【正文】 sk and reinvestment risk exactly cancel out. ? Accumulated value of invested funds ? funds ? 0 t* D t ? value ? 10000 ? 6000 ? 8% interest rate Coupon bond Single payment obligation ? 在 8%，資產(chǎn)和債務(wù)的現(xiàn)值相等；當利率變化幅度不大時，資產(chǎn)和債務(wù)的值的變化量相等；當利率變化幅度很大時，資產(chǎn)和債務(wù)值的變化量不再相等。 ? 對永久性現(xiàn)金流，在利率 10%之下的久期是11年。 ? 即使利率不變，當時間變化時，久期也會發(fā)生變化 ? Rebalancing immunized portfolio ? Even if an obligation is immunized at the outset, as time passes the durations of the asset and liability will fall at different rates. Without portfolio rebalancing, durations will bee unmatched and the goals of immunization will not be realized. ? Immunization is a passive strategy only in the sense that it does not involve attempts to identify undervalued securities. Immunization mangers still actively update and monitor their positions. ? 例子：假設(shè)證券組合經(jīng)理在 7年后有一筆19487元的債務(wù)，以現(xiàn)在 10%的市場利率計算現(xiàn)值為 10000元。 ? Bondindex funds ? Create a portfolio that mirrors the position of an index that measures the broad market. ? 債券市場指標 ? Lehman Brothers, Merrill Lynch, Salomon Brothers ? Number of issues ? maturity of included bonds ? excluded issues ? weighting ? reinvestment ? Daily availability ? 構(gòu)造反映債券市場指標的證券組合 ? 問題： ? 債券種類過多，難以一一購買 ? 交易少，很難以公平市價買到指標中包含的所有債券 ? 指標不斷更換到期日少于 1年的債券 ? 不斷調(diào)整，利息收入重投資 ? 方法：精確復(fù)制債券指標不可行，采用 cellular方法 ? 把債券市場分成幾類 ? 指標中債券在各類中占的比例 ? 按這一比例構(gòu)造債券組合 ? In these way, the characteristics of the portfolio in terms of maturity, coupon rate, credit risk, industrial representation, and so on, will match the characteristics of the index, and the performance of the portfolio likewise should match the index. Sector TtM Treasury Agency MortgageBacked Industrial Finance Utility Yankee 1 year % 13 years % 35 years % 57 years 710 years % 1015 years 1530 years % % 30+ years Immunization ? 兩種不同的看待利率風(fēng)險的方式 ? 銀行，使得資產(chǎn)凈現(xiàn)值不受利率波動的影響 ? 養(yǎng)老金，使得資產(chǎn)將來的值不受風(fēng)險的影響 ? What is mon to the bank and the pension fund is interest rate risk. The worth of the firm or the ability to meet future obligations fluctuates with interest rates. ? 通過適當調(diào)整證券組合的到期日結(jié)構(gòu)，規(guī)避利率風(fēng)險 ? Immunization techniques refer to strategies used by such investors to shed their overall financial status from exposure to interest rate fluctuations. ? Net worth immunization ? 例子：承諾在兩年后支付 1000000元，有兩種債券可供選擇： ? 債券 1年 2年 3年 yield ? 1 80 80 1080 10% ? 2 1070 10% ? 121 ??ww 21 ???? ww? 例子：保險公司以價格 10000元發(fā)行一種guaranteed investment contract(GIC)， 5年到期，保證利率為 8%。證券選擇(security selection)和決定交易時間 (market timing)都是無用的，不會帶來超平均的收益。 ? 表示債券剩下的距到期日的時間。 ? 7. 債券發(fā)行時的初始到期收益越低，則它對收益變化的敏感度越大。 ? 4. 當債券的收益上升和下降相同的數(shù)量時，收益上升導(dǎo)致價格下降的規(guī)模，小于收益下降導(dǎo)致價格上升的規(guī)模。 利率風(fēng)險 ? As interest rates rise and fall, bondholders experience capital losses and gains. These gains or losses make fixedine investments risky, even if the coupon and principal payments are guaranteed, as in the case of Treasury obligations. ? Why do bond prices respond to interest rate fluctuations? ? In a petitive market all securities must offer investors fair expected rates of return. ? The sensitivity of bond prices to changes in market interest rates is obviously of great concern to investors. ? 債券定價定理：說明市場收益變化和價格變動之間的關(guān)系（定性描述）。 ? 實證結(jié)果表明，與股票市場比較，級別越低的債券，對股票市場的波動敏感性越大。最重要的，在某種程度上，它 的持有期收益率可能和風(fēng)險分散化的市場證券組合的收益率相關(guān)。但風(fēng)險酬金是另一種酬金。具體情況見下表 E x p e c t e d Y T M S t a t e d Y T MC o u p o n p a y m e n t $45 $45N u m b e r o f s e m i a n n u a lp e r i o d s2 0 p e r i o d 2 0 p e r i o dF i n a l p a y m e n t $700 $1000P r i c e $750 $750? 承諾到期收益為 %. ? 期望到期收益為 % ? Default premium: the difference between the promised yield on a corporate bond and the expected yield. ? 違約的概率越大，違約酬金越高。 ? Likelihood of default ? investment grade ? speculative grade ? 對公司債券而言，好的級別一般與下列條件有關(guān)： ? 低的財務(wù)杠桿 ? 大的和穩(wěn)定的利潤 ? 大的公司規(guī)模 ? 大的現(xiàn)金流 ? 從屬債務(wù)少 ? 級別評估公司以發(fā)行公司的財務(wù)比的水平和未來趨勢為基礎(chǔ)，通過建立模型對公司債券級別進行評估： ? Coverage ratiosratio of pany earnings to fixed costs ? Leverage ratiodebt to equity ratio ? Liquidity ratioscurrent assets to current liability ratio ? Profitability ratiosreturn on assets or equity ? Cash flowtodebt ratiototal cash flow to outstanding debt