（投資分析與投資組合管理）課件

LecturePresentationSoftware

toaccompany

InvestmentAnalysisand

PortfolioManagement

SeventhEdition

by

FrankK.Reilly&KeithC.BrownChapter18LecturePresentationSoftware1Chapter18

BondFundamentalsQuestionstobeanswered:Whataresomeofthebasicfeaturesofbondsthataffecttheirrisk,return,andvalue?Whatisthecurrentcountrystructureoftheworldbondmarketandhowhasthemakeupoftheglobalbondmarketchangedinrecentyears?Chapter18

BondFundamentalsQu2Chapter18

BondFundamentalsWhatarethemajorcomponentsoftheworldbondmarketandtheinternationalbondmarket?Whatarebondratingsandwhatistheirpurpose?Whatisthedifferencebetweeninvestment-gradebondsandhigh-yield(junk)bonds?Chapter18

BondFundamentalsWh3Chapter18

BondFundamentalsWhatarethecharacteristicsofbondsinthemajorbondcategoriessuchasgovernments(includingTIPS),agencies,municipalities,andcorporates?HowdoesthemakeupofthebondmarketinmajorcountriessuchastheUnitedStates,Japan,theUnitedKingdom,andGermanydiffer?Chapter18

BondFundamentalsWh4Chapter18

BondFundamentalsWhataretheimportantcharacteristicsofcorporatebondissuesdevelopedintheUnitedStatesduringthepastdecadesuchasmortgage-backedsecurities,otherasset-backedsecurities,zero-couponanddeepdiscountbonds,high-yieldbonds,andstructurednotes?Chapter18

BondFundamentalsWh5Chapter18

BondFundamentalsWithineachofthemajorbondcategories,whatarethedifferencesbetweenmajorcountriessuchastheUnitedStates,Japan,theUnitedKingdom,andGermanyHowdoyoureadthequotesavailableforthealternativebondcategories(e.g.,governments,municipalities,corporates)?Chapter18

BondFundamentalsWi6BasicFeaturesofaBondPayafixedamountofinterestperiodicallytotheholderofrecordRepayafixedamountofprincipalatthedateofmaturityBasicFeaturesofaBondPaya7BasicFeaturesofaBondBondmarketisdividedbymaturityMoneyMarket-short-termissuesthatmaturewithinoneyearNotes-intermediate-termissuesthatmaturebetweenoneandtenyearsBonds-long-termobligationswithmaturitygreaterthantenyearsRemaininglife(maturity)affectpricevolatilityBasicFeaturesofaBondBondm8BondCharacteristicsIntrinsicfeaturesCoupon-yield(interestincome)Maturity-termorserial(municipalities)Principalvalue-differentfrommarketvalueTypeofownership-bearerorregisteredTypesofIssuesSecured(senior)bondsUnsecuredbonds(debentures)Subordinated(junior)debenturesBondCharacteristicsIntrinsic9BondCharacteristicsIndentureprovisionsFeaturesaffectingabond’smaturityCallable(callpremium)NoncallableDeferredcallNonrefundingprovisionSinkingfundBondCharacteristicsIndenture10RatesofReturnonBondswhere:HPRi,t=theholdingperiodforbondiduringtheperiodtPi,t+1=themarketpriceofbondiattheendofperiodtPi,t=themarketpriceofbondiatthebeginningofperiodtInti,t=theinterestpaymentsonbondiduringperiodtTheholdingperiodyield(HPY)is:HPY=HPR-1RatesofReturnonBondswhere:11TheGlobalBond-MarketStructureParticipatingissuers1.Federalgovernments2.Agenciesofthefederalgovernment3.Stateandlocalpoliticalsubdivisions(municipalities)4.Corporations5.InternationalissuesForeignbondsEurobondsTheGlobalBond-MarketStructu12ParticipatingInvestorsIndividualinvestorsInstitutionalinvestorsLifeInsuranceCompaniesCommercialBanksPropertyandLiabilityInsuranceCompaniesPensionFundsMutualFunds

