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Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,10/13/2017,Copyright 2010 Pearson Education,Inc.Publishing as Prentice Hall,5-,#,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,1,Chapter 5,Factors Affecting Bond Yields and the Term Structure of Interest Rates,1/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,2,Learning Objectives,After reading this chapter,you will understand,why the yield on a Treasury security is the base interest rate,基础利率,the factors that affect the yield spread,收益率价差,between two bonds,what a yield curve is a spot rate,即期利率,and a spot rate curve,how theoretical spot rates are derived using arbitrage arguments,套利机制,from the Treasury yield curve,what the term structure of interest rates,利率期限结构,is,why the price of a Treasury bond should be based on theoretical spot rates,a forward rate,远期利率,and how a forward rate is derived,2/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,3,Learning Objectives,(continued),After reading this chapter,you will understand,how long-term rates are related to the current short-term rate and short-term forward rates,why forward rates should be viewed as hedgeable rates,套期保值率,the various theories about the determinants of the shape of the term structure:pure expectations theory,完全预期理论,the liquidity theory,流动性理论,the preferred habitat theory,期限偏好理论,and the market segmentation theory,市场分割理论,the main economic influences on the shape of the Treasury yield curve,what the swap curve/LIBOR curve,交换利率收益率曲线,is and why it is used as an interest rate benchmark,3/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,4,Base Interest Rates,The securities issued by the U.S.Department of the Treasury are backed by the,full faith and credit,of the U.S.government.,Interest rates on Treasury securities are the key interest rates in the U.S.economy as well as in,international capital,.,The minimum interest rate that investors want is referred to as the,base interest rate,or,benchmark interest rate,that investors will demand for investing in a non-Treasury security.,This rate is the yield to maturity(hereafter referred to as simply,yield,)offered on a comparable maturity Treasury security that was most recently issued(“on the run”).,Exhibit 5-1(,see Overhead 5-5,)shows the yield.,These yields represent the benchmark interest rate.,4/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,5,Exhibit 5-1,U.S.Treasury Security Yields on December 28,Maturity,Yield,3-month,3.01,6-month,3.29,2-year,3.09,3-year,3.04,5-year,3.49,10-year,4.07,30-year,4.49,面对美国国债收益率，金融危机时应该买美国国债还是美国股票指数？,5/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,6,Benchmark Spreads,The difference between the yields of any two bonds is called a,yield spread,as given below for bonds A and B:,yield spread=,yield on bond A,yield on bond B,The normal way that yield spreads are quoted is in terms of basis points.,The yield spread reflects the difference in the risks associated with the two bonds.,When bond B is a benchmark bond and bond A is a non-benchmark bond,the yield spread is referred to as a,benchmark spre,ad;that is,benchmark spread,=,yield on non-benchmark bond yield on benchmark bond,The benchmark spread reflects the compensation that the market is offering for bearing the risks associated with the non-benchmark bond that do not exist for the benchmark bond.,Thus,the benchmark spread can be thought of as a,risk premium,.,6/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,7,Benchmark Spreads,(continued),Exhibit 5-2(,see Overhead 5-8,)provides information on benchmark spreads for actual trades for four issues.,The four issues traded are shown in the second column of the exhibit.,The trade price and the resulting yield for each issue are shown in the fourth and fifth columns.,The appropriate Treasury benchmark for each traded bond is shown in the sixth column.,The yield for the Treasury benchmark issue on the trade date is shown in the seventh column.,The benchmark spread is then the difference between the yield on the traded issue and the yield on the Treasury benchmark issue and is shown in the last column.,7/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,8,Exhibit 5-2,U.S.Treasury Security Yields on December 28,Issuer,Issue,Rating,Trade Price,Yield(%),Treasury,Bench-mark,Bench-mark Yield(%),Bench-mark Spread(bps),General Elect.,Capital Corp.,GE 4.125,09/01/,Aaa/,AAA,100.182,4.008,US/,T 3.125,11/30/,3.218,79.0,EI Du Pont De,Nemours&Co.,DD 5,01/15/,A2/,A,100.681,4.843US/,T 3.375,11/30/,3.616,122.7,The Coca-Cola,Company,KO 5.35,11/15/,Aa3/,A,102.533,5.020US/,T 4.25,11/15/,4.201,81.9,Wal-Mart Stores Inc.,WMT 6.5,08/15/2037,Aa2/,AA,109.010,5.855,US/,T 4.75,02/15/,2037,4.619,123.6,8/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,9,Benchmark Spreads,(continued),Some market participants measure the risk premium on a relative basis by taking the ratio