【正文】 riced in that expected returns are appropriate(given necessary risk and tax adjustments) 2. Fixedine portfolio management ? 這里所謂的風(fēng)險(xiǎn)管理，是針對(duì)債券的利率風(fēng)險(xiǎn)控制，而債券本身的風(fēng)險(xiǎn)（例如，違約風(fēng)險(xiǎn)）不在討論范圍之內(nèi)。 ? 一種債券，它的持有期收益率可能和別的債券以及股票的收益率相關(guān)。 ? 例子：某公司 20年前發(fā)行的債券還有 10年到期，息率為 9%，現(xiàn)在公司有財(cái)務(wù)困難，投資者預(yù)期利息將不受影響，但在到期日，公司將破產(chǎn)，投資者只能得到面值的 70%，債券現(xiàn)在的價(jià)格為 750元。 ? 為什么會(huì)回購(gòu) ? 10年的到期收益（實(shí)際回報(bào)）為 %。 ? 被考慮債券和具有相同的到期日和息率的無違約風(fēng)險(xiǎn)債券 ? 定價(jià)是一個(gè)相對(duì)的概念 ? Coupon rate and length of time until maturity ? 這兩個(gè)性質(zhì)決定了發(fā)行者承諾支付給持有者的現(xiàn)金流的時(shí)間和規(guī)模。 ? 的確定依賴于債券的特征以及現(xiàn)時(shí)的市場(chǎng)條件。 ? ??? ??ntttyCP1 1*yy?*yy?*y? 例子：一個(gè)債券，現(xiàn)價(jià)為 900元，面值為1000元，三年到期，息率為 6%。 ? 由這兩個(gè)屬性可以決定債券的到期收益率，再與基準(zhǔn)的收益率作比較。 ? Yield to call ? 例子：面值為 1000元，息率 8%， 30年到期的無回購(gòu)協(xié)議的債券和面值為 1000元，息率 8%， 30年到期，回購(gòu)價(jià)格為 1100元的債券 ? price ? 1200 ? 1000 ? 0 5% 10% 15% 20% interest rate ? At high interest rates, the risk of call is negligible, and the values of the straight and callable bonds converge. At lower rates, however, the values of bonds begin to diverge, with the difference reflecting the value of the firm?s option to reclaim the callable bond at the call price. ? 兩者之差反映了公司以 1100元進(jìn)行回購(gòu)這樣一個(gè)權(quán)利的價(jià)值。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。最重要的，在某種程度上，它 的持有期收益率可能和風(fēng)險(xiǎn)分散化的市場(chǎng)證券組合的收益率相關(guān)。 利率風(fēng)險(xiǎn) ? 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(jià)定理：說明市場(chǎng)收益變化和價(jià)格變動(dòng)之間的關(guān)系（定性描述）。 ? 7. 債券發(fā)行時(shí)的初始到期收益越低，則它對(duì)收益變化的敏感度越大。證券選擇(security selection)和決定交易時(shí)間 (market timing)都是無用的，不會(huì)帶來超平均的收益。 ? 即使利率不變，當(dāng)時(shí)間變化時(shí)，久期也會(huì)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(chǎng)利率計(jì)算現(xiàn)值為 10000元。 ? 價(jià)格風(fēng)險(xiǎn) ? 重投資風(fēng)險(xiǎn) ? ? 4 6 9 0 0 0 05 ??? Terminal value of a bond portfolio after 5 years (all proceeds reinvested) ? A. rates remain at 8% 1 4 8 0 0 ? ?4? = 1 0 8 8 . 3 92 3 8 0 0 ? ?3? 1 0 0 7 . 7 73 2 8 0 0 ? ?2? 9 3 3 . 1 24 1 8 0 0 ? ?1? 8 6 45 0 8 0 0 8 0 0S a l e o f b o n d 0 1 0 8 0 0 / 1 . 0 8 1 0 0 0 01 4 6 9 3 . 2 8? Terminal value of a bond portfolio after 5 years (all proceeds reinvested) ? B. rates fall to 7% 1 4 8 0 0 ? ?4?2 3 8 0 0 ? ?3?3 2 8 0 0 ? ?2?4 1 8 0 0 ? ?1?5 0 8 0 0S a l e o f b o n d 0 1 0 8 0 0 / 1 . 0 71 4 6 9 4 . 0 5? Terminal value of a bond portfolio after 5 years (all proceeds reinvested) ? C. rates increase to 9% 1 4 8 0 0 ? ?4?2 3 8 0 0 ? ?3?3 2 8 0 0 ? ?2?4 1 8 0 0 ? ?1?5 0 8 0 0S a l e o f b o n d 0 1 0 8 0 0 / 1 . 0 91 4 6 9 6 . 0 2? For a horizon equal to the portfolio?s duration, price risk 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(dāng)利率變化幅度不大時(shí)，資產(chǎn)和債務(wù)的值的變化量相等；當(dāng)利率變化幅度很大時(shí)，資產(chǎn)和債務(wù)值的變化量不再相等。對(duì)等價(jià)或者溢價(jià)發(fā)行的債券，上述關(guān)系總是成立 ? 別的因素不變，到期收益越低，帶息債券的duration越高。 例子 ? Bond C: coupon rate=7%, yield=7%, P=1000 ? Bond D: coupon rate=9%, yield=7%, P=1082 ? when yield change to be 8% ? bond C: price 1000 , % ? bond D: price 1082