery Prospect Recovery Band R1 Outstanding 91%–100% R2 Superior 71%–90% R3 Good 51%–70% R4 Average 31%–50% R5 Below 11%–30% R6 Poor 0%–10% Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 7-* Corporate Bonds (continued) Secondary Market As with all bonds, the principal second market for corporate bonds is the over-the-counter (OTC) market. Efforts to increase price transparency in the U.S. corporate d