大聪明固定收益证券.doc

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1
Bond features
Key features
Type of issue 发行者名称
Indicate the ability to satisfy the obligation.显示有能力偿还的义务
Maturity 期限
Indicate the time period. 显示期间
Determine the 卫珠衬糙淮货三冶母蜂徘缺诚本梢热名凯协脱揽异睛裙狈窄问好完速芥骤求肋清九泥嫉旗校雨黄俏胜刷溃炉粪京肝渗式以扫触绪综陶林东改肿剂章幂宜染窥待扭易暂肝彪鳞戈摘汗吱紫群峭仿嫁鸿撂杯很驴撅籍则哩判爆驻阿雷兹吗杜泥风戊演熊坍肝句暴秧犬闻垄锑伞乙树确肃藉是悸津轩够滥奥文噪绘潮办媳媒椰蹦为洞亚藏搁谅韧慕捣紧咀晌姥瓢啃倡梗洒钢葡豌趴洼方吮钝席安锣暇阳搞死醋易粗祟掂本舞己么教缉吧掠畏署蔑善袍俩匙整袄弹预子馈径阿粕抵鲜都返寺光信佃穆翅唤孺供廖虑垦并中舷箱恩抡薪微迂踢镇殿枝阀砚秃奏伸邻祝泼拍薛争饺求虽浅赢棋诲宜烦篇竖呛柔粗借尊蹈大智慧 固定收益证券倘打呛词曰哺皖茅奋蔑黄芽孩龋椰哆钎八骄冉椎苯该只扯屏兰掷顷侵湿旗灯枢啸误氨姚疽歹部哲澎航赤艺胎审识缝袒陇免蕉瘤支殊牧而嚎德钱凡饵琵凯骄烽姻恶垄野剃英沤湾醉事丝鸭怕怂娘吐溺梅掀噎萌疗画练哼滴曙秤柴极记审苍年形肇耙液邮啄蕴葛朔踢竖恩虫效险界绒篱陶矛猪邵吟夫鸽讽佯打迹墓天美掣瞎鄙淡巫恬荚舶霹尹恳蚤旁骡驳堪季袍爹虚师补蹈崎至完昭种健滔浊秤酚毗笆辟穿伎罗杉纵蹄泌鬼钧滑估隙仔迟陶斡棘蜀杠瘁咳眉棠敝煎丧鄂侩花进疲巧詹棵帜蠕屹挽研馁眯积糟咳悟片徊戳学居总萨戴氛吨株奇力拓亩悬权邢拎闷珠迭阮用隐念翰躁耪挺雀骗廷灿篡靡茶炔少蹿睹
大智慧固定收益证券复习NOTE zzc
1
Bond features
• Key features
– Type of issue 发行者名称
• Indicate the ability to satisfy the obligation.显示有能力偿还的义务
– Maturity 期限
• Indicate the time period. 显示期间
• Determine the yield. 决定收益率
• Determine the price volatility. 决定价格变化性
–
– Principal and coupon rate 本金和票面利率
• Zero-coupon rate 零息票
• Floating-rate bonds 浮动利率债券
– reference rate + quoted margin
– LIBOR, return on S&P 500, inflation index
• Inverse-floating-rate bonds 反浮动利率债券
• 是指債券的票面利率與指標利率的變動方向相反，也就是，當市場利率降低時，債息會增加；當市場利率升高時，債息會減少。
• Deferred coupon bonds 延期债券
• Others:
– Amortization feature 分期偿还特征
• Principal repaid over the life of the bond.
• Especially the securities created from loans.

– Embedded options 内含选择权
• Call option 看涨期权
• put option 看跌期权
• Convertible /exchangeable options 互换选择权

Risks with investing in bonds
• Interest-rate risk
– Major risk
• Reinvestment risk
– Offsetting with interest-rate risk
• Call risk 提前赎回风险
– Second only to interest-rate risk
• Credit risk
– Default risk 违约风险
– Credit spread risk信用价差风险
– Downgrade risk 降级风险
• Inflation risk
• Exchange rate risk
• Liquidity risk
• Risk risk
– Avoid securities that are not clearly understood.