ParticipatingInvestorsIndivid13BondRatingsRatingsServices1.DuffandPhelps2.FitchInvestorsService3.Moody’s4.Standard&Poor’sNon-ratedbondsBondRatingsRatingsServices14AlternativeBondIssuesDomesticgovernmentbondsUnitedStates-T-bills,notes,bonds.TIPSJapan-mediumterm,longterm,superlongtermGermany-bundbonds,contractwithKassenverienliquidmarketprovidedbyBundesbankUnitedKingdom-shortgilts,mediumgilts,longgiltsAlternativeBondIssuesDomesti15GovernmentAgencyIssuesUnitedStatesNotdirectissues,butbackedby“fullfaithandcredit”oftheU.S.governmentGNMApass-throughcertificatesJapanGovernmentassociateorganizationsGermanyFederalRailwayandFederalPostOfficeGovernmentAgencyIssuesUnited16MunicipalBondsGeneralobligation(GO)bondsRevenuebondsInterestpaymentsareexemptfromfederalincometaxConvertthetax-freeyieldofamunicipalbondsellingclosetopartoanequivalenttaxableyield(ETY)MunicipalBondsGeneralobligat17EquivalentTaxableYieldWhere:i=couponrateofthemunicipalobligationsT=marginaltaxrateoftheinvestorEquivalentTaxableYieldWhere:18MunicipalBondGuaranteesBondinsuredagainstdefaultriskInsuranceisirrevocableforthelifeoftheissueFourprivatebondinsurancecarriersMunicipalBondInvestorsAssurance(MBIA)AmericanMunicipalBondAssuranceCorporation(AMBAC)FinancialSecurityAssuranceFinancialGuarantyInsuranceCompany(FGIC)MunicipalBondGuaranteesBond19MunicipalBondGuaranteesInsuredbondsobtainAAA(Aaa)ratingsIssueswithprivateguaranteeshavemoreactivesecondarymarket,andlowerrequiredyieldMunicipalBondGuaranteesInsur20CorporateBondsMortgagebondsCollateraltrustbondsEquipmenttrustcertificatesCollateralizedmortgageobligations(CMOs)Otherasset-backedsecurities(ABS)VariableratenotesCorporateBondsMortgagebonds21CorporateBondsZero-couponanddeep-discountbondsMinicouponbondsOriginal-issuediscount(OID)bondsTaxesdueontheimpliedinterestHigh-yieldbonds(speculativebondsandjunkbonds)NoninvestmentgradewithratingbelowBBBorBaaCorporateBondsZero-couponand22JapaneseCorporateBondMarketBondsissuedbyindustrialfirmsorutilitiesMinimumissuingrequirementsarespecifiedbytheMinistryofFinanceBondsissuedbybankstofinanceloanstocorporationCommercialbanksLong-termcreditbanksMutualloanandsavingsbanksSpecializedfinancialinstitutionsJapaneseCorporateBondMarket23GermanCorporateBondMarketBankbondsGermanmortgagebondsGermancommercialbondsPrivateLoanAgreements(Schuldscheindarlehen)GermanCorporateBondMarketBa24U.K.CorporateBondMarketsDebenturesUnsecuredloansConvertiblebondsU.K.CorporateBondMarketsDeb25InternationalBondsForeignbondsaresoldinonecountryandcurrencybyaborrowerofadifferentnationalityYankeebondsareU.S.dollardenominatedbondssoldintheU.S.butissuedbyaforeignfirmEurobondsareunderwrittenbyinternationalbondsyndicatesandsoldinseveralnationalmarketsInternationalBondsForeignbon26InternationalBondsUnitedStatesYankeebondsregisterwithSECEurodollarbondmarketaffectedbychangesinvalueofU.S.dollarInternationalBondsUnitedStat27InternationalBondsJapanSamuribonds-yendenominatedissuedbynon-JapanesefirmsinJapanEuroyenbonds-yendenominated,soldoutsideJapanInternationalBondsJapan28InternationalBondsGermanyDM-denominatedbondsissuedbyforeigncompaniesareEurobondsInternationalBondsGermany29InternationalBondsUnitedKingdomBulldogbondsaresterling-denominatedbondsissuedbynon-EnglishfirmsandsoldinLondonEurosterlingbondsaresoldinmarketsoutsideLondonbyinternationalsyndicatesInternationalBondsUnitedKing30ObtainingInformationonBondsLessemphasisonfundamentalanalysisMostbondinvestorsrelyonratingagenciesforcreditanalysisMarketandeconomicconditionsIntrinsicbondfeaturesPopularpublicationsavailable:WallStreetJournal,Barron’s,BusinessWeek,Fortune,Forbes,FederalReserveBulletin,SurveyofCurrentBusinessObtainingInformationonBonds31BondPublicationsTreasuryBulletinStandard&Poor’sBondGuideMoody’sBondRecordMoody’sBondSurveyFitchRatingRegisterFitchCorporateCreditAnalysisFitchMunicipalCreditAnalysisInvestmentDealersDigestCreditMarketsDuff&PhelpsCreditDecisionsTheBondPlayerBondPublicationsTreasuryBull32SourcesofBondQuotesBankandQuotationRecordTheBlueListofCurrentMunicipalOfferingsWallStreetJournalBarron’sSourcesofBondQuotesBankand33InterpretingBondQuotesQuotedonbasisofyieldorpricePricequotesarepercentageofpar981/2isnot$98.50but98.5%ofparAmunicipal$5,000bondquotedat981/2wouldbe$4,925InterpretingBondQuotesQuoted34CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4CorporateBondQuotes35CorporateBondQuotesCurNet

