金融學（第四版）課件：The Debt Markets

TheDebtMarkets

2BondsandMortgagesBonds(corporateandgovernment)andmortgagesarethemajorlong-termfinancialinstrumentsofthedebtmarketsmallchangesininterestratescancauselargechangesinthepricesoftheseinstrumentsthelongerthetermtomaturity,thegreaterthechangeinpriceforanychangeintheinterestrate3TheBondMarketBondsissuedbynetborrowersaresoldtonetlendersinthebondmarketTheissuermaybetheU.S.government,anagencyofthegovernment,astateorlocalgovernment,adomesticorforeigncorporation,oraforeigngovernment4TheBondMarketBondsaredebtinstrumentswithanoriginalmaturitygreaterthan10yearstheynormallypayafixedinterestrate(thecouponrate)whichisstatedonthefaceofthebondtheprincipal(alsocalledtheparvalue)isrepaidinfullatmaturitythecouponpaymentsareequaltothecouponratemultipliedbythefacevaluegenerallypaidevery6months5TheBondMarketTwomajorcredit-ratingagenciesanalyzethebondsandassignthemtooneof9riskclassesbasedontheprobabilitythattheissuerwillfailtopaybacktheprincipalandinterestinfullwhendueStandard&Poor’sMoody’sInvestorService6TheCorporateBondMarketCorporationsissuecorporatebondsinvestmentbankersunderwritenewcorporatebondissuesthetermsoftheofferingarespelledoutinthebondindenturewhenthebondsareissuedtheindentureismadeouttoatrusteerepresentingtheinvestorswhobuythebondsthetrusteeseesthattheissuerfulfillsthetermsandconditionsoftheindenture7TheCorporateBondMarketBondsmaybebackedbyspecificcollateralsuchasrealorpersonalpropertyDebenturebondsarenotbackedbyspecificcapitalintheeventofdefault,bondholdershaveageneralclaimontheotherwiseunpledgedassetsoftheissuer8TheCorporateBondMarketSubordinateddebenturebondsarealsonotbackedbycollateralbondholdershaveageneralclaimafterdebenturebondholdershavebeenpaidSubordinatedbondspaythehighestreturn,followedbydebenturebonds,followedbybondsbackedbycollateral9TheCorporateBondMarketSomebondscomewithfinancialguaranteesbackedbyinsurancecompaniesthebondissuerpaysapremiumthatguaranteesthepaymentofinterestandprincipalbytheinsurancecompanyintheeventtheissuerdefaultsthesebondsareissuedatalowerinterestratethanotherwisebecauseoftheguarantee10TheCorporateBondMarketMostcorporatebondscomewithcallprovisionsallowtheissuertobuybackthebondsbeforematurityataspecifiedpricebondswouldtendtobecalledifinterestrateshavefallensincethebondswereinitiallyissuedbondsthatarecallableofferhighercouponratesthancomparablenon-callablebonds11TheCorporateBondMarketOtherbondsofferconvertibleprovisionsallowinvestorstoconvertthebondstoaspecificnumberofsharesofcommonstockbondswithconvertibleprovisionsofferlowercouponratesthancomparablebondswithoutconvertibleprovisions12TheCorporateBondMarketSomefirmsalsoissuezero-couponbondsdonothavecouponsanddonotmakecouponpaymentsthebondsaresoldatadiscountwiththedifferencebetweentheamountpaidandtheamountreceivedatmaturitybeingequaltotheinterest13TheCorporateBondMarketThesecondarymarketincorporatebondsisalooselyconnectedarrayofbrokersanddealerstheybuy,sell,andtakepositionsinbondsinanover-the-countermarketbondsareboughtandsoldovercomputerlinksandtelephonelinesSpecificbondstradewithvaryingdegreesofliquidityinthesecondarymarket14TheTreasuryNoteand

BondMarketsGovernmentsecuritiesconsistofTreasurybills,notes,andbondsbillshaveanoriginalmaturityof1yearorlessnoteshaveanoriginalmaturityof2to10yearsbondshaveanoriginalmaturityofgreaterthan10years15TheTreasuryNoteand

BondMarketsTreasurynotesandbondsareissuedintheprimarymarketinminimumamountsof$1,000Currently,the10-yeartreasurynoteisthenewly-issuedgovernmentsecuritywiththelongestmaturity16TheTreasuryNoteand

BondMarketsTreasurynotesandbondsareafullfaithandcreditobligationoftheU.S.governmentinvestorsviewthesesecuritiesasfreefromdefaultriskinterestratesonTreasurysecuritiesareusedasabenchmarktojudgetheriskinessandliquidityofothersecurities17TheTreasuryNoteand

