chap5 债券新精品的定价与收益.ppt

Chap5 固定收益证券 Bond Characteristics √ Face or par value(面值） √ Coupon rate（息票利率） √ Maturity date（到期日） 美国中长期国债的报价 公司债券 Provisions of Bonds（债券的条款） √Secured or unsecured(担保与无担保） √Call provision（可赎回） √Convertible provision（可转换） √Put provision (puttable bonds)（可卖回） √Floating rate bonds（浮动利率） 国际债券 √外国债券 一国在另外一个国家以该国货币发行的债券。在美国以美元发行的债券称为扬基债券（Yankee bonds)；在日本以日元发行的债券称为武士债券（Samurai bonds)，在英国以英镑发行的债券称为猛犬债券（bulldog bonds)。 √欧洲债券（Eurobonds) 以一国货币发行但在另一国市场出售的债券。 Bond Pricing 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 Example1: Price of 8%, 10-yr. with yield at 6% Bond Prices and Yields 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 The Inverse Relationship Between Bond Prices and Yields Alternative Measures of Yield Current Yield(现行收益率） 现行收益率是指债券每年的利息收入除以当时的市场价格。 息票利率、现行收益率、到期收益率三者，在债券以平价贴现出售时是一致的。 Yield to Call(赎回收益率） Call price replaces par Call date replaces maturity Holding Period Yield（持有期收益率） Considers actual reinvestment of coupons Considers any change in price if the bond is held less than its maturity Bond Prices: Callable and Straight Debt 赎回收益率与到期收益率的比较 Growth of Invested Funds Premium and Discount Bonds Premium Bond（溢价债券） Coupon rate exceeds yield to maturity Bond price will decline to par over its maturity Discount Bond（折价债券） Yield to maturity exceeds coupon rate Bond price will increase to par over its maturity The Price of a Zero-Coupon Bond over Time Default Risk（违约风险）and Ratings Rating companies Moody’s Investor Service Standard & Poor’s Fitch Rating Categories Investment grade Speculative grade Definitions of Each Bond Rating Class Factors Used by Rating Companies Coverage ratios（偿债能力比率） Leverage ratios（杠杆比率） Liquidity ratios（流动性比率） 最常见的两种流动性比率是流动比率（ t