Bonds

YldVolCloseChg

ATT81/8227.7521053/8+1/4IssuedbyAT&TCorporateBondQuotes36CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8

227.7521053/8+1/4IssuedbyAT&T8.125%couponrateCorporateBondQuotes37CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4IssuedbyAT&T8.125%couponratematuresin2022CorporateBondQuotes38CorporateBondQuotes

CurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4IssuedbyAT&T8.125%couponratematuresin2022Currentyield=coupon/marketprice=7.7%CorporateBondQuotes39CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4IssuedbyAT&T8.125%couponratematuresin2022Currentyield=coupon/marketprice=7.7%52ofthesebondstradedthatdayCorporateBondQuotes40CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8227.7521053/8

+1/4IssuedbyAT&T8.125%couponratematuresin2022Currentyield=coupon/marketprice=7.7%52ofthesebondstradedthatdayTheclosingpricewas1053/8%ofparCorporateBondQuotes41CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4IssuedbyAT&T8.125%couponratematuresin2022Currentyield=coupon/marketprice=7.7%52ofthesebondstradedthatdayTheclosingpricewas1053/8%ofparwhichwasup1/4fromthepriordayCorporateBondQuotes42CorporateBondQuotesNotations“cv”=convertible“zr”=zerocoupon“dc”=deepdiscount(attimeofissue)AccruedinterestmustbeaddedtopricequotedCorporateBondQuotesNotations43TreasuryandAgencyBondQuotesNotations“n”=treasurynote“p”=treasurynoteonwhichnonresidentaliensareexemptfromwithholdingtaxesoninterestQuotesresembleOTCsecuritieswithbidandaskpricesTreasuryandAgencyBondQuote44TreasuryandAgencyBondQuotesGOVT.BONDS&NOTESMaturityAskRateMo/YrBidAskedChg.Yld.55/8Dec99n100:08100:10….5.04TreasuryandAgencyBondQuote45TreasuryandAgencyBondQuotesGOVT.BONDS&NOTESMaturityAskRateMo/YrBidAskedChg.Yld.55/8Dec99n100:08100:10….5.04Pricesarein32ndsusuallywithaverysmallspreadbetweenbidandaskTreasuryandAgencyBondQuote46TreasuryandAgencyBondQuotesU.S.TreasuryStrips“ci”isthecouponinterestportionstrippedfromthenote“np”istheprincipalpaymentforthetreasurynoteTreasuryBillsPurediscountinstrument-thereisnocoupon,theypayparatmaturityThebid-askisnotthepricebuttheyieldTreasuryandAgencyBondQuote47MunicipalBondQuotes200INDIANASTOFFICEBLDGCOMMNMBIA0.00007/01/055.60BEARSTERQuotefromTheBlueListofCurrentMunicipalOfferings$200,000ofIndianaStateOfficeBuildingbondsGuaranteedbyMBIAThesearezerocouponbondsdueJuly1,2005Theyieldtomaturityisgivenas5.6%TodeterminethepriceyoucomputethediscountvalueThedealerofferingthebondsisBearSterns,listedinthebackofthepublicationwiththeirphonenumberMunicipalBondQuotes200INDIA48MunicipalBondQuotesNotationsETM=escrowtillmaturityM/S/F=mandatorysinkingfund(C97)=thisbondbecamecallablein1997Whenthemarketyieldequalsthecouponrate,thepriceis100andtheyarereferredtoasdollarbonds“+”intheleftcolumnindicatesanewitem“#”beforeyieldtomaturityorpriceindicatesachangeMunicipalBondQuotesNotations49TheInternet

