东方华尔CFA 一级培训课程
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◆Yield spreads:difference bw the yields of any two debts.◆Theories of the term structure
◆Different types of yield spread ◆Taxable vs.after-tax yield
◆Tax-free and taxable equivalent yields 东方华尔
◆Yield spreads: why there is a difference ◆Credit risk
◆Embedded option
◆Liquidity premium 东方华尔
学习要点56. a: 明确中央银行使用的利率政策工具。（Identify the interest rate policy tools available to a central bank.）东方华尔
◆Discount rate:Bank can borrow reserves from the Fed
◆Open market operation:trading Treasury securities by the Fed in the open market (2009-3-18)◆Bank reserves requirement:the percentage of deposits that banks must retain(not loan out )◆Persuading banks to tighten or loosen their credit policies.◆Which one is the most effective policy 东方华尔
学习要点56. b: 叙述收益率曲线以及收益率曲线的各种形态。（Describe a yield curve and the various shapes of the yield curve.）东方华尔
Yield curve:the yield curve is the relation between the interest rate (or cost of borrowing)and the time to maturity of the debt for a given borrower in a given currency.
How does the yield curve being built?
Normal or upward sloping,
inverted or downward sloping,
flat
humped. Example:page70.东
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◆Yield spreads:difference bw the yields of any two debts.◆Theories of the term structure
◆Different types of yield spread ◆Taxable vs.after-tax yield
◆Tax-free and taxable equivalent yields 东方华尔
学习要点56.c:叙述利率期限结构基本理论及每种理论对应的收益率曲线形状的含义。（Explain the basic theories of the term structure of interest rates and describe the implications of each theory for the
shape of the yield curve.）东方华尔
Term structure theories examine what determines yields at different maturities and implications for future short rates.(we can find out one year,two year rates today,but we don’t know one year rate in a year later)?LiquidiPure expectations theory
?ty preference theory
?Market segmentation theory 东方华尔
The yield curve reflects the market’s expectations of future interest rates:
–the yield for a particular maturity is an average (not a simple average)of the short term rates that are expected in the future.–The forward rate is an unbiased estimate of :the future short rate
E(r t )=f t .
–An upward sloping yield curve implies that the market believes interest rates will rise
–?Are forward rates perfect predictors of future rates
–Be aware of spot,forward and future rates 东方华尔
4%
5%
X=?
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There are more short-term investors than long-term investors.Therefore long term bonds have lower liquidity than short-term bonds.
To compensate buyers of long-term bonds for the lower liquidity,long-term bonds must offer a higher return.
The forward rate is the expected future short rate plus a liquidity premium:
Yield Liquidity preference
Without Liquidity preference
Liquidity premium
Pure expectation f t = E(r t ) + liquidity premium
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Borrowers and lenders have strong preferences for particular maturities.
(Sometimes they have to due to assets &liability structure,pension,insurance and bank have different preference)?
They don’t hold or issue bonds at other maturities.?
Debt markets at different maturities are not linked (they are segmented).?The yield at a particular maturity is determined purely by supply and
demand for bonds at that maturity.Yield Short-term
Intermediate-term S D D D S S
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?Short term rates expected to:
–Rise in the future :upward-sloping yield curve
–Fall in the future :downward-sloping yield curve –Rise then fall in the future :humped yield curve
–Remain constant in the future :flat yield curve
–Shortcomings of expectations theory:Neglects the risks inherent in investing in bonds (because forward rates are not perfect predictors of future rates).1)Interest rate risk 2)Reinvestment rate risk 东方华尔
The Shape of the Yield Curve ---?Any shapes.Pls note,liquidity premium should not be counted into
future short term rate,therefore future rate can be lower even if the current yield curve is upward sloping Yield Maturity
Liquidity preference yield curve
Pure expectation curve Liquidity premium
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The Shape of the Yield Curve---?Can explain any yield curve shape.
?Preferred habitat theory:weaker version of market segmentation,which states that higher rate at an adjacent maturity range can induce investors to purchase bonds with maturities outside their preferred range of maturities.东方华尔
◆Yield spreads:difference bw the yields of any two debts.◆Theories of the term structure
◆Different types of yield spread ◆Taxable vs.after-tax yield
◆Tax-free and taxable equivalent yields 东方华尔
学习要点56.d:定义即期利率。（Define a spot rate.）
学习要点56.e:计算和比较利差度量法。（Calculate and compare yield spread measures.）
学习要点56.f:叙述信用利差，并指出其与经济状况是否良好的内在关系。（Describe a credit spread and discuss the suggested relation between credit spreads and the well-being of the economy.）
学习要点56.g:叙述嵌入期权如何影响利差。（Describe how embedded options affect yield spreads.）学习要点56.h:解释债券的流动性和发行规模如何影响该债券其他可比债券的利差。（Explain how liquidity and issue-size of a bond affects the yield spread of a bond relative to other similar securities.）东方华尔
?A yield spread is simply the difference between the yields on
two bonds or two types of bonds
?Absolute yield spread:yield on higher yield bond-yield on lower yield bond.?Relative yield spread:higher yield/lower yield-1
?Yield ratio:higher yield/lower yield 东方华尔