BondMarketsTreasurynotesandbondsarenotfreefrominterestrateriskiftheinterestrategoesupafterthesecuritiesareissuedandbeforetheirmaturity,theirvalueswillfalliftheyaresoldbeforematurity,theinvestorwillreceivelessthanthefacevalueofthesecurity18TheTreasuryNoteand

BondMarketsThesecondarymarketinTreasurynotesandbondsisanover-the-countermarketwhereagroupofU.S.securitiesdealersstandsreadytobuyorsellvariousissuesofoutstandingsecuritiestheextensivenessandactivityinthismarketmakeTreasurynotesandbondshighlyliquid19TheTreasuryNoteand

BondMarketsAdesirablefeatureofTreasurybondsisthattheinterestearnedisexemptfromstateincometaxes20TheTreasuryNoteand

BondMarketsTreasurySTRIPSareatypeofgovernmentsecurityfirstofferedin1984andsoldthroughdepositoryinstitutionsandgovernmentsecuritiesdealersallnewly-issuedTreasurynotesandbondswithmaturitiesof10yearsorlongerareeligiblefortheSTRIPSprogram21TheTreasuryNoteand

BondMarketsSTRIPSallowinvestorstoregisterandtradeownershipoftheinterestpaymentsandtheprincipalamountofthesecuritytheadvantageofSTRIPSisthatthecouponandprincipalpaymentscanbesoldseparatelyatadiscounttheinvestorpayslesstodayforfuturepaymenthewillreceivewhenthesecuritymatures22TheTreasuryNoteand

