金 融 市 场 学

1. 金 融 市 场 学 攀 登

2. 金融市场学 债券

3. 时间价值 货币是有时间价值的

4. 金融工具分类与时间价值 • 简易贷款 • 年金 • 附息债券 • 贴现债券

5. 现值和终值 • 简易贷款 • 年金 • 附息债券 • 贴现债券

6. 到期收益率 • 简易贷款 • 年金 • 附息债券 • 贴现债券

7. 利率 • 折算惯例 • 比例法 • 复利法 • 名义利率与实际利率 • 差别在于是否考虑了通货膨胀的影响 • 即期利率与远期利率 • 利率水平的决定 • 可贷资金模型 • 流动性偏好模型

8. 利率的结构 • 预期假说 • 市场分割假说 • 偏好停留假说

9. 债券特征 • 面值（Face or par value） • 息票率（Coupon rate） • 零息票债券 • 利息支付方式 • 债券契约

10. 各类债券 • 国债 • 企业债 • 地方政府债券 • 海外债 • 创新债券 • 指数化债券 • 浮动和反向债券

11. Money Markets • US Treasury Bills (T-Bills) • Certificates of Deposit (CD) • Commercial paper (CP) • Bankers’ acceptances • Eurodollars • Repos and Reverses • Federal Funds

12. US Treasury Bills • Initial maturities are • 91-182 days, offered weekly • 52 weeks, offered monthly • Competitive and noncompetitive (10-20%) bids. • The investor buys the instrument at discount • bid-ask (spread) represents the profit for the dealer • quotes use the bank discount yield. • Exempt of state and local taxes.

13. Bank Discount Yield • $10,000 par T-bill at $9,600 with 182 DTM. • $400(360/182) = $791.21thus the bank discount yield is 7.91% rBD=(10,000-P)/10,000 ·360/n • effective annual yield is: (1+400/9600)2-1=8.51% • bond equivalent yield is: rBEY=(10,000-P)/P ·365/n

14. Certificates of Deposit • Time deposits with commercial banks. • It may not be withdrawn upon demand. • Large CDs can be sold prior to maturity. • Insured by FDIC up to $100,000 (Federal Depository Insurance Corporation)

15. Commercial Paper • Unsecured short term debt (corporations). • Maturity is up to 270 days. • CP is issued in multiples of $100,000. • Small investors buy it through mutual funds. • Most issues have credit rating. • Treated for tax purposes as regular debt. • LC backed (letter of credit) optional.

16. Bankers’ acceptances • Orders to a bank by a customer to pay a given sum at a given date. • Backed by bank. • Traded in secondary markets. • Widely used in international commerce, because the creditworthiness is supplied by a bank.

17. Eurodollars • Dollar denominated time deposits in foreign banks. • Most are for large amounts and with maturity of less than 6 months.

18. Repos and Reverses • Repurchase agreements (RPs) used by dealers in government securities. • Term repo has a maturity of 30 days or more. • Reverse repo is the result of a dealer finding an investor buying government securities with an agreement to sell them at a specified price at a specified future date.

19. Federal Funds • Commercial banks that are members of the Federal Reserve System (Fed) are required to maintain a minimum reserve balance with Fed. • Banks with excess reserves lend (usually overnight) to banks with insufficient reserves.

20. Brokers’ Calls • Brokers borrow funds to loan to investors who wish to buy stock on margin. • The broker agrees to repay the loan upon the call of the bank. • The rate is higher because of the credit risk component.

21. LIBOR • London Interbank Offer Rate (LIBOR) is the rate at which the large London banks lend among themselves. • This rate serves often as an anchor for floating rate agreements which for example can be set at LIBOR + 3%

22. Yields on Money Market Instruments • In general, money market instruments are quite safe. • However, T-bills are the safest of the money instruments. • As a result the other instruments provide a slightly higher yield.

23. Fixed-Income Capital Markets • T-Notes - initial maturity of 10 years (or less). • T-Bonds - initial maturities of 10-30 years. • Par (also called face or principal) $1,000. • Interest (coupons) paid semiannualy.

24. Rate Mo/Yr Bid Asked Chg. Ask Yld 83/4 Aug 00n 105:16 105:18 +8 7.55 Rate coupon payment 83/4% of $1,000; paid semiannually; $43.75 per bond each 6 mo. Maturity = August 2000 n = note Bid =105:16 means 10516/32=105.5 at the price $1055 buyer is willing to buy. Ask=105:18 means 10518/32=105.5625 at the price $1055.625 seller is willing to sell.

