university_of_saskatchewan公司財(cái)務(wù)導(dǎo)論(金融學(xué))(2)(參考版)
2024-10-21 21:02本頁面
【正文】 5Year Horizon Averages Rating to: Aaa Aa A Baa Ba B CaaC Default WR Aaa Aa Rating A from: Baa Ba B CaaC Source: Moody’s Investor Service, Special ments, February 2021 Fall 2021 COMM 203 42 Factors Affecting Bond Yields Key Issue: What factors affect observed bond yields? ? The real rate of interest ? Expected future inflation ? Interest rate risk ? Default risk premium ? Taxability premium ? Liquidity premium Fall 2021 COMM 203 43 Problem ? Joe Kernan Corporation has bonds on the market with years to maturity, a yieldtomaturity of 8 percent, and a current price of $850. The bonds make semiannual payments. What must the coupon rate be on the bonds? Total number of coupon payments = ? 2 = 21 Yield to maturity per period = 8% / 2 = 4% Maturity value = F = $1000 Fall 2021 COMM 203 44 Problem ? Bond J is a 4% coupon bond. Bond K is a 10% coupon bond. Both bonds have 8 years to maturity, make semiannual payments, and have a YTM of 9%. If interest rates suddenly rise by 2%, what is the percentage price change of these bonds? What if rates suddenly fall by 2% instead? What does this problem tell you about the interest rate risk of lowercoupon bonds? Fall 2021 COMM 203 45 ? Percentage Changes in Bond Prices Solution to Problem Bond Prices and Market Rates 7% 9% 11% Bond J $ $ $ % chg. (+%) (–%) Bond K $1, $1, $ % chg. (+%) (–%) All else equal, the price of the lowercoupon bond changes more (in percentage terms) than the price of the highercoupon bond when market rates change. 。P) AAA AA A BBB Low Quality, speculative, and/or “Junk” Low Grade Very Low Grade Moody’s Ba B Caa Ca C D DBRS (Samp。 2021 McGrawHill Ryerson, Ltd Fall 2021 COMM 203 26 A Couple of Facts ? Given two bonds identical but for maturity, the price of the longerterm bond will change more (in percentage terms) than that of the shorterterm bond, for a given change in market interest rates. ? Given two bonds identical but for coupon, the price of the lowercoupon bond will change more (in percentage terms) than that of the highercoupon bond, for a given change in market interest rates. Fall 2021 COMM 203 27 Components of Term Structure of Interest Rates Fall 2021 COMM 203 28 Components of Term Structure of Interest Rates Fall 2021 COMM 203 29 Inflation and Returns ? What is the difference between a real return and a nominal return? ? How can we convert from one to the other? ? Example: Suppose we have $1000, and Diet Coke costs $ per six pack. We can buy 500 six packs. Now suppose the rate of inflation is 5%, so that the price rises to $ in one year. We invest the $1000 and it grows to $1100 in one year. What’s our return in dollars? In s
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