InvestmentsOnlineTheInternet

InvestmentsOnlin50EndofChapter15BondFundamentalsEndofChapter1551Futuretopics

Chapter19TheAnalysisandValuationofBonds

Futuretopics

Chapter19TheAn52LecturePresentationSoftware

toaccompany

InvestmentAnalysisand

PortfolioManagement

SeventhEdition

by

FrankK.Reilly&KeithC.BrownChapter18LecturePresentationSoftware53Chapter18

BondFundamentalsQuestionstobeanswered:Whataresomeofthebasicfeaturesofbondsthataffecttheirrisk,return,andvalue?Whatisthecurrentcountrystructureoftheworldbondmarketandhowhasthemakeupoftheglobalbondmarketchangedinrecentyears?Chapter18

BondFundamentalsQu54Chapter18

BondFundamentalsWhatarethemajorcomponentsoftheworldbondmarketandtheinternationalbondmarket?Whatarebondratingsandwhatistheirpurpose?Whatisthedifferencebetweeninvestment-gradebondsandhigh-yield(junk)bonds?Chapter18

BondFundamentalsWh55Chapter18

BondFundamentalsWhatarethecharacteristicsofbondsinthemajorbondcategoriessuchasgovernments(includingTIPS),agencies,municipalities,andcorporates?HowdoesthemakeupofthebondmarketinmajorcountriessuchastheUnitedStates,Japan,theUnitedKingdom,andGermanydiffer?Chapter18

BondFundamentalsWh56Chapter18

BondFundamentalsWhataretheimportantcharacteristicsofcorporatebondissuesdevelopedintheUnitedStatesduringthepastdecadesuchasmortgage-backedsecurities,otherasset-backedsecurities,zero-couponanddeepdiscountbonds,high-yieldbonds,andstructurednotes?Chapter18

BondFundamentalsWh57Chapter18

BondFundamentalsWithineachofthemajorbondcategories,whatarethedifferencesbetweenmajorcountriessuchastheUnitedStates,Japan,theUnitedKingdom,andGermanyHowdoyoureadthequotesavailableforthealternativebondcategories(e.g.,governments,municipalities,corporates)?Chapter18

