Chapter18BondFundamentals(投資分析與投資組合管理)ppt課件

1、Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K. Reilly & Keith C. BrownChapter 18.Chapter 18Bond FundamentalsQuestions to be answered:What are some of the basic features of bonds that affect their risk, return, and value?What is the cu

2、rrent country structure of the world bond market and how has the makeup of the global bond market changed in recent years?.Chapter 18Bond FundamentalsWhat are the major components of the world bond market and the international bond market?What are bond ratings and what is their purpose?What is the d

3、ifference between investment-grade bonds and high-yield (junk) bonds?.Chapter 18Bond FundamentalsWhat are the characteristics of bonds in the major bond categories such as governments (including TIPS), agencies, municipalities, and corporates?How does the makeup of the bond market in major countries

4、 such as the United States, Japan, the United Kingdom, and Germany differ?.Chapter 18Bond FundamentalsWhat are the important characteristics of corporate bond issues developed in the United States during the past decade such as mortgage-backed securities, other asset-backed securities, zero-coupon a

5、nd deep discount bonds, high-yield bonds, and structured notes?.Chapter 18Bond FundamentalsWithin each of the major bond categories, what are the differences between major countries such as the United States, Japan, the United Kingdom, and GermanyHow do you read the quotes available for the alternat

6、ive bond categories (e.g., governments, municipalities, corporates)?.Basic Features of a BondPay a fixed amount of interest periodically to the holder of recordRepay a fixed amount of principal at the date of maturity.Basic Features of a BondBond market is divided by maturityMoney Market - short-ter

7、m issues that mature within one yearNotes - intermediate-term issues that mature between one and ten yearsBonds - long-term obligations with maturity greater than ten yearsRemaining life (maturity) affect price volatility.Bond CharacteristicsIntrinsic featuresCoupon - yield (interest income)Maturity

8、 - term or serial (municipalities)Principal value - different from market valueType of ownership - bearer or registeredTypes of IssuesSecured (senior) bondsUnsecured bonds (debentures)Subordinated (junior) debentures.Bond CharacteristicsIndenture provisionsFeatures affecting a bonds maturityCallable

9、 (call premium)NoncallableDeferred callNonrefunding provisionSinking fund.Rates of Return on Bondswhere:HPRi,t = the holding period for bond i during the period tPi,t+1 = the market price of bond i at the end of period tPi,t = the market price of bond i at the beginning of period tInti,t = the inter

10、est payments on bond i during period tThe holding period yield (HPY) is:HPY = HPR - 1.The Global Bond-Market StructureParticipating issuers1. Federal governments2. Agencies of the federal government3. State and local political subdivisions (municipalities)4. Corporations5. International issuesForeig

11、n bondsEurobonds.Participating InvestorsIndividual investorsInstitutional investorsLife Insurance CompaniesCommercial BanksProperty and Liability Insurance CompaniesPension FundsMutual Funds .Bond RatingsRatings Services1. Duff and Phelps2. Fitch Investors Service3. Moodys4. Standard & PoorsNon-rate

12、d bonds.Alternative Bond IssuesDomestic government bondsUnited States - T-bills, notes, bonds. TIPSJapan - medium term, long term, super long termGermany - bund bonds, contract with Kassenverienliquid market provided by BundesbankUnited Kingdom - short gilts, medium gilts, long gilts.Government Agen

13、cy IssuesUnited StatesNot direct issues, but backed by “full faith and credit of the U.S. governmentGNMA pass-through certificatesJapanGovernment associate organizationsGermanyFederal Railway and Federal Post Office.Municipal BondsGeneral obligation (GO) bondsRevenue bondsInterest payments are exemp

14、t from federal income taxConvert the tax-free yield of a municipal bond selling close to par to an equivalent taxable yield (ETY).Equivalent Taxable YieldWhere:i = coupon rate of the municipal obligationsT = marginal tax rate of the investor.Municipal Bond GuaranteesBond insured against default risk

15、Insurance is irrevocable for the life of the issueFour private bond insurance carriersMunicipal Bond Investors Assurance (MBIA)American Municipal Bond Assurance Corporation (AMBAC)Financial Security AssuranceFinancial Guaranty Insurance Company (FGIC).Municipal Bond GuaranteesInsured bonds obtain AA

16、A (Aaa) ratingsIssues with private guarantees have more active secondary market, and lower required yield.Corporate BondsMortgage bondsCollateral trust bondsEquipment trust certificatesCollateralized mortgage obligations (CMOs)Other asset-backed securities (ABS)Variable rate notes.Corporate BondsZer

17、o-coupon and deep-discount bondsMinicoupon bondsOriginal-issue discount (OID) bondsTaxes due on the implied interestHigh-yield bonds (speculative bonds and junk bonds)Noninvestment grade with rating below BBB or Baa.Japanese Corporate Bond MarketBonds issued by industrial firms or utilitiesMinimum i

18、ssuing requirements are specified by the Ministry of FinanceBonds issued by banks to finance loans to corporationCommercial banksLong-term credit banksMutual loan and savings banksSpecialized financial institutions.German Corporate Bond MarketBank bondsGerman mortgage bondsGerman commercial bondsPri