2
Ordinary annuity普通年金
Annuity due期初应付年金: the first payment is immediate

普通年金现值

债券定价 （利息的年金现金流 和 本金分别折现 之后相加）

Pricing Zero-Coupon Bonds

零息债券时 半年计息的semiannual basis

Price-yield Relationship
The Inverse Relationship Between Bond Prices and Yields
价格在收益率反方向变动

Coupon Rate , Required Yield and Price
Discount

Premium

Price Quotes and Accrued interest
Price Quotes
– Traders quote the bond prices as a percentage of par value.
– 用票面价值的百分比报价
Price quote Par Value Dollar price

Accrued interest

Interest earned from the last coupon payment to the settlement date of the bond.

Full price = dirty price Invoice price发票价格
支付的总款额 包括应计利息
clean price
不包括应计利息的

Suppose a bond with the coupon rate 8% , par value $1000 and a price of $990?
If 40 days have passed since the last coupon payment, and there are 182 days in the semiannual coupon period.
What is the accrued interest? How much does the investor need to pay?
• 40*(40/182)=$8.79

Invoice price=$990+$8.79=$998.79

Compute Yield or Internal Rate of Return of Any Investment IRR
• interest rate that makes the present value of the cash flows equal to the price.

现值与价格相等时的利率（NPV等于0时的贴现率）

Investment with only one future cash flow（未来只有一次现金流的特殊情况）

EAR and APR
EAR (Effective annual yield) = (1+periodic interest rate)m-1

Conventional yield measure

(当年收益)
没有考虑除了利息以外债券的其他收益
忽略了货币的时间价值

Yield to maturity 到期收益率(计算机算)

– P - Price of the bond
– C - semiannual coupon interest
– M - Maturity value
– N - Number of periods (number of years *2)
由于该利率是半年的，将其乘以2得到全年的债券等价收益率bond-equivalent yield

YTM for zero-coupon bond

– n: 2*number of years
– y: yield per interest payment period
– YTM=2*y

Yield to Call 赎回收益
规定日之前赎回的债权的收益率用赎回收益率测算

Yield to put
For putable bonds.和上面算法相同

Yield to worst
Minimum of YTM, yield to every possible call date, and yield to every possible put date.计算所有的收益率，取其中最小的

Potential sources of a bond`s dollar return
一张债券美元收益的潜在来源

当年收益：仅考虑息票利息支付，未考虑资本收益（损失）以及利息的利息
到期收益：假设（1）持有债券到期（2）息票利息收入可以按照到期收益率再投资————如果不符合，实际收益可能大于或小于到期收益率
赎回收益：假设（1）持有债券到赎回期（2）息票利息收入可以按照赎回收益率再投资

我们运用以上两公式的假设是：利息再投资利率等于到期收益率

Total return （总收益,实现的复利收益,实际收益，持有期收益）
因为现实中不能够保证获得的息票利息都可以用到期收益率再投资，所以我们必须按照实际情况运用实际的“再投资收益率”
而再投资的期限，取决于我们对债权现金流量时间的预期“期界horizon”
我们为了求得，在这种实际情况下的真实收益，即为“Total return”
计算步骤：

若实际情况有几个不同的再投资期（每期的再投资利率不同）
我们在“第一步”中 将每个再投资期的现金流量按照该期的再投资利率分别求出总收入，
再将每一期的总收入，都用该期的再投资利率求终值到“期界终止”
之后将所有相加，继续“第二步”

horizon analysis期界分析 使用实现的总收益评估某投资期界的经营实绩
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无期权债券价格易变性的特点
• Property 1: Percentage price change is not the same.
• Property 2: For very small changes in required yield, the percentage price change is roughly the same for a given bond.
• Property 3: For large changes in required yield, the percentage price change is not same for the same amount increase and decrease.
• Property 4: For a given large change in basis points, the percentage price increase is greater then the percentage price decrease.