BondFundamentalsWi58BasicFeaturesofaBondPayafixedamountofinterestperiodicallytotheholderofrecordRepayafixedamountofprincipalatthedateofmaturityBasicFeaturesofaBondPaya59BasicFeaturesofaBondBondmarketisdividedbymaturityMoneyMarket-short-termissuesthatmaturewithinoneyearNotes-intermediate-termissuesthatmaturebetweenoneandtenyearsBonds-long-termobligationswithmaturitygreaterthantenyearsRemaininglife(maturity)affectpricevolatilityBasicFeaturesofaBondBondm60BondCharacteristicsIntrinsicfeaturesCoupon-yield(interestincome)Maturity-termorserial(municipalities)Principalvalue-differentfrommarketvalueTypeofownership-bearerorregisteredTypesofIssuesSecured(senior)bondsUnsecuredbonds(debentures)Subordinated(junior)debenturesBondCharacteristicsIntrinsic61BondCharacteristicsIndentureprovisionsFeaturesaffectingabond’smaturityCallable(callpremium)NoncallableDeferredcallNonrefundingprovisionSinkingfundBondCharacteristicsIndenture62RatesofReturnonBondswhere:HPRi,t=theholdingperiodforbondiduringtheperiodtPi,t+1=themarketpriceofbondiattheendofperiodtPi,t=themarketpriceofbondiatthebeginningofperiodtInti,t=theinterestpaymentsonbondiduringperiodtTheholdingperiodyield(HPY)is:HPY=HPR-1RatesofReturnonBondswhere:63TheGlobalBond-MarketStructureParticipatingissuers1.Federalgovernments2.Agenciesofthefederalgovernment3.Stateandlocalpoliticalsubdivisions(municipalities)4.Corporations5.InternationalissuesForeignbondsEurobondsTheGlobalBond-MarketStructu64ParticipatingInvestorsIndividualinvestorsInstitutionalinvestorsLifeInsuranceCompaniesCommercialBanksPropertyandLiabilityInsuranceCompaniesPensionFundsMutualFunds

