Documentos de Académico
Documentos de Profesional
Documentos de Cultura
Reading51——固定收益市场概述................................................................................................... 3
1.固定收益债券的五要素(features)和对应分类................................................................. 3
(trading)....................................................................................................................................... 4
3. 固定收益债券的现金流——本金........................................................................................5
4. 固定收益债券的现金流——利息........................................................................................6
6.债券的或有条款...................................................................................................................... 6
Reading 52——固定收益市场的发行、交易、融资...................................................................... 6
2. Secondary Market(交易市场)........................................................................................... 7
1)发行人简单分类........................................................................................................... 7
1. 定价公式................................................................................................................................ 9
4. 债券的净价、全价和累计的利息..................................................................................... 11
6. Option-Adjust Yield(OAY)................................................................................................... 11
9. Spread 利差.......................................................................................................................... 12
1
1. 收益来源.............................................................................................................................. 12
2.Annualized HPY.................................................................................................................... 13
3.Duration 久期......................................................................................................................13
4.Convexity 凸性..................................................................................................................... 14
4. Seniority Ranking..................................................................................................................14
5. Credit-rating agency..............................................................................................................15
1. Securitization 证券化............................................................................................................15
2. tranch 分级............................................................................................................................ 16
3. Mortgage Loans.....................................................................................................................16
2
Reading51——固定收益市场概述
这里的重点是学习债券的基本特点和记住债券的术语。考虑到有一些知识点在之后的章节也
涉及了,在这里就同一归纳了。
1.固定收益债券的五要素(features)和对应分类:
Money market bond (货币市场债券,1 年以内)
Term to maturity
Capital market bond (资本市场债券,1 年以上)
期限
Perpetual bond (永久债券)
3
Premium bond (溢价债券):面值< 债券价格
Par value VS. bond price Par bond (平价债券):面值> 债券价格
面值 VS.债券价格
Discount bond (折价债券):面值= 债券价格
Dual-currency bonds
本金(principal)用一种货币支付
Currency Denomination
利息(interest)用另一种货币支付
计价货币
currency option bonds
给投资人一种选择权利,选择接受什么货币
Fixed-Rate Bond
票面利率是固定的,比如债券存续期内一直是 7%
Zero-Coupon Bond
Coupon Rate 票面利率是 0,也就是债券存续期内不发利息
票面利率
Floating-Rate Bond
浮动利率,债券的票面利率在存续期内是变化的。浮动利率=
基准利率+风险补偿 Floating-Rate=benchmark + spread
Covenants/ provisions
否定性条款 1) Restrictions on debt regulate the issue of additional debt
Negative 限制多次抵押发行债券
covenants 2) Restrictions on investments constrain risky investments
(prohibitions on by blocking speculative investments. 限制企业的风险投
the borrower) 资
3) Negative pledges prevent the issuance of debt that would be
senior to or rank in priority ahead of the existing bondholders’
debt. 负面承诺禁止后发行的债务将优先或优先于现有债
券持有人的债务
4) Restrictions on asset disposals set a limit on the amount of
assets that can be disposed by the issuer during the bond’s
life 限制在债券期限内处置资产
肯定性条款 1) Issuer must make timely and full payments.按时偿付本息
Affirmative 2) Issuer must comply with laws and regulations.发行人要守法
covenants (actions the 3) maintain its current lines of business, insure and maintain its
borrower promises to assets, and pay taxes as they come due. 保持流动比率,维持现
perform) 有资产,按时交税
3.法律(legal),监管(regulatory),和税收(tax)对固定收益债券的发行(issuance)和交易(trading)
4
legal and regulatory
Domestic bonds 本币债 发行人=发行地=发行货币 national bond
Foreign bonds 外币债 发行人≠(发行地=发行货币)foreign bond
Eurobonds 欧洲债 发行地≠发行货币 ,欧洲债的监管(jurisdiction)低
Registered bonds 记名债,the ownership is recorded by
either name or serial number.
Bearer bonds 无记名债,是欧洲债的主要形式,trustee
does not keep records of the ownership of the bonds so
that the ownership is evidenced by possessing the
bonds.(majority form of Eurobonds)
Global bond Domestic bonds market & Foreign bonds market
Credit quality(信用质量)
Unsecured bonds (Debenture,无担保债券) Represent a claim to the overall assets and cash
flows of the issuer.(纯粹以发行人的信用为基
础)
Secured bonds(担保债券) Backed by a claim to a specific assets of a
corporation to reduce the risk of default.
4.固定收益债券的现金流——本金
Bullet bond Periodic interest payments and the principal value is paid with the final
interest payment at maturity.
Balloon bond When the final payment includes a lump sum in addition to the final period's
interest
Partially 本金部分摊销,也有 balloon payment 的现象,就是最后一期有大额还
amortizatio 款.
n
Sinking Fund A sinking fund arrangement is another approach that can be used to achieve
5
Provision(偿债 the same goal of periodically retiring the bond’s principal outstanding.
