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Slide 51 UNDERSTANDING INTEREST RATES Chapter 3 BEHAVIOR OF INTEREST RATES Chapter 4 THE RISK AND TERM STRUCTURE OF INTEREST RATES Chapter 5 THE THEORY OF EFFICIENT CAPITAL MARKETS Chapter 6 Part II Principles of Financial Markets Slide 52 Chapter Five THE RISK AND TERM STRUCTURE OF INTEREST RATES Part II Principles of Financial Markets Slide 53 Chapter Outline ? Risk Structure of Interest Rate ? Term Structure of Interest Rate Slide 54 risk structure of interest rates 利率的風(fēng)險結(jié)構(gòu) : The relationship among the various interest rates on bonds with the same term to maturity. Risk Structure of Interest Rate Slide 55 Risk Structure of Long Bonds in the United States Longterm Bond Yields,19191998 Slide 56 Default Risk違約風(fēng)險 This is the possibility that the borrower will not make promised payments either on time or in full. A bond with default risk will always have a positive risk premium, and an increase in its default risk will raise the risk premium. Slide 57 The spread between the interest rates on bonds with default risk and defaultfree bonds, called the risk premium風(fēng)險溢價 Bonds like . Treasury bonds with no default risk are called defaultfree bonds無違約風(fēng)險債券 . Slide 58 Increase in Default Risk on Corporate Bonds Slide 59 Default Risk :Analysts39。 assessments Example: Low Quality, speculative, InvestmentQuality and/or “Junk” High Medium Low Very Low Grade S P’s AAA AA A BBB BB B CCC CC C D Moody’s Aaa Aa A Baa Ba B Caa Ca C C How does ―the ratings game‖ work? Slide 510 Bonds with relatively low risk of default are called investmentgrade securities 投資級債券 and have a rating of Baa (or BBB) and above. Bonds with ratings below Baa (or BBB) have higher default risk and have been aptly dubbed speculativegrade or junk bonds垃圾債券 . Because these bonds always have higher interest rates than investmentgrade securities, they are also referred to as highyield bonds高收益?zhèn)?. a href= /a a href= /a Slide 511 Slide 512 5, 10, 15, and 20year cumulative default rates (19701995) Slide 513 Liquidity Risk流動性 Investors must be concerned with possibility of being unable to quickly convert their securities holdings to cash. Liquidity Premiums Highly liquid assets carry the lowest rates, low liquidity securities typically pay a liquidity premium. Slide 514 Decrease in Liquidity of Corporate Bonds Slide 515 10 000 850 1 281 850 1 281 850 1 281 10 00012 3 3, ( . )( *) ( . )( *) ( . )( *) ,( *)? ?? ? ?? ? ?? ? ?i i i iIne tax effects Suppose you p