BondMarketsInflation-indexedbondsareamorerecenthybridtheprincipalamountisadjustedforinflationatthetimewhenacouponpaymentismadetheinterestratedoesnotchange,butthecouponpaymentsarebasedontheinflation-adjustedprincipal23MunicipalBondsMunicipalbonds(munis)arebondsissuedbystate,county,andlocalgovernmentstofinancepublicprojectstheinterestonmunicipalsecuritiesisexemptfromfederaltaxesaswellasstatetaxes(forinvestorslivingintheissuingstate)24MunicipalBondsMunicipalbondsareattractivetotaxpayersinhigh-incometaxbracketstheinterestrateonmunis(im)willgravitatetotherateatwhichtheaverageinvestorisindifferentbetweenbuyingmunisorpurchasingothercomparablebonds(withaninterestrateofib)wecanwritetherateas25MunicipalBondsMunicipalbondscanbeeithergeneralobligationbondsorrevenuebondsgeneralobligationbondsarepaidoutofgeneralrevenuesrepaymentofrevenuebondsistiedtothesuccessofaspecificprojectthatthebondssupport26GovernmentAgencySecuritiesGovernmentagencysecuritiesareissuedbyprivateenterprisesthatwerepubliclycharteredbyCongresstoreducethecostofborrowingincertainsectorsoftheeconomythesecanbedividedintotwoclassesgovernmentsponsoredenterprises(GSEs)federally-relatedinstitutionssecuritiesmarkets27GovernmentAgencySecuritiesAreaswhereGSEshavebeenestablishedinclude:housingfarmingthesavingsandloanindustrystudentloansAllareprivatelyownedandissuelong-termbondstoassistinsomeaspectoflending28GovernmentAgencySecuritiesInmostcases,thefederalgovernmenthasnolegalobligationtoensuretimelypaymentofinterestandprincipalforGSEsecurities29GovernmentAgencySecuritiesInadditiontoGSEsecurities,theFederalFinancingBankissuesbondstoborrowforfederallyrelatedinstitutionsthesebondsarebackedbythefullfaithandcreditoftheU.S.government30TheAnatomyofMortgagesAmortgageisalong-termdebtinstrumentforwhichrealestateisusedascollateraltosecuretheloanintheeventoftheborrower’sdefaultmortgagesareassetstothelenderandliabilitiestotheissuertheyaresimilartobondswiththecaveatthattheunderlyingpropertyservesascollateral31TheAnatomyofMortgagesThebulkofmortgagesaremadetoindividualstopurchaseresidentialpropertyhouseholdsarethemajorborrowersMortgageshaveeitherafixedoravariableinterestratewithfixed-ratemortgages,theinterestratedoesnotchangeoverthelifeoftheloanwithvariable-ratemortgages,theinterestrateisadjustedasothermarketrateschange32TheAnatomyofMortgagesLendersoffixed-ratemortgagesareexposedtointerestraterisk,whilelendersofvariable-ratemortgagesarenotAnadditionalriskistheprepaymentrisktheriskthatthemortgagewillbepaidearlyandthatthefundswillhavetobeinvestedatalowerrateofreturnthisriskincreaseswheninterestratesfallandborrowersrefinancetheirmortgages33TheRisksofInvestinginMortgages34TheRisksofInvestinginMortgages35TheRisksofInvestinginMortgages36TheAnatomyofMortgagesTherepaymentoftheprincipalonamortgageisgenerallyspreadoutoverthelifeoftheloanattheendoftheloan,themortgagehasbeenfullyrepaidthisisknownasamortization37TheAnatomyofMortgagesResidentialmortgagesmayalsobeinsuredbyanagencyofthefederalgovernmentguaranteesrepaymentoftheprincipalandinterestintheeventtheborrowerdefaultstherearetwoagenciesthatguaranteemortgagesFederalHousingAdministration(FHA)VeteransAdministration(VA)38TheAnatomyofMortgagesConventionalmortgageshavenofederalinsuranceandaremadebyfinancialinstitutionsandmortgagebrokersmayrequiretheborrowertopurchaseprivateinsurancethatwouldmakeprincipalandinterestpaymentsintheeventtheborrowerdefaultsgenerallyrequiredwhendownpaymentsaresmall39TheSecondaryMortgageMarketPriorto1970,onlymortgagesinsuredbyFHAorVAweresoldinsecondarymarketsIn1968,CongresscreatedtheGovernmentNationalMortgageAssociation(GinnieMae)beganaprogramin1970inwhichitguaranteedpaymentofinterestandprincipalonbundlesof$1millionormoreofstandardizedmortgages40TheSecondaryMortgageMarketThisguaranteewasbackedbythefullfaithandcreditoftheU.S.governmentThisfosteredthecreationoflargesecondarymarketsthatincreasedtheliquidityofmortgages41TheSecondaryMortgageMarketIn1970,CongressauthorizedtheFederalnationalMortgageAssociation(FannieMae)ofpurchaseconventionalmortgagesitdidnotpoolthemtocreateamortgage-backedsecurityuntil1981FannieMaeprimarilybuysthemortgagesofbanks42TheSecondaryMortgageMarketIn1970,CongressalsocreatedtheFederalhomeLoanMortgageCorporation(FreddieMac)tolendfurthersupporttothehousingmarketFreddieMacissueditsfirstmortgage-backedsecurityin1971FreddieMacprimarilybuysthemortgagesofthrifts43CollateralizedMortgageObligationsInvestorsinmortgagesfaceprepaymentrisktoreducethisrisk,FreddieMacdevelopedcollateralizedmortgageobligations(CMOs)theyredirectthecashflows(principalandinterest)ofmortgage-backedsecuritiestovariousclassesofbondholders,thuscreatingfinancialinstrumentswithvaryingprepaymentrisksandvaryingreturnsinexchangeformoreprepaymentrisk,theinvestorreceivesahigherreturn44PrivateMortgage-BackedSecuritiesIn1984,someprivategroupsstartedtoissuetheirownmortgage-backedsecuritiesdidnotrelyonthebackingofGinnieMaeissuersincludedcommercialbanks,mortgagelenders,andinvestmentbankingfirmsPrivatelyissuedmortgage-backedsecuritiescanbesoldinsecondarymarkets45SummaryofMajorPointsBondsaredebtinstrumentsissuedbytheU.S.government,anagencyofthegovernment,astate,county,orlocalgovernment,adomesticorforeigncorporation,oraforeigngovernmentthecouponpaymentisbasedontheparvaluemultipliedbythecouponratebondsareratedbyMoody’sandStandardandPoor’swithregardtocreditworthiness46SummaryofMajorPointsThetermsofacorporatebondissuearespelledoutinthebondindenturesomecorporatebondsarebackedbyrealorfinancialassetsdebentureandsubdebenturebondsarenotmostcorporatebondshavecallprovisionscorporationsalsoissuezero-couponbondssecondarymarketstradepreviously-issuedcorporatebonds47SummaryofMajorPointsTreasurysecuritiesareconsideredtobefreefromdefaultriskThesecondarymarketforTreasurysecuritiesisthelargestsecondarymarketintheworldTreasurybondsaresubjecttointerestraterisk48SummaryofMajorPointsSTRIPSallowthecouponandprincipalpaymentsofgovernmentsecuritiestobesoldseparatelyatadiscountTheprincipalamountofanindexedbondisadjustedforinflationatthetimeacouponpaymentismade49SummaryofMajorPointsMunicipalbondsareissuedbystateandlocalgovernmentsinterestincomeonmunicipalsecuritiesisexemptfromfederalandstatetaxes(ifinvestorli