of the yield spread to the yield level.,This measure,called a,relative yield spread,is as follows:,relative yield spread=,(,yield on bond A,yield on bond,B)/,yield on bond B,The,yield ratio,is the quotient of two bond yields:,yield ratio=,yield on bond A,/,yield on bond B,The factors that affect the yield spread include:,the type of issuer,the issuers perceived credit worthiness,the term or maturity of the instrument,provisions that grant either the issuer or the investor the option to do something,the,taxability,of the interest received by investors,the expected liquidity of the security,9/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,10,Benchmark Spreads,(continued),Types of Issuers,The bond market is classified by the type of issuer,including the U.S.government,U.S government agencies,municipal governments,credit(domestic and foreign corporations),and foreign governments.,These classifications are referred to as,market sectors,.,债券市场子市场,Different sectors can be perceived to signify different risks and rewards.,Some market sectors are further subdivided into categories intended to reflect common economic characteristics.,For example,within the credit market sector,issuers are classified as follows:industrial,utility,finance,and non-corporate.,The spread between the interest rate offered in two sectors of the bond market with the same maturity is called an,inter,market sector spread,.,场间利差,The spread between two issues within a market sector is called an,intra,market sector spread,.,场内利差,10/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,11,Benchmark Spreads,(continued),Perceived Credit Worthiness of Issuer,发行人表现出信用情况,Default risk or credit risk refers to the risk that the issuer of a bond may be unable to make timely principal and/or interest payments.,Most market participants rely primarily on commercial rating companies to assess the default risk of an issuer.,The spread between Treasury securities and non-Treasury securities that are identical in all respects except for quality is referred to as a,credit spread,.,信用利差,Examples of credit spreads on December 28,are provided in Exhibit 5-3,(see Overhead 5-12).,The Treasury yields for computing the credit spreads were those shown in Exhibit 5-2,(as was seen in Overhead 5-8),.,As can be seen,for a given maturity,the higher the credit rating is,the smaller the credit spread.,11/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,12,Exhibit 5-3,Corporate Bond Yields and Risk Premium Measures Relative to Treasury Yields on December 28,Maturity,Rating,Corporate Yield(%),Treasury Yield(%),Yield Spread(bps),5-year,AAA,4.60,3.49,111,5-year,AA,4.91,3.49,142,10-year,AAA,5.03,4.07,96,10-year,AA,5.32,4.07,125,Note:Yields were reported on,,.The original source is,ValuBond,.,12/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,13,Benchmark Spreads,(continued),Inclusion of Options,It is not uncommon for a bond issue to include a provision that gives either the bondholder and/or the issuer an option to take some action against the other party.,The presence of an embedded option,（嵌入期权）,has an effect on the spread of an issue relative to a Treasury security and the spread relative to otherwise comparable issues that do not have an embedded option.,An analytical measure called the,option-adjusted spread,(,OAS,),is the yield spread after adjusting for the value of the embedded options.,期权调整利差,Absent any embedded options,the lower rated bond would have a higher benchmark spread.,13/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,14,Benchmark Spreads,(continued),Taxability of Interest,征税,Because of the tax-exempt feature of municipal bonds,the yield on municipal bonds is less than Treasuries with the same maturity.This is seen in Exhibit 5-4(see,Overhead 5-15,),The yield on a taxable bond issue after federal income taxes are paid is called the,after-tax yield,:,after-tax yield=,pretax yield,(1,marginal tax rate,),Alternatively,we can determine the yield that must be offered on a taxable bond issue to give the same after-tax yield as a tax-exempt issue.,This yield is called the,equivalent taxable yield,and is:,等值应税收益率,equivalent taxable yield=,免税收益率,tax-exempt yield,/(1,marginal tax rate,),14/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,15,Exhibit 5-4,AAA Municipal Yields,市政债券,versus AAA Corporate Yields,Maturity,Municipal Yield(%),Corporate Yield(%),Yield Ratio,5-year,3.35,4.91,0.68,10-year,3.87,5.03,0.77,20-year,4.59,5.32,0.86,Note:Yields were reported on .The original source is ValuBond.,15/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,16,Benchmark Spreads,(continued),The municipal bond market is divided into two major sectors:,general obligations,税收支持,and,revenue bonds,.,收入债券,State and local governments may tax interest income on bond issues that are exempt from federal income taxes.,Some municipalities exempt interest income from all municipal issues