Lecture 13 Bond Valuation and Interest Rate Investment

Lecture 13 Bond Valuation and Interest Rate Investment Analysis and Portfolio Management Spring 2009 CAU Business School

각종 이색채권 Income bond: coupon is paid only if the company’s income is sufficient. Convertible bond: can be swapped for a fixed number of shares of stocks anytime before the maturity at holder’s option. Put bond: allows holder to force the issuer to buy back the bond at a stated price. Exchange bond: 채권 발행 주체가 아닌 다른 기업의 주 식과 교환이 가능한 채권 재앙채권(catastrophe bond): 대규모 자연재해 발생 시 이자와 원금을 지급하지 않는 채권 – 일종의 보험상품

Example Consider a bond with a coupon rate of 10% and annual coupons. The par value is $1, 000 and the bond has 5 years to maturity. The yield to maturity is 11%. What is the value of the bond? P = 100[1 – 1/(1+0. 11)5] /0. 11 + 1, 000 / (1. 11)5 = 963. 04

채권가격과 쿠폰율 If YTM = CR (쿠폰율), P = F: par bond If YTM > CR, P < F : discount bond If YTM < CR, P > F : premium bond

The Inverse Relationship Between Bond Prices and Yields

각종 채권수익률 만기수익률(yield to maturity) 채권에서 발생할 미래 현금흐름의 현재가치를 채권의 현재 시장가격과 일치시키는 이자율(수익률) Current yield Annual coupon payment/current market price Holding period return HPR = [ I + ( P 0 - P 1 )] / P 0 where I = interest payment P 1 = price in one period P 0 = purchase price