1、1Chapter 8The Bond Markets2Chapter PreviewnWe examine how capital markets operate, and then focus our attention on the bonds and the bond market. Topics include:nPurpose of the Capital MarketnCapital Market ParticipantsnCapital Market TradingnTypes of BondsnTreasury BondsnMunicipal Bonds3Chapter Pre

2、view (cont.)nCorporate BondsnFinancial Guarantees for BondsnBond Yield CalculationsnFinding the Value of Coupon BondsnInvesting in Bonds48.1 Purpose of the Capital MarketnBest known capital market securities:nStocks nBondsnThe purpose of money market is for warehousing funds for short term; while th

3、e purpose of capital market is for long term investment;nOriginal maturity is greater than one year, typically for long-term financing or investments58.2 Capital Market ParticipantsnPrimary issuers of securities:nFederal and local governments: debt issuersnCorporations: equity and debt issuersnLarge

4、st purchasers of securities:nHouseholds-You and me68.3 Capital Market TradingnPrimary market for initial public offerings (IPO)nSecondary marketnOver-the-counternOrganized exchanges (i.e., NYSE)78.4 Types of BondsnBonds are securities that represent debt owed by the issuer to the investor, and typic

5、ally have specified payments on specifies dates.nTypes of bonds we will examine include long-term government bonds (T-bonds), municipal bonds, and corporate bonds.8Figure 8.1 Sohio/BP Corporate BondSample Corporate Bond98.5 Treasury BondsnThe U.S. Treasury issues notes and bonds to finance its opera

6、tions.nThe following table summarizes the maturity differences among the various Treasury securities.108.5 Treasury Bonds118.5.1 Treasury Bond Interest RatesnNo default risk since the Treasury can print money to payoff the debtnVery low interest rates, often considered the risk-free rate (although i

7、nflation risk is still present)128.5.1 Treasury Bond Interest RatesnThe next two figures show historical rates on Treasury bills, bonds, and the inflation rate.138.5.1 Treasury Bond Interest Rates148.5.1 Treasury Bond Interest Rates: Bills vs. Bonds158.5.2&8.5.3 Treasury Bonds: Recent InnovationnTre

8、asury Inflation-Indexed Securities: the principal amount is tied to the current rate of inflation to protect investor purchasing powernTreasury STRIPS (Separate Trading of Registered Interest and Principal of Securities, 離拆單售債券本息票): the coupon and principal payments are “stripped” from a T-Bond and

9、sold as individual zero-coupon bonds.168.5.4 Treasury Bonds: Agency DebtnCongress has authorized a number of US agencies such as GNMA, FNMA, and FHLMC, to issue bonds.(p166)nThe debt has an “implicit” guarantee that the U.S. government will not let the debt default.17房利美和房地美n房利美房利美(Fannie Mae)，聯(lián)邦國民住

10、房貸款協(xié)會，聯(lián)邦國民住房貸款協(xié)會 Federal National Mortgage Association 創(chuàng)立于創(chuàng)立于1938年，是政府出資創(chuàng)建，從事金融業(yè)務(wù)，用以擴(kuò)大年，是政府出資創(chuàng)建，從事金融業(yè)務(wù)，用以擴(kuò)大資金在二級房屋消費(fèi)市場上流動(dòng)的資金。資金在二級房屋消費(fèi)市場上流動(dòng)的資金。 1970年，房利美年，房利美股票在紐約交易股票所上市。股票在紐約交易股票所上市。1984年，房利美首次在海外發(fā)年，房利美首次在海外發(fā)放公司債券，從此公司的業(yè)務(wù)進(jìn)入國外金融市場。放公司債券，從此公司的業(yè)務(wù)進(jìn)入國外金融市場。n房地美房地美(Freddie Mac, 舊名聯(lián)邦住房抵押貸款公司舊名聯(lián)邦住房抵押貸款公司)

11、,商業(yè)規(guī)模僅次于房利美。商業(yè)規(guī)模僅次于房利美。1970年由國會成立，作為旨在開拓美國抵押市場，增加家庭年由國會成立，作為旨在開拓美國抵押市場，增加家庭貸款所有權(quán)與房屋貸款租金收入。貸款所有權(quán)與房屋貸款租金收入。n我國持有兩房債券約我國持有兩房債券約4000億美金（億美金（2.5萬億以上人民幣）萬億以上人民幣）Treasury Bonds: Agency DebtnAlthough not technically Treasury securities, agency bonds are issued by government-sponsored entities, such as GNMA,

12、 FNMA, and FHLMC.nThe debt has an “implicit” guarantee that the U.S. government will not let the debt default. This “guarantee” was clear during the 2008 bailoutThe 20072009 Financial Crisis:Bailout of Fannie and FreddienBoth Fannie and Freddie managed their political situation effectively, allowing

13、 them to engage in risky activities, despite concerns raised.nBy 2008, the two had purchased or guaranteed over $5 trillion in mortgages or mortgage-backed securities.The 20072009 Financial Crisis:Bailout of Fannie and FreddienPart of this growth was driven by their Congressional mission to support