19、vate Loan Agreements (Schuldscheindarlehen).U.K. Corporate Bond MarketsDebenturesUnsecured loansConvertible bonds.International BondsForeign bonds are sold in one country and currency by a borrower of a different nationalityYankee bonds are U.S. dollar denominated bonds sold in the U.S. but issued b

20、y a foreign firmEurobonds are underwritten by international bond syndicates and sold in several national markets.International BondsUnited StatesYankee bonds register with SECEurodollar bond market affected by changes in value of U.S. dollar.International BondsJapanSamuri bonds - yen denominated iss

21、ued by non-Japanese firms in JapanEuroyen bonds - yen denominated, sold outside Japan.International BondsGermanyDM-denominated bonds issued by foreign companies are Eurobonds.International BondsUnited KingdomBulldog bonds are sterling-denominated bonds issued by non-English firms and sold in LondonE

22、urosterling bonds are sold in markets outside London by international syndicates.Obtaining Information on BondsLess emphasis on fundamental analysisMost bond investors rely on rating agencies for credit analysisMarket and economic conditionsIntrinsic bond featuresPopular publications available:Wall

23、Street Journal, Barrons, Business Week, Fortune, Forbes, Federal Reserve Bulletin, Survey of Current Business.Bond PublicationsTreasury BulletinStandard & Poors Bond GuideMoodys Bond RecordMoodys Bond SurveyFitch Rating RegisterFitch Corporate Credit AnalysisFitch Municipal Credit AnalysisInvestment

24、 Dealers DigestCredit MarketsDuff & Phelps Credit DecisionsThe Bond Player.Sources of Bond QuotesBank and Quotation RecordThe Blue List of Current Municipal OfferingsWall Street JournalBarrons.Interpreting Bond QuotesQuoted on basis of yield or pricePrice quotes are percentage of par98 1/2 is not $9

25、8.50 but 98.5% of parA municipal $5,000 bond quoted at 98 1/2 would be $4,925.Corporate Bond Quotes Cur Net Bonds Yld Vol Close Chg ATT 81/8 22 7.7 52 1053/8 + 1/4.Corporate Bond Quotes Cur Net Bonds Yld Vol Close Chg ATT 81/8 22 7.7 52 1053/8 + 1/4Issued by AT&T.Corporate Bond Quotes Cur Net Bonds

26、Yld Vol Close Chg ATT 81/8 22 7.7 52 1053/8 + 1/4Issued by AT&T8.125% coupon rate.Corporate Bond Quotes Cur Net Bonds Yld Vol Close Chg ATT 81/8 22 7.7 52 1053/8 + 1/4Issued by AT&T8.125% coupon ratematures in 2022.Corporate Bond Quotes Cur Net Bonds Yld Vol Close Chg ATT 81/8 22 7.7 52 1053/8 + 1/4

27、Issued by AT&T8.125% coupon ratematures in 2022Current yield = coupon/market price = 7.7%.Corporate Bond Quotes Cur Net Bonds Yld Vol Close Chg ATT 81/8 22 7.7 52 1053/8 + 1/4Issued by AT&T8.125% coupon ratematures in 2022Current yield = coupon/market price = 7.7%52 of these bonds traded that day.Co

28、rporate Bond Quotes Cur Net Bonds Yld Vol Close Chg ATT 81/8 22 7.7 52 1053/8 + 1/4Issued by AT&T8.125% coupon ratematures in 2022Current yield = coupon/market price = 7.7%52 of these bonds traded that dayThe closing price was 105 3/8% of par.Corporate Bond Quotes Cur Net Bonds Yld Vol Close Chg ATT

29、 81/8 22 7.7 52 1053/8 + 1/4Issued by AT&T8.125% coupon ratematures in 2022Current yield = coupon/market price = 7.7%52 of these bonds traded that dayThe closing price was 105 3/8% of par which was up 1/4 from the prior day.Corporate Bond QuotesNotations“cv = convertible“zr = zero coupon“dc = deep d

30、iscount (at time of issue)Accrued interest must be added to price quoted.Treasury and Agency Bond QuotesNotations“n = treasury note“p = treasury note on which nonresident aliens are exempt from withholding taxes on interestQuotes resemble OTC securities with bid and ask prices.Treasury and Agency Bo

31、nd QuotesGOVT. BONDS & NOTES Maturity AskRate Mo/Yr Bid Asked Chg. Yld. 55/8 Dec 99n 100:08 100:10 . 5.04.Treasury and Agency Bond QuotesGOVT. BONDS & NOTES Maturity AskRate Mo/Yr Bid Asked Chg. Yld. 55/8 Dec 99n 100:08 100:10 . 5.04Prices are in 32nds usually with a very small spread between bid and ask.Treasury and Agency Bond QuotesU.S. Treasury Strips“ci is the coupon interest portion stripped from the note“np is the principal payment for the treasury noteTreasury BillsPure discount instrument - there is no coupon