基
金)
5.固定收益债券的现金流——利息
payment-in- A payment-in-kind (PIK) coupon bond typically allows the issuer to pay
kind (PIK) interest in the form of additional amounts of the bond issue rather than as
coupon bond a cash payment.
Deferred
Coupon Bonds
(Split Coupon
Bond)
Regular coupon payments do not begin until a period of time after issuance.
Credit- Coupon rate will go up/down by a certain amount if the credit rating of
Linked the issuer falls/improves.
Coupon Rate
Index- The bonds have coupon payments and/or a principal value that is based on
Linked a commodity index, an equity index or some other published index number.
Bonds
6.债券的或有条款
Contingency provision
Callable Bonds 可赎回债券 Gives the issuer the right to redeem all or part of a bond
issue at a specific price (call price) if they choose to.
Putable Bonds 可回售债券 Gives the bondholder the right to sell the bond back to
the issuing company at a pre-specified price, typically
par.
Convertible Bonds 可转换债券 Give bondholder the option to exchange the bond for a
specific number of shares of the issuing corporation’s common
stock.
Warrants 认股权证 Warrants give their holders the right to buy the firm’s
common shares at a given price over a given period of time.
Contingent Convertible Bonds Bonds that convert from debt to common equity
(CoCos)或有可转换债券 automatically if a specific event occurs.
Reading 52——固定收益市场的发行、交易、融资
Sales of newly issued bonds are referred to as primary market transactions and typically done with
the help of an investment bank.
Sales
6
Underwritten Offering/firm The entire bond issue is purchased from issuing firm by
commitment offering(包 a singe investment bank or a syndicated.
销) 投资银行 或者承销团(syndicated 很多个证券公司组成)
从发行人手中购买全部债券,然后去销售,卖不完的自
7
己留着。投资银行只是赚取 价差(出售价格-购买价格)。
Best Effort Offering(代销) In a best effort offering, the investment banks sell the
bonds on a commission basis.
投资银行帮助发行人销售债券,卖不完的债券是发行人
的,投资银行只是赚取 中介费(commission)。
Auction (拍卖) 主要是国债
Shelf Registration(暂搁注册) A shelf registration allows certain authorized issuers to
offer additional bonds to the general public without having
to prepare a new and separate offering circular for each
bond
issue. 一次注册,多次发行。
发行方式 :
Public offering(公开发行) Newly issued bonds are registered with securities regulators
for sale to the public.
大众投资者都可以去参与投资。
Private placement (私募发行) newly issued bonds are sold only to qualified investors.
只对合格投资者(qualified investors)开放
2. Secondary Market(交易市场)
1)发行人简单分类
8
Non-sovereign government ,quasi-government and supranational
bonds 非政府债券、类政府债券和跨国债券
Non-sovereign government 的发行主体是省(provinces)、
地区(regions)、州(states)、市(cities)
Agency /Quasi-government bond 的发行主体是中央政府
设立的组织,例如半官方机构(government-sponsored
enterprises,简称 GSE)的房利美(Fannie Mae)、房地
美(Freddie Mac)、联邦家庭贷款银行(federal home loan
bank,FHLB)
supranational bonds 发行主体是跨国机构(supranational
agencies/multilateral agencies),例如国际货币基金组织
(IMF)
Corporate debt
bilateral loan A bilateral loan is a loan from a single lender to a single borrower.
双边贷款
syndicated loan A syndicated loan is a loan from a group of lenders, called the
银团贷款 “syndicate,” to a single borrower.
Commercial paper 具有灵活(flexible)、短期(short-term)、无担保(unsecured)
商业票据 的特点,是一种过渡融资工具(bridge financing);
发行新票据偿还旧票据叫做“rolling over the paper”,对应的风险
叫做 rollover risk ,应对方法是 backup lines of credit(从银行那里
获得备用信用额度),该方法也称为 liquidity enhancement/ backup
liquidity lines;
美国商业票据 VS. 欧洲商业票据
Feature US commercial paper Eurocommercial paper
Currency US dollar Any currency
Maturity Overnight to 270 days Overnight to 364days
Interest Discount basis Interest-bearing basis
Settlement T+0(trade date) T+2(trade date plus two
days)
Negotiable Can be sold to another Can be sold to another
9
Retail deposits Demand deposit/ checking accounts 活期存款
零售存款 Deposit accounts typically pay on interest
Saving accounts 储蓄账户
Money market account
Short-term Reserve funds 储备资金
wholesale Interbank funds 银行间资金
funds Large-denomination negotiable certificates of deposit 大额可转让定期存单
短期批发资金
Repurchase and A repo is a way for an investor to borrow money
reverse A reverse repo agreement is the same transaction viewed from
the buyer's perspective.
repurchase
Higher, the longer repo term.
agreements
Lower, the higher the credit quality of the collateral
回购和逆回购协
security. Lower when the collateral security is delivered to
议 the lender.