14、affordable housing. They did this by purchasing subprime and Alt-A mortgages.nAs these mortgages defaults, large losses mounted for both agencies. The final outcome remains unknown.n美國參議院金融委員美國參議院金融委員2014年年3月月11日制日制定了一項(xiàng)關(guān)閉美國房利美定了一項(xiàng)關(guān)閉美國房利美(Fannie Mae)和房地美和房地美(Freddie Mac)的計(jì)劃，該計(jì)的計(jì)劃，該計(jì)劃稱將會通過立法的方式逐步關(guān)閉這兩劃

15、稱將會通過立法的方式逐步關(guān)閉這兩個(gè)政府所有的房地產(chǎn)抵押貸款機(jī)構(gòu)。但個(gè)政府所有的房地產(chǎn)抵押貸款機(jī)構(gòu)。但是市場不必因此而恐慌，因?yàn)榉康孛篮褪鞘袌霾槐匾虼硕只牛驗(yàn)榉康孛篮头坷缹⒗^續(xù)向市場提供長期、固定利房利美將繼續(xù)向市場提供長期、固定利率的抵押貸款。率的抵押貸款。21228.6 Municipal BondsnIssued by local, county, and state governmentsnUsed to finance public interest projectsnTax-free municipal interest rate = taxable interest rate

16、 (1 marginal tax rate)238.6 Municipal Bonds: ExampleSuppose the rate on a corporate bond is 9% and the rate on a municipal bond is 6.75%. Which should you choose?Answer: Find the marginal tax rate:6.75% = 9% x (1 MTR), or MTR = 25%If you are in a marginal tax rate above 25%, the municipal bond offer

17、s a higher after-tax cash flow.248.6 Municipal BondsnTwo types (p167)nGeneral obligation bonds (一般信用擔(dān)保債券) -backed by “the full faith and credit”of the issurers; nRevenue bonds （收益?zhèn)?backed by the cash flow of a particular revenue-generating project.nNOT default-free (e.g., Orange County California)

18、nDefaults in 1990 amounted to $1.4 billion in this market258.6 Municipal BondsThe next slide shows the volume of general obligation bonds and revenue bonds issued from 1984 through 2003.Note that general obligation bonds represent a higher percentage in the latter part of the sample.268.6 Municipal

19、Bonds: Comparing Revenue and General Obligation Bonds271994年美國桔縣財(cái)政破產(chǎn)事件年美國桔縣財(cái)政破產(chǎn)事件n桔縣因其盛產(chǎn)柑桔而得名。它曾是美國最富裕的縣之一。然而，桔縣因其盛產(chǎn)柑桔而得名。它曾是美國最富裕的縣之一。然而，19941994年年1212月，縣月，縣政府突然宣布損失政府突然宣布損失1717億美元億美元n破產(chǎn)原因：該縣財(cái)政官員羅伯特破產(chǎn)原因：該縣財(cái)政官員羅伯特西春缺乏風(fēng)險(xiǎn)意識，盲目自信。做法是：用西春缺乏風(fēng)險(xiǎn)意識，盲目自信。做法是：用政府的資金購買大批債券；進(jìn)行回購交易，將債券臨時(shí)出售給銀行，同時(shí)向銀政府的資金購買大批債券；進(jìn)行回

20、購交易，將債券臨時(shí)出售給銀行，同時(shí)向銀行保證在一定時(shí)間內(nèi)用高于出售價(jià)的價(jià)錢買回債券；用債券回購所得的資金再行保證在一定時(shí)間內(nèi)用高于出售價(jià)的價(jià)錢買回債券；用債券回購所得的資金再購買債券。購買債券。n西春通過回購交易籌得巨資后，又將其投資了債券市場。他所購買的債券是由政西春通過回購交易籌得巨資后，又將其投資了債券市場。他所購買的債券是由政府擔(dān)保的按揭貸款所支持的，其中很多屬于一種被稱為反向浮動(dòng)利率期票的債券。府擔(dān)保的按揭貸款所支持的，其中很多屬于一種被稱為反向浮動(dòng)利率期票的債券。當(dāng)利率升高時(shí)，對這種債券的付息減少。這種反向浮動(dòng)利率期票比通常的債券具當(dāng)利率升高時(shí)，對這種債券的付息減少。這種反向浮動(dòng)利

21、率期票比通常的債券具有更高的風(fēng)險(xiǎn)。當(dāng)利率上升時(shí)，普通債券的價(jià)格下跌，而反向浮動(dòng)利率期票則會有更高的風(fēng)險(xiǎn)。當(dāng)利率上升時(shí)，普通債券的價(jià)格下跌，而反向浮動(dòng)利率期票則會付出雙倍的損失，因?yàn)椴坏谄钡膬r(jià)格下降，而且所得的利息也要下降。付出雙倍的損失，因?yàn)椴坏谄钡膬r(jià)格下降，而且所得的利息也要下降。n西春通過債券回購交易共籌集西春通過債券回購交易共籌集195195億美元資金，其中億美元資金，其中115115億投資于長期國債和政府億投資于長期國債和政府機(jī)構(gòu)債券，機(jī)構(gòu)債券，8080億美元投資于反向浮動(dòng)利率期票。由于短期利率大幅上升，造成桔億美元投資于反向浮動(dòng)利率期票。由于短期利率大幅上升，造成桔縣財(cái)政虧損縣財(cái)