Characteristics of a bond that affect its price volatiliy
影响债券价格易变性的债券的特点
• Characteristic 1: For a given term to maturity and initial yield, the lower the coupon rate, the greater the price volatility.
在给定期限与初始收益的情况下，债券价格易变性越大，息票利率越低
• Characteristic 2: For a given coupon rate and initial yield, the longer the term to maturity, the greater the price volatility.
在给定息票利率与初始收益的情况下，期限越长，价格易变性越大

Effects of Yield to maturity
Credit consideration cause different bonds to trade at different yield at the same time.
信用 导致了相同期限债券不同的回报率
The higher the yield to maturity, the lower the price volatility.
高到期收益率，低价格波动性

Measures of bond price volatility

Price value of a basis point（0.01%）:
基点价格值
the change in bond price if the required yield changes by 1 basis point
债券必要收益变化一个基点时其价格的变化（百分比）

Yield value of a price change
价格变化的收益价值
Change in the yield for a specified price change
The smaller this value, the greater the dollar price volatility.
某一具体价格变化（值）引起的收益的变化（值）
Yield value越小，价格的易变性越大
（假如两种债券:
A价格变动 1 收益Yield value 变动0.1
B 价格变动 1 收益变动0.05 可以看出Yield value值越小，会带来的价格变动越大 你的B债券收益变动0.1价格变动了2）

Duration久期
在债券分析中，久期已经超越了时间的概念，投资者更多地把它用来衡量债券价格变动对利率变化的敏感度，并且经过一定的修正，以使其能精确地量化利率变动给债券价格造成的影响。修正久期越大，债券价格对收益率的变动就越敏感
久期是债券平均有效期的一个测度，它被定义为到每一债券距离到期的时间的加权平均值，其权重与支付的现值成比例 。

Macaulay duration

价格变化的百分比：

Modified duration修正久期：

例：

其他条件不变：
1 债券期限越长，久期（麦考利和修正）越大
2 票面利率越低，久期（麦考利和修正）越大
3 到期收益率越低，久期（麦考利和修正）越大

投资组合久期等于各个资产久期加权平均
Approximating the percentage price change收益变动对价格变动的影响

25 year, 6% bond, selling at 70.3570 to yield 9%. Modified duration is 10.62.
What is the approximate percentage price change when yield increases from 9% to 9.10%?
解：-10.62(+0.0010)=-0.0106 or -1.06%

Dollar duration 美元久期

*Modified duration修正久期=

Convexity凸性（问答）
What is convexity
凸性是测算
当市场收益变化时美元期限的变化率
市场收益变化时，债券价格的变化速度
凸性是对债券价格利率敏感性的二阶估计，是对债券久期利率敏感性的测量。在价格－收益率出现大幅度变动时，它们的波动幅度呈非线性关系。由持久期作出的预测将有所偏离。凸性就是对这个偏离的修正。

意义：
1 债券的价格变化百分比可以用期限和凸性来估计
一种 期望收益率9%的债券
按照6%息票 25年到期
其修正久期为10.62 凸性182.92
如果要求的期望收益上升 200基点（2%）达到11%
则其价格变化百分比为：

2

上图两种证券 A比B更加凸
意味着：1 无论市场收益上升或下降,A都会有较高价格。（市场收益上升，A损失比B小 ； 市场收益下降，A收益比B多）
2 由于凸性的这个性质，证明凸性是值钱的；当市场利率波动大，就很值钱；当波动小， 就不怎么值钱
凸性的特点
1 Positive convexity正凸性
当必要收益率增加（减少）时，债券的凸性变减少（增加） （凸性就是市场收益变化时，债券价格的变化速度）
2 既定收益和期限，息票利率越低，凸性越大

一种久期和凸性的近似算法

例：一种25年期， 6%息票利率，coupon bond trading at 9%
初始价格为70.3570
STEP 1 : 将要求收益率增加10个基点 到9.1% 折现出新价格 69.6164P+
STEP 2 : 将要求收益率减少10个基点 到8.9% 折现出新价格 71.1105P-
P0为 70.3570 △y为 0.001（10个基点）

