1 / 15

Fixed Income Instruments 1

Fixed Income Instruments 1. Zvi Wiener 02-588-3049 mswiener@mscc.huji.ac.il. Sources. Fabozzi, “Bond Markets, Analysis and Strategies”, Prentice Hall. P. Wilmott, Derivatives, Wiley. Hull, White, Manuscript. Plan. Pricing of Bonds Measuring yield Bond Price Volatility

rian
Télécharger la présentation

Fixed Income Instruments 1

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Fixed Income Instruments 1 Zvi Wiener 02-588-3049 mswiener@mscc.huji.ac.il http://pluto.mscc.huji.ac.il/~mswiener/zvi.html

  2. Sources • Fabozzi, “Bond Markets, Analysis and Strategies”, Prentice Hall. • P. Wilmott, Derivatives, Wiley. • Hull, White, Manuscript. Fabozzi Ch 1

  3. Plan • Pricing of Bonds • Measuring yield • Bond Price Volatility • Factors Affecting Yields and the Term Structure of IR • Treasury and Agency Securities Markets • Corporate Debt Instruments • Municipals Fabozzi Ch 1

  4. Plan • Non-US Bonds • Mortgage Loans • Mortgage Pass-Through Securities • CMO and Stripped MBS • ABS • Bonds with Embedded Options • Analysis of MBS • Analysis of Convertible Bonds Fabozzi Ch 1

  5. Plan • Active Bond Portfolio Management • Indexing • Liability Funding Strategies • Bond Performance Measurement • Interest Rate Futures • Interest Rate Options • Interest Rate Swaps, Caps, Floors Fabozzi Ch 1

  6. Characteristics of a Bond • Issuer • Time to maturity • Coupon rate, type and frequency • Linkage • Embedded options • Indentures • Guarantees or collateral Fabozzi Ch 1

  7. Time to Maturity • Short-term – one to five years • Intermediate-term – five to twelve years • Long-term – more than twelve years Fabozzi Ch 1

  8. Basic terms • Principal • Coupon, discount and premium bonds • Zero coupon bonds • Floating rate bonds • Inverse floaters • Deferred coupon bonds • Amortization schedule • Convertible bonds Fabozzi Ch 1

  9. Embedded Options • Call feature – the issuer can retire the debt • Put provision – the bondholders option • Convertible bond – the bondholder can exchange the bond • Exchangeable bond allows conversion to securities issued by another firm Fabozzi Ch 1

  10. Sectors • Treasury sector: bills, notes, bonds • Agency sector: debentures (no collateral) • Municipal sector: tax exempt • Corporate sector: US and Yankee issues • bonds, notes, structured notes, CP • investment grade and noninvestment grade • Asset-backed securities sector • MBS sector Fabozzi Ch 1

  11. Basic Terms • The Money Market Account • LIBOR = London Interbank Offer Rate, see BBA Internet site • FRA = Forward Rate Agreement • Repos, reverse repos • Strips = Separate Trading of Registered Interest and Principal of Securities Fabozzi Ch 1

  12. Basic Terms • gilts (bonds issued by the UK government) • JGB = Japanese Government Bonds • Yen denominated issued by non-Japanese institutions are called Samurai bonds Fabozzi Ch 1

  13. Major risks • Interest rate risk • Default risk • Reinvestment risk • Call risk • Currency risk • Liquidity risk • Risk risk Fabozzi Ch 1

  14. Straight bond Floater Fabozzi Ch 1

  15. Home AssignmentChapter 1 • Questions 1, 2, 3, 4, 5, 8, 10, 11, 12, 13, 14 Fabozzi Ch 1

More Related