from taxation;others do not.,Some states exempt interest income from bonds issued by municipalities within the state but tax the interest income from bonds issued by municipalities outside the state.,Municipalities are not permitted to tax the interest income from securities issued by the U.S.Treasury.,Thus part of the spread between Treasury securities and taxable non-Treasury securities of the same maturity reflects the value of the exemption from state and local taxes.,16/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,17,Benchmark Spreads,(continued),Expected Liquidity of an Issue,预期流动性,Bonds trade with different degrees of liquidity.,Bonds with greater expected liquidity will have lower yields that investors would require.,Treasury securities are the most liquid securities in the world.,The lower yield offered on Treasury securities relative to non-Treasury securities reflects the difference in liquidity.,Even within the Treasury market,on-the-run issues,正在发行,have greater liquidity than off-the-run issues.,已发行,17/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,18,Benchmark Spreads,(continued),Financeability of an Issue,债券融资能力,A portfolio manager can use an issue as collateral for borrowing funds so as to create leverage.,担保接入资金,The typical market used by portfolio managers to borrow funds using a security as collateral for a loan is the repurchase agreement(repo)market.,质押回购市场（股票质押回购是股灾时候定时炸弹！）,When a portfolio manager wants to borrow funds via a repo agreement,a dealer provides the funds.,The interest rate charged by the dealer is called the repo rate.,There is not one,repo rate,but a structure of rates depending on the maturity of the loan and the specific issue being financed.,With respect to the latter,there are times when dealers are in need of particular issues to cover a short position.,When a dealer needs a particular issue,that dealer will be willing to offer to lend funds at a lower repo rate than the general,repo rate,in the market.,18/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,19,Benchmark Spreads,(continued),Term To Maturity,The,term to maturity,is the time remaining on a bonds life.,The volatility of a bonds price is dependent on its term to maturity.,All other factors constant,the longer the term to maturity of a bond,the greater the price volatility resulting from a change in market yields.,Bonds are classified into three,maturity sectors,:,Short-term,bonds have a term to maturity of between 1 to 5 years,Intermediate,中期,bonds have a term to maturity of between 5 and 12 years,Long-term,bonds have a term to maturity greater than 12 years,The spread between any two maturity sectors of the market is called a,maturity spread,.,期限利差,The relationship between the yields on otherwise comparable securities with different maturities is called the,term structure of interest rates,.,利率期限结构,19/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,20,Term Structure of Interest Rates,(continued),Yield Curve,收益率曲线,The,yield curve,is the graphical depiction of the relation between the yield on bonds of the same credit quality but different maturities.,Investors have typically constructed yield curves from observations of prices and yields in the Treasury market for two reasons:,First,Treasury securities are free of default risk,and differences in credit worthiness do not affect yields.Therefore,these instruments are directly comparable.,Second,as the largest and most active bond market,the Treasury market offers the fewest problems of illiquidity or infrequent trading.The disadvantage is that the yields may be biased downward because they reflect favorable financing opportunities.,Exhibit 5-5(,see Overhead 5-21,)shows three typical shapes for the yield curve.,20/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,21,Exhibit 5-5,Shape of Price-Yield Relationship for an Option-Free Bond,Yield,Maturity,(a),Positive,Inverted,Flat,Maturity,Maturity,Yield,Yield,(b),(c),21/53,Copyright Pearson Education,Inc.Publishing as Prentice Hall,5-,22,Term Structure of Interest Rates,(continued),Why the Yield Curve Should Not Be Used To Price a Bond,The bond pricing formula assumes that one interest rate should be used to discount all the bonds cash flows.,Because of the different cash flow patterns,it is not appropriate to use the same interest rate to discount all cash flows.,Each cash flow should be discounted at a unique rate appropriate for the time period in which the cash flow will be received.,The correct way to think about bonds is that they are packages of zero-coupon instruments.,零息债券组合,Each zero-coupon instrument in the package has a maturity equal to its coupon payment date or,in the case of the principal,the maturity date.,The value of the bond should,equal,the value of all the component zero-coupon instruments.,22/53,Copyright Pearson Education,Inc.Publ
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