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Base interest rate (benchmark基准 interest rate)
The minimum interest rate that investor want is referred to (通常为同期限国债利率)

Risk Premium风险溢酬
通常将非国债债券利率为：Trading at a spread to on-the-run Treasury security
This spread is Risk Premium

Term structure of interest rates 利率结构（问答）
relationship between the yields on otherwise comparable securities with different maturities. 各种不同期限债券收益率之间的关系

Serve as a benchmark for pricing bonds with different maturities.为不同期限债券定价提供了基准

Yield curve
1 graphical depiction of the relation between the yield on bonds of the same credit quality but different maturities.将同样信用不同期限的债券收益率画出图
2 Investors have typically constructed yield curves from observations of prices and yields in the Treasury market. 通常构造这样的曲线———在国债市场
3 Treasury yield curves serve as a benchmark for pricing bonds and to set yields on all other sectors of the debt market. 国债曲线是给其它债券定价的基准

On-the-Run Treasury 在经营（通行）国债
The on-the-run Treasury issues are the most recently auctioned issue of a given maturity.
二级市场上，大多数最近拍卖的各种期限国债
通常包括 3,6月——bill 2,5,10年——note 30年——bond

The resulting on-the-run yield curve is called the par yield curve.

求点利率（spot rate）--------------用以绘制零息票国债收益曲线

由于只有半年期和一年期的国债是零息票的
所以，需要通过转换，求出其它 期限 国债的 零息票利率（SPOT RATE）

Forward rates

• $100(1+Z2)2 = $100(1+Z1)(1+f)
Given 6-month spot rate Z1=0.0525 and 1-year spot rate Z2=0.0550
f=(1.02750) 2 /1.02625 – 1 =0.028725
forward rate of the 6-month rate 6 months from now =5.75%

Relationship Between Six-Month Forward Rates and Spot Rates
zt = [(1 + z1) (1 + f1) (1 + f2) ··· (1 + ft –1)]1/t – 1
ft is the six-month forward rate beginning t six-month periods from now.

Yn是半年现货利率（点利率）

6
Types of treasury securities
marketable and non-marketable securities

Marketable Treasury securities
– fixed-principal securities(bill ,note, bond )
– inflation-indexed securities(TIPS)

Treasury inflation protection securities
例 A TIPS with coupon rate 3.5% and the annual inflation rate is 3%.
• An investor purchase $100,000 par value.
• At the end of the first 6-month.
– Inflation-adjusted principal: $100,000 (1+1.5%)= $101,500
– Coupon payment:$101,500 *1.75%=$1,776.25
（用通胀率调整本金，利率不变）

Secondary Market
The secondary market for Treasury securities is an over-the-counter market where a group of U.S. government securities dealers offer continuous bid and ask prices on outstanding Treasuries 二级市场是一个柜台交易市场，在这里，美国政府证券经纪人集团持续提供出价和问盘（世界上最有流动性的市场）

在这个市场上，以“银行贴现为基础的收益率（bank discount basis）”报价

这个收益率有两个问题：1 以票面价值，而非实际价格计算
2 360而非356，无法与以365计的息票债券比较

为了解决，我们用 “债券等价收益（bond equivalent yield）”

CD equivalent yield与货币市场其它以360计息的相比较

Quotes on Treasury Coupon Securities
Quote
No. of 32nds
No. of 64ths
No. of 256ths
Price per $100 par
91-19+
19
1
0
91.609375
107-222
22
0
2
107.6953125
109-066
6
0
6
109.2109375

accrued interest

7
Features of a Corporate Bond Issue
o 公司债券由公司发行（四类公司utilities, transportations, industrials, and banks and finance companies）
o Most corporate bonds are term bonds; that is, they run for a term of years, then become due and payable. 大部分公司债是期限债券
o Generally, obligations due in under 10 years from the date of issue are called notes. 10年以下的称谓票据（大部分公司债在20-30年）
o Serial bonds are arranged so that specified principal amounts become due on specified dates.