Higher when the interest rates for alternative sources of funds are higher.
1. 定价公式
C C C T
Ct
P 1 2 T
1 y (1 y)2 (1 y)T t1 (1 y)t
Perpetual Bond:
cF cF
cF cF
P
1 y (1 y) 2
t1 (1 y)
t
y
10
price coupon coupon ... coupon principal
YTM YTM 2 YTM N 2
(1 ) (1 ) (1 )
2 2 2
特点:
1)At a point in time, a decrease (increase) in a bond's YTM will increase (decrease) its price. 2)
The percentage decrease in value when the YTM increases by a given amount is smaller than the
increase in value when the YTM decreases by the same amount (the price-yield relationship is
convex).
3) If a bond's coupon rare is greater than its YTM, its price will be at a premium to par value.
If a bond's coupon rare is less than its YTM, its price will be at a discount to par value.
4) Other things equal, the price of a bond with a lower coupon rate is more sensitive to a change in
yield than is the price of a bond with a higher coupon rare.
Other things equal, the price of a bond with a longer maturity is more sensitive to a change in
yield than is the price of a bond with a shorter maturity.
11
3.bond Pricing: spot rate(即期利率定价)
3 3 3 3100
P0
(1 5%2)
(1 5.8% )2 (1 6.4% )3 (1 6.8% )4
4.债券的净价、全价和累计的利息
2 2 2
Accrued interest
n , EAR er 1
Current yield = annual cash coupon payment / bond price
6. Option-Adjust Yield(OAY)
The required market discount rate whereby the price is adjusted for the value of the embedded
option.
Callable bond: OAY < YTM
puttable bond: OAY > YTM
12
8. Forward Yield Curve 远期利率曲线
T T
R F
R
9. Spread 利差
1. 收益来源
13
Three sources
Coupon and principal payments 利息和本金
Reinvestment of coupon payments 利息再投资收益
Capital gains/loss if the bond is sold prior to maturity 出售债券的利得/损失
Assumptions
Coupon and principal payments on time (no credit risk).
Interest rate earned on reinvested coupon payments is equal to YTM.
2. Annualized HPY
The compound annual return earned from the bond over the investor’s holding period.
年化的持有期收益率: 使用持有期的年利率进行复利化进行计算 f
1)对于固定利率债券:
不违约
利息以 YTM 再投资
投资者持有至到期
如果投资人持有债券到期那么他获得的年化收益率等于到期收益率。
ln a short-term investment
horizon:
3. Duration 久期
久期是估计债券价格对利率的敏感度。久期越大,利率风险越高.
Duration 久期
14
Macaulay Duration The average time to wait for each payment, weighted
麦考林久期 by the present value of the associated cash flow.
T
C
t PV (Ct ) t
T
t t T T
(1 y) PV (C )
D t 1 T Ct
t 1
P P t t ( t
t 1 t
1 t 1 (1 y)t
Modified duration D
修正久期 D*
1 y periodic market yield
Duration of a portfolio K
组合的久期 Dport w j D j j
1
4. Convexity 凸性
Duration is a good approximation of price changes for relatively small changes in interest rates.
4. Seniority Ranking
Secured debt 担保债券
15
First lien/first mortgage
Second lien
Third lien
Unsecured debt 无担保债券
Senior debt
subordinated debt
Junior subordinated debt
5. Credit-rating agency
Fitch(惠誉) Moody(穆迪) S&P(标普)
6.Components of traditional credit analysis
Four Cs:Capacity;Collateral;Covenants;Character
7.Financial ratio used in credit analysis(主要的财务指标,可以结合财报一起复习)
Profits and cash flows
Leverage ratios
Coverage ratios
16
2. tranch 分级
Tranches have different exposures to the risk of default of the assets underlying the ABS.
Tranch 分级
Credit tranching 不同级别的债券的信用风险不同
信用分级 一般分为优先级(senior)/劣后级(subordinated),劣后级承担违
约风险
3. Mortgage Loans
The interest rate on the loan is called the mortgage rate or contract rate.
and then sell it in order to recover funds toward satisfying the debt obligation.
4. Prepayment options and prepayment penalties
Prepayment: any payment toward the repayment of principal that is in excess of the scheduled
principal repayment
Prepayment option(early repayment option):a mortgage loan may entitle the borrower to prepay
all or part of the outstanding mortgage principal prior to the scheduled due date the principal must
be repaid.
Prepayment penalty mortgage:The mortgage may stipulate some sort of monetary penalty when a
17
borrower prepays within a certain time period after the mortgage is originated. This time period
may extend for the full life of the loan.