1、Topic Four,Money Markets and Capital Markets,Basic Features of Bonds,The types of bonds: Money market: Short-term issues with maturities of one year or less. T-bills, Commercial papers, Federal funds; Notes: Intermediate-term issues with maturities in excess of one year, but less than ten years. Bon
2、ds: Long-term obligations with maturities in excess of ten years Treasury bonds, Corporate bonds,Basic Features of Bonds,The yields of bonds: Pay a fixed amount of interest periodically to the holder of record; Repay a fixed amount of principal (par value) at the date of maturity.,Basic Features of
3、Bonds,Bond characteristics: Intrinsic features; the coupon, maturity, principal value. Coupon: the income that the bond investor will receive over the life(holding period) of the issue. interest income, coupon income, or nominal yield; Maturity: the number of years before a bond matures (expires); P
4、rincipal (par) value: an issue represents the original value of the obligation.,Basic Features of Bonds,Types of Issues; secured bonds, unsecured bonds. Secured bonds: backed by a legal claim on some specified property of the issuer in the case of default; Unsecured bonds: backed only by the promise
5、 of the issuer to pay interest and principal on a timely basis. Rates of Return on Bonds:The holding period yield (HPY) is:,Money Markets,公开市场操作是中央银行吞吐基础货币，调节市场流动性的主要货币政策工具，通过中央银行与指定交易商进行有价证券和外汇交易，实现货币政策调控目标。中国公开市场操作包括人民币操作和外汇操作两部分。中国人民银行从1998年开始建立公开市场业务一级交易商制度，选择了一批能够承担大额债券交易的商业银行作为公开市场业务的交易对象，目前公开
6、市场业务一级交易商共包括40家商业银行。从交易品种看，中国人民银行公开市场业务债券交易主要包括回购交易、现券交易和发行中央银行票据。,中央银行票据,中央银行票据是中央银行为调节商业银行超额准备金而向商业银行发行的短期债务凭证。它由中央银行发行，商业银行持有，其直接作用是吸收商业银行部分流动性。商业银行流动性包括法定准备金存款和超额准备金存款。 法定准备金存款未经特别批准不得动用 商业银行的超额准备金存款是商业银行可贷资金，是商业银行借以扩张信用的基础，它是具有乘数效应的基础货币。,中央银行票据,央行票据是中央银行为调节商业银行流动性而出台的一项货币政策工具。它是中央银行在自身的资产负债表内管理
7、和调节商业银行超额储备的一种形式，是在央行资产和负债总量都不变的情况下，通过负债结构的变化达到实现货币政策目标的一种手段。 中央银行票据是货币政策管理手段，国债是政府筹资的工具.,凭证式国债与记帐式国债,凭证式国债及其主要优点:凭证式国债是指采用填制“中华人民共和国凭证式国债收款凭证”的方式，通过部分商业银行和邮政储蓄柜台，主要面向城乡居民个人及社会其他投资者发行的储蓄性国债。 信用等级最高，安全性最好。凭证式国债是财政部代表国家发行的公债，到期由财政部还本付息，因此，其信用等级最高，没有投资风险。其他以商业信用为担保的投资工具无法与之比拟。 变现灵活，流动性好。凭证式国债虽不能上市交易，但可
8、随时到原购买网点提前兑取现金。提前兑取时，根据投资人实际持有天数和相应的利率档次计算利息。持满一年后的利息大大高于相同期限银行储蓄存款提前支取的收益。投资者在购买凭证式国债的同时，即获得了一个优良的融资工具，当需要小额贷款时，可以到原购买银行办理质押贷款。,凭证式国债与记帐式国债,利息免税，收益性好。凭证式国债利率固定，收益稳定，免缴利息收入所得税，实际收益高于相同期限银行储蓄存款的税后收益。购买凭证式国债不需要太多专业理财知识，尤其适合追求稳定投资收益的工薪阶层和中老年人。 发售网点多，购买方便。全国目前有37家承销机构（包括商业银行和邮政储汇局）近8万个营业网点办理凭证式国债销售和兑付业务
9、，大部分城乡居民可以就近购买凭证式国债。凭证式国债可以记名、挂失，如不慎遗失了相关凭证，可到原购买网点办理挂失手续。,凭证式国债与记帐式国债,柜台记账式国债:商业银行柜台交易记账式国债的交易价格是由市场决定的，买卖价格(净价)有可能高于或低于发行面值。当卖出价格高于买入价格时，表明卖出者不仅获得了持有期间的国债利息，同时还获得了部分价差收益；当卖出价格低于买入价格时，表明卖出者虽然获得了持有期间的国债利息，但同时也付出了部分价差损失。投资者购买记账式国债于到期前卖出，其价格不能预知，因此，要承担一定的价格波动风险；而凭证式国债在发行时就将持有不同时间提前兑取的分档利率做了规定，投资者提前兑取凭
10、证式国债所能获得的收益是提前预知的，不会随市场利率的变动而变动，不必承担由于市场利率变动而带来的价格风险。,Computing Bond Yields,Computing Bond Yields,Coupon Rate: the annual income that a bond investor receives expressed as a percent of the bonds par value. It is of little use in determining a bonds actual return. Current Yield: the current income fr
11、om the bond as a percentage of its price.CY=C/P Promised Yield to Maturity(or YTM, 约定到期收益率): It indicates the fully compounded rate of return promised to an investor who buys the bond at prevailing prices.,Computing Bond Yields,Two assumptions from YTM: Investor holds the bond to maturity; All the b