22、政虧損2020億美元，被迫宣布破產(chǎn)。億美元，被迫宣布破產(chǎn)。288.7 Corporate BondsnTypically have a face value of $1,000, although some have a face value of $5,000 or $10,000nPay interest semi-annually298.7 Corporate BondsnCannot be redeemed (贖回) anytime the issuer wishes, unless a specific clause states this (call option 購買選擇權(quán)).n

23、Degree of risk varies with each bond, even from the same issue. The required interest rate varies with level of risk.308.7 Corporate BondsnThe next slide shows the interest rate on various bonds from 1973-2004.nThe degree of risk ranges from low-risk (AAA) to higher risk (BBB). Any bonds rated below

24、 BBB are considered sub-investment grade debt.318.7 Corporate Bonds: Interest RatesFigure 8.5 Corporate Bond Interest Rates, 19732004 (End of year)Corporate Bonds: Interest Rates338.7.1 Characteristics of Corporate BondsnRegistered BondsnReplaced “bearer” bondsnIRS (Inland Revenue Service 國稅局) can t

25、rack interest income this waynRestrictive Covenants 限制性契約nMitigates conflicts with shareholder interestsnMay limit dividends, new debt, ratios, etc.348.7.1 Characteristics of Corporate BondsnCall Provisions 回購條款nThe right for the issuers to force the holders to sell back.nSinking fundnInterest of th

26、e stockholders nHigher yield for the call provisionnConversion nSome debt may be converted to equitynSimilar to a stock option, but usually more limited358.7.2 Types of Corporate BondsnSecured BondsnMortgage bondsnEquipment trust certificatesnUnsecured BondsnDebenturesnSubordinated debentures 附屬債券 l

27、ower priority claimnVariable-rate bonds 利率可變債券/36nJunk BondsnDebt that is rated below BBBnOften, trusts and insurance companies are not permitted to invest in junk debtnMichael Milken developed this market in the mid-1980s, although he was convicted of insider trading8.7.2 Types of Corporate Bonds37

28、8.7.3 Corporate Bonds: Debt RatingsThe next slide explains in further details the rating scale for corporate debt. The rating scale is for Moodys. Both Standard and Poors and Fitch have similar debt rating scales.388.7.3 Corporate Bonds: Debt Ratings398.7.3 Corporate Bonds: Debt Ratings (cont.)408.8

29、 Financial Guarantees for BondsnSome debt issuers purchase financial guarantees to lower the risk of their debt.nThe guarantee provides for timely payment of interest and principal, and are usually backed by large insurance companies.nFinancial guarantees were developed in 1970s to insure municipal

30、bonds and expanded to cover many corporate bonds as well later on.418.9 Bond Yield CalculationsnBond yields are quoted using a variety of conventions, depending on both the type of issue and the market.nWe will examine two bond yield calculations commonly used for short and long-term debt.428.9.1 Bo

31、nd Yield Calculations: Current YieldWhat is the current yield for a bond with a face value of $1,000, a current price of $921.01, and a coupon rate of 10.95%?Answer:ic = C / P = $109.50 / $921.01 = 11.89%Note: C ( coupon) = 10.95% x $1,000 = $109.50438.9.2 Bond Yield Calculations: Yield on a Discoun

32、t BasisWhat is the discount yield for a one-year bond with a face value of $1,000, and a current price of $875?Answer:idb = (F-P) / F x 360 / days to maturity = (1000 875) / 1000 x 360 / 365 = 12.33%448.10 Finding the Value of Coupon BondsBond pricing is, in theory, no different than pricing any set

33、 of known cash flows the current price is the present value of all future cash flows. The table on the next slide outlines some of the terminology unique to debt, which may be necessary to understand to determine the cash flows.458.10 Finding the Value of Coupon Bonds468.10 Finding the Value of Coup

34、on BondsLets use a simple example to illustrate the bond pricing idea.What is the price of two-year, 10% coupon bond (semi-annual coupon payments) with a face value of $1,000 and a required rate of 12%?478.10 Finding the Value of Coupon BondsSolution:nIdentify the cash flows:$50 is received every si

35、x months in interest$1000 is received in two years as principal repaymentnFind the present value of the cash flows (calculator solution):N = 4, FV = 1000, PMT = 50, I = 6Computer the PV. PV = 965.35488.11 Investing in BondsnBond are the most popular alternative to stocks for long-term investing.nEve

36、n though the bonds of a corporation are less risky than its equity, investors still have risk: price risk and interest rate risk, which were covered in chapter 3498.11 Investing in BondsThe next slide shows the amount of bonds and stock issued from 1983 to 2003.Note how much larger the market for new debt is. Even in the late 1990s,