金融市場(chǎng)與金融機(jī)構(gòu)第五章(存儲(chǔ)版)
【正文】 longterm interest rate can be expressed by the following: where。 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(jí)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)?. Slide 511 Slide 512 5, 10, 15, and 20year cumulative default rates (19701995) Slide 513 Liquidity Risk流動(dòng)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 purchased a $10,000 threeyear corporate bond that pays $850 in interest each year. Your marginal tax rate is 28%. If you bought the bond at par, your aftertax interest ine equals $612 annually, for an effective aftertax yield (i*) of %. In general, the aftertax yield for a bond purchased at par equals: — i* = i (1 t) Slide 516 Tax Advantages of Municipal Bonds Slide 517 Chapter Outline Risk Structure of Interest Rate Term Structure of Interest Rate Slide 518 The Term Structure of Interest Rates Suppose you have ￥ 5000 to save, and you observe the following CD rates at your bank: First, mentally graph the rates against time to maturity. What does the shape of your graph look like? Slide 519 Slide 520 What does the Term Structure look like in China now? 0 1 2 3 4 5 6 17 16 15 14 13 12 1 1 10 9 8 7 6 5 2 3 4 Number of Years to Maturity Slide 521 The Term Structure of Interest Rates Definition the relationship between an interest rate and the maturity on a security assuming everyth
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