Fixed-Income Markets: Issuance, Trading, and Funding
① 债券一级市場（Primary market）发行机制；
Introduction to Fixed-Income Valuation
① 利用单个折现率, 即期利率, 远期利率给债券定价方法和计算；
② 到期收益率（YTM）, 赎回收益率（YTC）；
③ 应计利息（AI）, 净价格, 全价格；
Introduction to Asset-Backed Securities
② MBS提前偿付风险定义, 性质与衡量；
Understanding Fixed-Income Risk and Return
Fundamentals of Credit Analysis
1. Elaine Wong haspurchased an 8% coupon bond for $1,034.88 with 3 years to maturity.At what rate must the coupon payments be reinvested to produce a 5%yield-to-maturity rate?
C is correct. Yield-to-maturity measure assumes that the coupon payments can bereinvested at the yield-to-maturity. In this case, it’s5%. C is the correct answer.
2. Consider thethree bonds in the following table. Which of the three bonds is mostlikely to have the greatest reinvestment risk?
BondYTM Time to MaturityCurrent Price
A8% 15 $980
B8% 15 $1,000
C8% 15 $1,098
A. Bond A
B. Bond B
C. Bond C
The yield tomaturity assumes the coupon payments are reinvested at the yield tomaturity and the bond will be held until maturity.The bond selling ata premium has the highest coupon rate and thus is expected to earnthe most reinvestment income.
If the reinvestmentrate falls, this bond will suffer the greatest loss.
Therefore, Bond C,which is currently selling at premium, is most likely to have thegreatest reinvestment risk.
3. Using the U.S.Treasury forward provided in the following table, the value of a 2year, 100 par value Treasury bond with a 4% coupon rate is closes to:
According to thedefinition of the forward rate, the value of the bond=2/(1+0.011/2)+2/(1+0.011/2)(1+0.017/2)+2/(1+0.011/2)(1+0.017/2)(1+0.022/2)+102/(1+0.011/2)(1+0.017/2)(1+0.022/2)(1+0.025/2)=104.2