Chapter18BondFundamentals(投资分析与投资组合管理)(53页PPT).pptx
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1、Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K.Reilly&Keith C.BrownChapter 18Chapter 18Bond FundamentalsQuestions to be answered:What are some of the basic features of bonds that affect their risk,return,and value?What is the current c
2、ountry 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 differenc
3、e 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 such as the Un
4、ited 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 and deep discount bond
5、s,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 alternative bond categories(e.g.,gov
6、ernments,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 maturityBasic Features of a BondBond market is divided by maturityMoney Market-short-term issues that mature within one year
7、Notes-intermediate-term issues that mature between one and ten yearsBonds-long-term obligations with maturity greater than ten yearsRemaining life(maturity)affect price volatilityBond CharacteristicsIntrinsic featuresCoupon-yield(interest income)Maturity-term or serial(municipalities)Principal value
8、-different from market valueType of ownership-bearer or registeredTypes of IssuesSecured(senior)bondsUnsecured bonds(debentures)Subordinated(junior)debenturesBond CharacteristicsIndenture provisionsFeatures affecting a bonds maturityCallable(call premium)NoncallableDeferred callNonrefunding provisio
9、nSinking fundRates 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 interest payments on bond i during period tThe holding period yield(HPY)is
10、:HPY=HPR-1The Global Bond-Market StructureParticipating issuers1.Federal governments2.Agencies of the federal government3.State and local political subdivisions(municipalities)4.Corporations5.International issuesForeign bondsEurobondsParticipating InvestorsIndividual investorsInstitutional investors
11、Life Insurance CompaniesCommercial BanksProperty and Liability Insurance CompaniesPension FundsMutual Funds Bond RatingsRatings Services1.Duff and Phelps2.Fitch Investors Service3.Moodys4.Standard&PoorsNon-rated bondsAlternative Bond IssuesDomestic government bondsUnited States-T-bills,notes,bonds.T
12、IPSJapan-medium term,long term,super long termGermany-bund bonds,contract with Kassenverienliquid market provided by BundesbankUnited Kingdom-short gilts,medium gilts,long giltsGovernment Agency IssuesUnited StatesNot direct issues,but backed by“full faith and credit”of the U.S.governmentGNMA pass-t
13、hrough certificatesJapanGovernment associate organizationsGermanyFederal Railway and Federal Post OfficeMunicipal BondsGeneral obligation(GO)bondsRevenue bondsInterest payments are exempt from federal income taxConvert the tax-free yield of a municipal bond selling close to par to an equivalent taxa
14、ble yield(ETY)Equivalent Taxable YieldWhere:i=coupon rate of the municipal obligationsT=marginal tax rate of the investorMunicipal Bond GuaranteesBond insured against default riskInsurance is irrevocable for the life of the issueFour private bond insurance carriersMunicipal Bond Investors Assurance(
15、MBIA)American Municipal Bond Assurance Corporation(AMBAC)Financial Security AssuranceFinancial Guaranty Insurance Company(FGIC)Municipal Bond GuaranteesInsured bonds obtain AAA(Aaa)ratingsIssues with private guarantees have more active secondary market,and lower required yieldCorporate BondsMortgage
16、 bondsCollateral trust bondsEquipment trust certificatesCollateralized mortgage obligations(CMOs)Other asset-backed securities(ABS)Variable rate notesCorporate BondsZero-coupon and deep-discount bondsMinicoupon bondsOriginal-issue discount(OID)bondsTaxes due on the implied interestHigh-yield bonds(s
17、peculative bonds and junk bonds)Noninvestment grade with rating below BBB or BaaJapanese Corporate Bond MarketBonds issued by industrial firms or utilitiesMinimum issuing requirements are specified by the Ministry of FinanceBonds issued by banks to finance loans to corporationCommercial banksLong-te
18、rm credit banksMutual loan and savings banksSpecialized financial institutionsGerman Corporate Bond MarketBank bondsGerman mortgage bondsGerman commercial bondsPrivate Loan Agreements(Schuldscheindarlehen)U.K.Corporate Bond MarketsDebenturesUnsecured loansConvertible bondsInternational BondsForeign
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