25. Municipal Bonds (Munis) • Issued by state and local governments and agencies. Interest (not capital gains!) is exempt from federal taxes. • General Obligations are backed by the taxing power of the issuer. • Revenue bonds are backed only by revenues from specific projects. • Industrial Development bond is issued to finance a private projects.

26. Interest from Munis • Is not subject to federal income tax. • Hence the yields are lower： r (1- t) = rm r - before tax return on taxable bond rm - return on municipal bond t - marginal tax rate • Attractive to wealthy investors.

27. Corporate Bonds • Used to generate long-term funds. • The primary difference is the default risk. • Backed by specific assets (like mortgages). • By the financial strength of the firm only (debentures). • Callable at a call price (firm). • Convertible, may be exchanged to a stock (investor).

28. 债券条款 • 信用 • 赎回条款 • 转换条款 • 回售条款 • 浮动利率

29. 违约风险和评级 • 评级公司 • Moody’s Investor Service • Standard & Poor’s • Fitch (Duff and Phelps) • 两个大类 • 投资类 • 投机类

30. 评级机构使用的指标 • 偿债能力（Coverage ratios） • 杠杆比率（Leverage ratios） • 流动性比率（Liquidity ratios） • 盈利能力（Profitability ratios） • 现金流（Cash flow to debt）

31. 违约风险保护 • 偿债基金 • 未来债务 • 红利限制 • 抵押

32. 债券定价（Bond Pricing） PB = 债券价格 Ct = 利息 T = 付息次数 R = 要求收益率

33. 10年期，面值1000, 8%息票率，半年付息一次 PB = $1,148.77 Ct = 40 P = 1000 T = 20 periods r = 3%

34. 债券价格与要求收益率之间的关系 • 要求收益率高则债券价格低 • 要求收益率为零则债券价格为未来现金流之和

35. Price Yield 价格和要求收益率

36. 10 年期，面值1000，息票率 = 7%，当前价格= $950 则，收益率r = 3.8635%

37. 收益率折算 折算为年收益率 7.72% = 3.86% x 2 实际年收益率 (1.0386)2 - 1 = 7.88% 当期收益率 $70 / $950 = 7.37 %

38. 实现的收益率和到期收益率 • 再投资假设 • 持有期收益 • 利率变化 • 利息的再投资 • 价格变化

39. 持有期收益 I = 利息 P1 = 卖出价格 P0 = 买入价格

40. Example 息票率= 8% 要求收益率 = 8% 期限 =10年 P0 = $1000 由于要求收益率降到 7% P1 = $1068.55 HPR = [40 + ( 1068.55 - 1000)] / 1000 HPR = 10.85% (半年)

41. 债券投资的基本策略 • 积极策略 • 预测利率走势 • 寻找市场的非有效性 • 消极策略 • 控制风险 • 平衡风险与收益

42. 债券定价基本性质 • 价格和收益率的反向关系 • 收益增加比收益减少引起的成比例的价格变化较小 • 长期债券的价格比短期债券的价格对利率的敏感性更强 • 随着到期日的增加，价格敏感性的增加呈下降趋势 • 利率敏感性与息票率呈反向关系 • 当债券以一较低的到期收益率出售时，债券价格对收益变化更敏感

43. 久 期 • A measure of the effective maturity of a bond • The weighted average of the times until each payment is received, with the weights proportional to the present value of the payment • Duration is shorter than maturity for all bonds except zero coupon bonds • Duration is equal to maturity for zero coupon bonds

44. 久期的计算

45. 8% Time Payment PV of CF Weight C1 X Bond years (10%) C4 .5 40 38.095 .0395 .0198 1 40 36.281 .0376 .0376 1.5 40 34.553 .0358 .0537 2.0 1040 855.611 . 8871 1.7742 sum 964.540 1.000 1.8853 一个例子

46. 久期与价格之间的关系 =连续复利 =年复利 修正久期D* = D / (1+y)

47. Rules for Duration • Rule 1 The duration of a zero-coupon bond equals its time to maturity • Rule 2 Holding maturity constant, a bond’s duration is higher when the coupon rate is lower • Rule 3 Holding the coupon rate constant, a bond’s duration generally increases with its time to maturity • Rule 4 Holding other factors constant, the duration of a coupon bond is higher when the bond’s yield to maturity is lower

48. Rules for Duration (cont’d) • Rules 5 The duration of a level perpetuity is equal to: • Rule 6 The duration of a level annuity is equal to: • Rule 7 The duration for a corporate bond is equal to:

49. 被动管理 • Bond-Index Funds • Immunization of interest rate risk • Net worth immunization • Duration of assets = Duration of liabilities • Target date immunization • Holding Period matches Duration • Cash flow matching and dedication

50. Price Pricing Error from convexity Duration 久期和凸性 Yield