12、onds cash flows are reinvested at the computed yield to maturity. If a bond promises an 8 percent nominal YTM, you must reinvest coupon income at 8 percent in order to realize that promised return. If you spend the coupon payments or if you cannot find opportunities to reinvest these coupon payments
13、 rates as high at its promised YTM, then the actual realized yield you earn will be less than the YTM.,Computing Bond Yields,If you invest $1,000(par value) for twenty-five years with coupon rate 8% paid semi-annually. At the end of maturity: Case I: The principal value? The coupon payments over twe
14、nty-five years? Your ending-wealth value and actual (realized) YTM (return) if the coupon payments do not reinvest at 8%? Case II: If the coupon payments reinvested at 8%, the interest earned? Your ending-wealth value and actual (realized) YTM (return)?,Computing Bond Yields,Case I: do not reinvest
15、the coupon payments Principal: $1000; Coupon payments: $2000; Ending-wealth value: $3000; actual (realized) YTM: 4.5%($1000=$3000/(1+i)25),Computing Bond Yields,Case II: reinvest the coupon payments at 8% Principal: $1000; Coupon payments: $2000; Interest-on-interest: $4100; Ending-wealth value: $71
16、00; actual (realized) YTM: 8.0%.,Computing Bond Yields,Computing Bond Yields,An 8% bond with 20 years remaining to maturity and its current price of $900(par-value, $1000). Approximate promised yield:APY=8.95% Promised yield to maturity: YTM=9.09%,Computing Bond Yields,Promised Yield to Call(YTC): M
17、easures the promised rate of return the investor will receive from holding this bond until its retired at the first available call date.,Computing Bond Yields,An 12% bond, 20-year bond that is trading at $1150 with five years remaining to first call and a call price of $1120 Approximate yield to cal
18、l:AYC=10.04% Promised yield to call: YTM=10.02%,Computing Bond Yields,Realized Yield: measures the expected rate of return of a bond you expected to sell prior to its maturity.,Computing Bond Yields,An 8% bond, 20-year bond for $750. Over the next two years, you anticipated that bond price will rise
19、 to $900 (interest rate will decline). Approximate yield to sell:AYC=18.79% Promised yield to sell: YTM=19.93%,Calculating Future Bond Prices,You need to compute a future price(Pf) when estimating the expected realized (horizon) yield performance.,You need to compute a future price(Pf) when estimati
20、ng the expected realized (horizon) yield performance.,Calculating Future Bond Prices,Ct and Par : given; n-hp and i : forecastedIf you just bought a 10%, 25-year bond at $842(par value, $1000). You expected this bonds market YTM to decline to 8% in five years. To estimate your expected rate of retur
21、n at the end of year five, you need to compute its future price (Pf).Ct=$100, Par=$1000, hp=5, i=8% Pf =$1196.36, APY=(100+(1196.36-842)/5)/(1196.36+842)/2)=16.78%,What Determines the Price Volatility for Bonds?,Interest rates decline Prices of bonds increase;Interest rates rise bond prices decline.