ParticipatingInvestorsIndivid65BondRatingsRatingsServices1.DuffandPhelps2.FitchInvestorsService3.Moody’s4.Standard&Poor’sNon-ratedbondsBondRatingsRatingsServices66AlternativeBondIssuesDomesticgovernmentbondsUnitedStates-T-bills,notes,bonds.TIPSJapan-mediumterm,longterm,superlongtermGermany-bundbonds,contractwithKassenverienliquidmarketprovidedbyBundesbankUnitedKingdom-shortgilts,mediumgilts,longgiltsAlternativeBondIssuesDomesti67GovernmentAgencyIssuesUnitedStatesNotdirectissues,butbackedby“fullfaithandcredit”oftheU.S.governmentGNMApass-throughcertificatesJapanGovernmentassociateorganizationsGermanyFederalRailwayandFederalPostOfficeGovernmentAgencyIssuesUnited68MunicipalBondsGeneralobligation(GO)bondsRevenuebondsInterestpaymentsareexemptfromfederalincometaxConvertthetax-freeyieldofamunicipalbondsellingclosetopartoanequivalenttaxableyield(ETY)MunicipalBondsGeneralobligat69EquivalentTaxableYieldWhere:i=couponrateofthemunicipalobligationsT=marginaltaxrateoftheinvestorEquivalentTaxableYieldWhere:70MunicipalBondGuaranteesBondinsuredagainstdefaultriskInsuranceisirrevocableforthelifeoftheissueFourprivatebondinsurancecarriersMunicipalBondInvestorsAssurance(MBIA)AmericanMunicipalBondAssuranceCorporation(AMBAC)FinancialSecurityAssuranceFinancialGuarantyInsuranceCompany(FGIC)MunicipalBondGuaranteesBond71MunicipalBondGuaranteesInsuredbondsobtainAAA(Aaa)ratingsIssueswithprivateguaranteeshavemoreactivesecondarymarket,andlowerrequiredyieldMunicipalBondGuaranteesInsur72CorporateBondsMortgagebondsCollateraltrustbondsEquipmenttrustcertificatesCollateralizedmortgageobligations(CMOs)Otherasset-backedsecurities(ABS)VariableratenotesCorporateBondsMortgagebonds73CorporateBondsZero-couponanddeep-discountbondsMinicouponbondsOriginal-issuediscount(OID)bondsTaxesdueontheimpliedinterestHigh-yieldbonds(speculativebondsandjunkbonds)NoninvestmentgradewithratingbelowBBBorBaaCorporateBondsZero-couponand74JapaneseCorporateBondMarketBondsissuedbyindustrialfirmsorutilitiesMinimumissuingrequirementsarespecifiedbytheMinistryofFinanceBondsissuedbybankstofinanceloanstocorporationCommercialbanksLong-termcreditbanksMutualloanandsavingsbanksSpecializedfinancialinstitutionsJapaneseCorporateBondMarket75GermanCorporateBondMarketBankbondsGermanmortgagebondsGermancommercialbondsPrivateLoanAgreements(Schuldscheindarlehen)GermanCorporateBondMarketBa76U.K.CorporateBondMarketsDebenturesUnsecuredloansConvertiblebondsU.K.CorporateBondMarketsDeb77InternationalBondsForeignbondsaresoldinonecountryandcurrencybyaborrowerofadifferentnationalityYankeebondsareU.S.dollardenominatedbondssoldintheU.S.butissuedbyaforeignfirmEurobondsareunderwrittenbyinternationalbondsyndicatesandsoldinseveralnationalmarketsInternationalBondsForeignbon78InternationalBondsUnitedStatesYankeebondsregisterwithSECEurodollarbondmarketaffectedbychangesinvalueofU.S.dollarInternationalBondsUnitedStat79InternationalBondsJapanSamuribonds-yendenominatedissuedbynon-JapanesefirmsinJapanEuroyenbonds-yendenominated,soldoutsideJapanInternationalBondsJapan80InternationalBondsGermanyDM-denominatedbondsissuedbyforeigncompaniesareEurobondsInternationalBondsGermany81InternationalBondsUnitedKingdomBulldogbondsaresterling-denominatedbondsissuedbynon-EnglishfirmsandsoldinLondonEurosterlingbondsaresoldinmarketsoutsideLondonbyinternationalsyndicatesInternationalBondsUnitedKing82ObtainingInformationonBondsLessemphasisonfundamentalanalysisMostbondinvestorsrelyonratingagenciesforcreditanalysisMarketandeconomicconditionsIntrinsicbondfeaturesPopularpublicationsavailable:WallStreetJournal,Barron’s,BusinessWeek,Fortune,Forbes,FederalReserveBulletin,SurveyofCurrentBusinessObtainingInformationonBonds83BondPublicationsTreasuryBulletinStandard&Poor’sBondGuideMoody’sBondRecordMoody’sBondSurveyFitchRatingRegisterFitchCorporateCreditAnalysisFitchMunicipalCreditAnalysisInvestmentDealersDigestCreditMarketsDuff&PhelpsCreditDecisionsTheBondPlayerBondPublicationsTreasuryBull84SourcesofBondQuotesBankandQuotationRecordTheBlueListofCurrentMunicipalOfferingsWallStreetJournalBarron’sSourcesofBondQuotesBankand85InterpretingBondQuotesQuotedonbasisofyieldorpricePricequotesarepercentageofpar981/2isnot$98.50but98.5%ofparAmunicipal$5,000bondquotedat981/2wouldbe$4,925InterpretingBondQuotesQuoted86CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4CorporateBondQuotes87CorporateBondQuotesCurNet

Bonds

YldVolCloseChg

ATT81/8227.7521053/8+1/4IssuedbyAT&TCorporateBondQuotes88CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8

227.7521053/8+1/4IssuedbyAT&T8.125%couponrateCorporateBondQuotes89CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4IssuedbyAT&T8.125%couponratematuresin2022CorporateBondQuotes90CorporateBondQuotes

CurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4IssuedbyAT&T8.125%couponratematuresin2022Currentyield=coupon/marketprice=7.7%CorporateBondQuotes91CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4IssuedbyAT&T8.125%couponratematuresin2022Currentyield=coupon/marketprice=7.7%52ofthesebondstradedthatdayCorporateBondQuotes92CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8227.7521053/8

+1/4IssuedbyAT&T8.125%couponratematuresin2022Currentyield=coupon/marketprice=7.7%52ofthesebondstradedthatdayTheclosingpricewas1053/8%ofparCorporateBondQuotes93CorporateBondQuotesCurNetBondsYldVolCloseChgATT81/8227.75210