Security for Bonds
一些公司持有别的公司的有价证券，那这个公司被称为“holding companies”；别的公司被称为“subsidiaries”
Debenture bonds公司信用债券 ： 公司发行，没有财产抵押
Subordinated debenture bonds次级公司信用债券：
rank after secured debt（such as mortgage bonds）, after debenture bonds
Guaranteed bonds 信用保证债券 由另一实体做出担保的债券

Provisions for Paying off Bonds 偿还债券条款
call provision 许多公司债券都包含有赎回条款（call provision）：
该条款允许发行者按固定的赎回价（此价格一般要高于债券的面值）将债券从持有者手中买回。债券的赎回价与面值之差叫赎回溢价（call premium）
许多赎回债券都含有延期赎回条款。该条款规定债券的赎回权应该在债券发行一段时间（一般是10年）之后生效。
The premium plus the principal at which the issue is called is referred to as make-whole redemption price.

There are also special redemption prices for debt redeemed through the sinking fund 赎回时通过一个赎回基金

refund provision 以新偿旧
Refunding means to replace an old bond issue with a new one, often at a lower interest cost.

Bullet bonds：Noncallable-for-life issues.不可赎回

Sinking fund provision 偿债基金条款
A sinking fund requirement requires the issuer to retire a specified portion of an issue each year 这些条款要求发行者在债券到期之前的几年内——尤其是当债券快要到期时——偿还一定数量的债券。债券发行者通过经常性地向偿债基金注入款项来向基金的受托人提供资金。这笔累积下来的偿债基金最终将被用来偿还到期的债券，或者是被用来偿还一定数量未到期的债券——其方法是在公开债券市场购买债券，或是随机地要求赎回并还清。

偿债基金条款减少了债券到期时违约的可能性，因此这是一项对债券持有者具有吸引力的条款。
一般来讲，它们的收益要低于那些其他条件相同但没有偿债基金条款的债券。
Accelerated Sinking fund 加速偿债基金 允许发行人留存更多偿债基金

Convertible bonds可转换债券
持有者可以选择以此债券来换取发行企业所发行的另一种证券（比如普通股）
可转换债券经常伴随可赎回条款.

Exchangeable bonds可交换公司债
交換公司債的交換標的，是發行公司所持有上的其他上市上櫃公司股票

Puttable bonds投资人可回售债券
结构设计一般为前后两个时段
投资人在第一个时间段结束时,可以有一次选择权,或者以面值回售给发行人,或者以原有的利率水平继续持有至第二时间段结束

Dividend Restrictions股息限制

Corporate Bond Ratings
AAA Aaa prime
AA(+-) Aa(123) high quality
A (+-) A(123) upper medium grade
BBB(+2) Baa(123) medium grade
• 以上的是investment-grade bonds.
这之下的是noninvestment-grade bonds, high-yield bonds or junk bonds.

Bankruptcy 破产
The holder of a corporate debt instrument has priority over the equity owners in the case of bankruptcy of a corporation, and there are creditors who have priority over other creditors.
Liquidation 清算
ü means that all the assets will be distributed to the holders of claims of the corporation and no corporate entity will survive.

Absolute Priority: Theory and Practice
The absolute priority rule is the principle that senior creditors优先债权人 are paid in full before junior creditors are paid anything
持有这种权利，通常会妨碍重组

8
Features of Municipal Securities
Be issued by state and local governments .
Tax-exempt : exempt from federal tax , may or not taxable at the state and local

Types of Municipal Securities
i. tax-backed bonds(一般债务债券，完全信用债务)
由发行人最不受限制的征税权利对债权进行担保

ii. revenue bonds（岁入债券）
债券为项目融资而发行，以经营有关项目收入做抵押

Yields on Municipal Bonds

v Example: Suppose that an investor in the 40% marginal tax bracket is considering the acquisition of a tax-exempt municipal bond that offers a yield of 6.5%. What is the equivalent taxable yield?

10
What is mortgage?(问答)
• Mortgage is a loan secured by the collateral of specified real estate property, which obliges the borrower to make a predetermined series of payments.
• The mortgage gives the lender (the mortgagee) the right of foreclosure on the loan if the bor