22、 inverse relationship between prices and interest rates.,What Determines the Price Volatility for Bonds?,Bond price volatility: percentage changes in bond prices. A bond with high price volatility is one that experiences large percentage price changes for a given change in yields.The factors affecti
23、ng the market price of a bond is: Its par value Its coupon The number of years to maturity The prevailing market interest rate,What Determines the Price Volatility for Bonds?,Bond prices move inversely to bond yields (interest rate); For a given change in yields (interest rates), longer-maturity bon
24、ds post larger price changes; thus, bond price volatility is directly related to term to maturity. Price volatility (percentage of price change) increases at a diminishing rate as term to maturity increases.,Price movements resulting from equal absolute increases or decreases in yield are not symmet
25、rical. A decrease in yield raises bond prices by more than an increase in yield of the same amount lower prices. Higher coupon issues show smaller percentage price fluctuation for a given change in yield; thus, bond price volatility is inversely related to coupon.,What Determines the Price Volatilit
26、y for Bonds?,What Determines the Price Volatility for Bonds?,The Maturity Effect: The price change: 2.9% 28.7%; longer-maturity, greater price volatility; Price volatility increased at a decreasing rate with maturity: 10-year to 20-year: 18.5% 25.7%; 20-year to 30-year: 25.7% 28.7%. 7% 10%: 25.7%; 1
27、0% 7%: 34.7%. Prices changes more in response to a decrease in rates (from 10% to 7%) than to a comparable increase in rates( from 7% to 10%).,What Determines the Price Volatility for Bonds?,The Coupon Effect:An Inverse relationship between a bonds coupon rate and its price volatility: the smallest
28、coupon bond (0%) experienced the largest percentage price change(44.7%), versus a 24% change for the 12% coupon bond.,What Determines the Price Volatility for Bonds?,The Yield Level Effect: Higher yields change by constant percentage(33.3%) larger bond price change (the first three columns); The yie
29、ld level effect can differ depending on whether the yield change is specified as a constant percentage change or a constant basis-point change (column 1 and column 4).,Questions and Applications,1. If you invest $1,000(par value) for twenty years with coupon rate 10% paid annually. At the end of mat
30、urity: Case I: The principal value? The coupon payments over twenty years? Your ending-wealth value and actual (realized) YTM (return) if the coupon payments do not reinvest at 10%? Case II: If the coupon payments reinvested at 10%, the interest earned? Your ending-wealth value and actual (realized)
31、 YTM (return)? Case III: if the coupon is paid semiannually, what are the results under case I and case II?,Questions and Applications,2. An 8% bond with 5 years remaining to maturity and its current price of $900(par-value, $1000). What are the approximate promised yield and Promised yield to matur
32、ity for this bond? 3. If you just bought a 8%, 10-year bond at $900(par value, $1000). You expected this bonds market YTM to decline to 6% in two years. What is the bond price two years later? What is your expected rate of return at the end of year two?,中国为何要持有美国国债？ 2009年06月中国青年报,“股神”巴菲特：“他们（中国人）每日辛
33、勤劳作生产产品给美国人用，而我们给他们一些纸片。当他们想用这些纸片，例如几年前来买优尼科石油公司的时候，却发现这纸片不能达到他们想要的目的（2005年中海油竞购优尼科，因遭美国方面阻挠而失败）。” 中国在2009年3月再次增持237亿美国国债，总持有额达到7679亿美元.延续了自2008年9月以来中国持有美国国债数居全球首位的地位 金融危机的蔓延+巴菲特的忠告 减持美国国债呢？,为何要持有美国国债？ 巨额的外汇储备。截至2009年3月,中国外汇储备为19537.41亿美元。 对美国的贸易顺差是外汇储备的重要来源，这是推动中国经济发展的驱动力之一，中国要发展经济也必须紧抓美国市场。 储备资产的管
34、理：即流动性、安全性和盈利性 持有美国国债,中国为何要持有美国国债？ 2009年06月中国青年报,美国是全球最大的经济体和拥有最为发达的资本市场，美国的国债发行规模在全球份额中也是独占鳌头。美国国债风险低，变现能力强，与欧元区和日元区相比，美元区经济仍处于强势地位； 中国购买美国国债的着眼点并不放在投资的利息率上，而是希望稳定本国货币对美元的汇率，以保护中国的出口。因为每年大量购入美国国债，可以防止人民币汇率上升。投资美国国债反倒成为一种不得不作出的选择。,中国为何要持有美国国债？ 2009年06月中国青年报,购买美国国债的风险和收益 美国国债的三类风险：偿付风险、美元通货膨胀和美元对人民币贬
35、值。 偿付风险：发生的几率微乎其微； 通货膨胀风险：根据通货膨胀指数调整收益率的债券+ 与美国谈判其 通货膨胀的风险可以控制、通胀的风险较小。 美元的贬值：真正的风险。经济学家普遍认为，美元对人民币还将继续贬值。如果我们持有7679亿美国国债不减持，那么汇率的贬值必将使其缩水。,中国为何要持有美国国债？ 2009年06月中国青年报,为什么现在我们不能即刻减持美国国债呢？ 抛售必然会引起美国国债大幅贬值，那么我们的美元资产也会大幅贬值，中国的外汇储备急剧缩水，将得不偿失。 如果减持美元债券，将使债券价格下降，从而利率上升，导致资本成本上升，将推迟美国的经济复苏，从而导致对外国产品需求减少，这对中国出口增长、实体经济走出低谷均不利。 大量减持美国国债，动摇美元国际储备货币地位的美国核心利益，会遭到美国的报复和经济制裁，其结果只能是双输。,中国为何要持有美国国债？ 2009年06月中国青年报,
