不变收入证券讲义(2)--张俊喜

1Lecture1Introduction:FixedIncomeMarkets:Scopes,InstrumentsandRisks2OverviewPresentadiscussionoffixedincomemarkets;varioustypesoffixedincomesecurities(bonds),bondcharacteristics,determinantsofbondriskandbondratings3I.WhyDoBondMarketsExist?AnOverviewofBondMarketsRaisingMoneytoFundActivitiesGovernmentsCorporationsInternationalOrganizationsSupranationalBanksFinancialInstitutionsIndividuals4CapitalMarketsMoneyMarketsBondMarketsEquityMarkets5MoneyMarketsBorrowingandlendinglargeamountsofmoneyforshortperiods,0-12months6BondMarketsInstrumentsthatgenerallypayinterestsforafixedperiodoftimeforloanperiodsover12monthsto30years1-10years,notes10years,bonds7EquityMarketsLong-termpermanentfunding8AsiastillDependentonBankingFinancing(%ofGDP)BankAssets19982000EquityMarket19982000BondMarket19982000China13915425541220HongKong2142212063823237Japan1451406466101137Korea23311935325358Singapore2202451121882096Taiwan22623897804132Thailand17612430242331Germany273310516897141US65601581491411819ChangingStructureofWorldFinancialSystem00.20.40.60.811.21.41990199119921993199419951996199719981999StockMarketCapitalizationBondMarketCapitalizationBankAssets101990stock21%bankAssets49%bonds30%1999stock36%bonds29%bankAssets35%BankingSharesofWorldFinancialSystemDiminishes110%50%100%USJapanGermanyBankBasedvs.MarketBasedFinancialSystems1990bankassetsbondsStock12TypesofDebtInstrumentsNegotiableDebtInstrumentsBoughtorsoldinasecondarymarketTrading:Over-the-counter(OTC);LSE;NYSE;CBOTNon-negotiableDebtInstrumentsPrivatetransactionsbetweencounterparties,suchasbanksandcorporationsorgovernments;Notgenerallytradedinthemarkets13GovernmentBondsTreasurySecuritiesNotes(MediumTerm)Bonds(LongTerm)Principalamount+CouponPayment(interest)FreefromDefaultRisk(HighCreditRating)14CorporateBondsFunctionsthesameasgovernmentboundsCorporationscanuseboththebondmarketsandtheequitymarketstoraisefundsPayahigherrateofinterest(riskier;creditrisk)Commercialpaper-unsecured,shorttermnotes,issuedbycorporates15II.Fixedincomesecuritiesandtheircharacteristics“fixedincome”?WhosevaluedependsontheinterestratesContractualobligationsThemarkethasbecomeincreasinglyglobalandderivative16BondAbondisalendingagreementinwhichtheborrowerissuesanIOUtotheinvestor,promisingtomakesemi-annualcoupon(percentofthepar,orfacevalue,ofthebond)untilthebondmatures,atwhichtimetheinvestoralsoreceivesthefacevalueofthebond.17A.TypeofIssuersGovernmentAgenciesMunicipalgovernmentsCorporationsSpecialpurposevehicle(SPV)Supernationals18B.TermtoMaturityBills/CouponPayments-Noncouponsecuritieswithoriginalmaturitiesof13,26,or52weeks.Notes/Medium-TermNotes-Couponsecuritieswithoriginalmaturitiesof2-10years.Interestpaymentsaremadesemi-annually.Bonds-Couponsecuritiesofgreaterthan10years'maturity19C.CouponRateFixedFloatingZerosDeferred-coupon20D.EmbeddedOptionsCallablebondsMostcorporatebondscontainacallprovision,whichallowsthefirmtorepurchasethebondataspecifiedcallpricepriortomaturity.ConvertiblebondsThisgivestheinvestortheoptionofconvertingthebondsintosharesofcommonstockofthefirmPuttablebondsExchangeablebondHybridsecurities/Structurednotes21E.Asset-BackedSecuritiesMortgage:adjustableorfixedratemortgagePass-throughsCollaterlizedmortgageobligationsStrippedmortgage-backedsecuritiesCreditcardreceivablesAutomobileloanreceivables22III.RisksMarket/InterestRateTiming:Call,Prepayment,ReinvestmentRiskCredit/DefaultEventSectorInflation/PurchasingpowerExchangerate/CurrencyLiquidityPolitical,Legal23IV.BondRatingandDefaultRiskIfthefirmgoesbankruptthebondholderwillnotreceivetheepromisedpayments.Moody'sandStandardandPoor'sratebonds:investmentgradebondsandjunkorspeculativegradebonds24BondRatingsVeryHighHighQualitySpeculativeVeryPoorStandard&Poor’sMoody’sAAAAAAaaAaABBBABaaBBBBaBCCCDCaaCAttimesBothMoody’sandStandard&Poor’shaveusedadjustmentstotheseratings:S&Pusesplusandminussigns:A+isstrongestAratingandA-theweakest.Moody’susesa1,2or3designation,with1indicatingthestrongest.25RatingClassesandMedianFinancialRatios,1991-1993RatingCategoryFixed_chargeCoverageRatioCashFlowtototaldebtReturnonCapital(%)Long-TermDebttoCapital(%)AAA6.340.4924.211.7AA4.48.3218.419.1A2.93.1713.529.4BBB1.82.049.739.6BB1.33.019.151.1B0.78(.02)6.361.826DeterminantsofBondsSafetyCoverageratios-ratioofcompanyearningstofixedcostsLeverageratios-debttoequityratioLiquidityratios-theratioofcurrentassettocurrentliabilityProfitabilityratios-ratesofreturnCashflowtodebtratio