Chapter18BondFundamentals(投资分析与投资组合管理)

LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK.Reilly&KeithC.BrownChapter18Chapter18BondFundamentalsQuestionstobeanswered:•Whataresomeofthebasicfeaturesofbondsthataffecttheirrisk,return,andvalue?•Whatisthecurrentcountrystructureoftheworldbondmarketandhowhasthemakeupoftheglobalbondmarketchangedinrecentyears?Chapter18BondFundamentals•Whatarethemajorcomponentsoftheworldbondmarketandtheinternationalbondmarket?•Whatarebondratingsandwhatistheirpurpose?•Whatisthedifferencebetweeninvestment-gradebondsandhigh-yield(junk)bonds?Chapter18BondFundamentals•Whatarethecharacteristicsofbondsinthemajorbondcategoriessuchasgovernments(includingTIPS),agencies,municipalities,andcorporates?•HowdoesthemakeupofthebondmarketinmajorcountriessuchastheUnitedStates,Japan,theUnitedKingdom,andGermanydiffer?Chapter18BondFundamentals•WhataretheimportantcharacteristicsofcorporatebondissuesdevelopedintheUnitedStatesduringthepastdecadesuchasmortgage-backedsecurities,otherasset-backedsecurities,zero-couponanddeepdiscountbonds,high-yieldbonds,andstructurednotes?Chapter18BondFundamentals•Withineachofthemajorbondcategories,whatarethedifferencesbetweenmajorcountriessuchastheUnitedStates,Japan,theUnitedKingdom,andGermany•Howdoyoureadthequotesavailableforthealternativebondcategories(e.g.,governments,municipalities,corporates)?BasicFeaturesofaBond•Payafixedamountofinterestperiodicallytotheholderofrecord•RepayafixedamountofprincipalatthedateofmaturityBasicFeaturesofaBond•Bondmarketisdividedbymaturity–MoneyMarket-short-termissuesthatmaturewithinoneyear–Notes-intermediate-termissuesthatmaturebetweenoneandtenyears–Bonds-long-termobligationswithmaturitygreaterthantenyears•Remaininglife(maturity)affectpricevolatilityBondCharacteristics•Intrinsicfeatures–Coupon-yield(interestincome)–Maturity-termorserial(municipalities)–Principalvalue-differentfrommarketvalue–Typeofownership-bearerorregistered•TypesofIssues–Secured(senior)bonds–Unsecuredbonds(debentures)–Subordinated(junior)debenturesBondCharacteristics•Indentureprovisions•Featuresaffectingabond’smaturity–Callable(callpremium)–Noncallable–Deferredcall–Nonrefundingprovision–SinkingfundRatesofReturnonBondsti,ti,1ti,ti,PIntPHPRwhere:HPRi,t=theholdingperiodforbondiduringtheperiodtPi,t+1=themarketpriceofbondiattheendofperiodtPi,t=themarketpriceofbondiatthebeginningofperiodtInti,t=theinterestpaymentsonbondiduringperiodtTheholdingperiodyield(HPY)is:HPY=HPR-1TheGlobalBond-MarketStructure•Participatingissuers–1.Federalgovernments–2.Agenciesofthefederalgovernment–3.Stateandlocalpoliticalsubdivisions(municipalities)–4.Corporations–5.Internationalissues•Foreignbonds•EurobondsParticipatingInvestors•Individualinvestors•Institutionalinvestors–LifeInsuranceCompanies–CommercialBanks–PropertyandLiabilityInsuranceCompanies–PensionFunds–MutualFundsBondRatings•RatingsServices1.DuffandPhelps2.FitchInvestorsService3.Moody’s4.Standard&Poor’s•Non-ratedbondsAlternativeBondIssuesDomesticgovernmentbonds–UnitedStates-T-bills,notes,bonds.TIPS–Japan-mediumterm,longterm,superlongterm–Germany-bundbonds,contractwithKassenverien•liquidmarketprovidedbyBundesbank–UnitedKingdom-shortgilts,mediumgilts,longgiltsGovernmentAgencyIssuesUnitedStates–Notdirectissues,butbackedby“fullfaithandcredit”oftheU.S.government–GNMApass-throughcertificatesJapan–GovernmentassociateorganizationsGermany–FederalRailwayandFederalPostOfficeMunicipalBonds•Generalobligation(GO)bonds•Revenuebonds•Interestpaymentsareexemptfromfederalincometax•Convertthetax-freeyieldofamunicipalbondsellingclosetopartoanequivalenttaxableyield(ETY)EquivalentTaxableYieldWhere:i=couponrateofthemunicipalobligationsT=marginaltaxrateoftheinvestor)-(1ETYTiMunicipalBondGuarantees•Bondinsuredagainstdefaultrisk–Insuranceisirrevocableforthelifeoftheissue•Fourprivatebondinsurancecarriers–MunicipalBondInvestorsAssurance(MBIA)–AmericanMunicipalBondAssuranceCorporation(AMBAC)–FinancialSecurityAssurance–FinancialGuarantyInsuranceCompany(FGIC)MunicipalBondGuarantees•InsuredbondsobtainAAA(Aaa)ratings•Issueswithprivateguaranteeshavemoreactivesecondarymarket,andlowerrequiredyieldCorporateBonds•Mortgagebonds•Collateraltrustbonds•Equipmenttrustcertificates•Collateralizedmortgageobligations(CMOs)•Otherasset-backedsecurities(ABS)•VariableratenotesCorporateBonds•Zero-couponanddeep-discountbonds–Minicouponbonds–Original-issuediscount(OID)bonds–Taxesdueontheimpliedinterest•High-yieldbonds(speculativebondsandjunkbonds)–NoninvestmentgradewithratingbelowBBBorBaaJapaneseCorporateBondMarket•Bondsissuedbyindustrialfirmsorutilities•MinimumissuingrequirementsarespecifiedbytheMinistryofFinance•Bondsissuedbybankstofinanceloanstocorporation–Commercialbanks–Long-termcreditbanks–Mutualloanandsavingsbanks–SpecializedfinancialinstitutionsGermanCorporateBondMarket•Bankbonds•Germanmortgagebonds•Germancommercialbonds•PrivateLoanAgreements(Schuldscheindarlehen)U.K.CorporateBondMarkets•Debentures•Unsecuredloans•ConvertiblebondsInternationalBonds•Foreignbondsaresoldinonecountryandcu