资本市场债券市场ppt课件.ppt
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1、Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,资本市场,债券市场 股票市场,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,货币市场和资本市场的区别,货币市场侧重于其“货币性”,该金融工具或金融合同“能够迅速低成本地转换成狭义货币(M0或M1)”。 期限在一年之内的融资活动,通常只能形成企业的流动资金,被用于维持现有生产能力;它们对资本形成贡献很小。 货币市场工具:政府短期债券、中央银行短期债券、商
2、业票据、银行同业拆借、债券回购、货币市场共同基金等。,资本市场,侧重于其“资本性”,该金融工具或金融合同“能够形成经济单位的资本”。 期限在一年以上,筹资者方能运用所筹资金进行诸如建造厂房、购置机器设备、更新技术等形成固定资产、扩大生产能力、提高经济效率的活动。 资本市场工具:中长期债券、股票、投资基金等。,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,债券市场,债券的概念 债券的种类 债券的收益率 债券的一级市场 债券的二级市场 特殊类型的债券,Copyright 2009 by Lao Pi
3、ng, From Lingnan College, Sun Yat-sen University,债券的概念,是一种由债务人向债权人出具的在约定时间承担还本付息义务的书面凭证。 基本要素 票面价值:币种、面值 偿还期限:短期、中期、长期 票面利率,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,债券的种类,按发行主体不同,可分为政府债券、公司债券、金融债券。 按发行方式不同,可分为公募和私募。 按债券存在形态的不同,可分为实物券、凭证式和记帐式。 按偿还期限的不同,可分为短期、中期和长期。 按利率
4、计算方式的不同,可分为附息债券(固定利率、浮动利率)和零息债券。 按是否跨越国界,可分为国内债券和国际债券。 按币种的不同,可分为本币和外币债券。 国际债券又可分为外国债券和欧洲债券。,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,债券的种类(按发行者区分),政府证券(Treasury Securities-Notes & bonds) 市政证券(Municipal Securities-Notes & bonds) 政府机构债券(Government Agency bonds) 公司债券(Co
5、rporate bonds) 金融债券(Financial bonds),Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,公募和私募,所谓“公募”即向公众募集资金;“私募”即向特定对象募集资金。采用私募方式,交易双方的权利与义务通常以所签合同作为法律依据;但公募面向社会公众公开募集,而且通常募集金额巨大,国家为了保护投资者的利益,要对实施公募资金的机构进行严格的管理与监控除了实行资格管理,还有更严格的强制性信息披露制度。,Copyright 2009 by Lao Ping, From Lingn
6、an College, Sun Yat-sen University,附息债券、贴现债券和零息债券,附息债券指债券券面上附有息票,定期(一年或半年)按息票利率支付利息。无记名式附息国债附有息票,凭剪息票每年(半年或季)领息;记账式无纸化附息国债无息票,可凭证券账户在分期付息的付息日期内领取利息。 贴现还本的零息债券又称贴息发行债券,是指券面上不含利息或不附有息票、以贴现方式发行的国债。贴现国债发行价格与票面金额的差额即为所得利息。从利息支付方式来看,贴现国债以低于面额的价格发行,可以看作是利息预付。因而又可称为利息预付债券。一年及以上和第三类又被归为零息债券,一年以下则称贴现债券。 一次还本付
7、息的零息债券又称利随本清债券,指只有在到期日才能领取本金和利息的债券,也可称为到期付息债券。付息特点其一是利息一次性支付,其二是在到期时支付。,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,02国债 010213,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,01中移动 120101,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat
8、-sen University,97国债 009703,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,到期本息和为100+9.18*3,即100*(1+9.18%*3)。,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,97国债 009701,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,到期本息和为
9、100。82.39*(1+10.687%*2)=100,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,债券的收益率,现行收益率(Current yield) For bonds or notes, the coupon rate divided by the market price of the bond. 持有期收益率(Holding-Period Yield )(HPY) The annual rate of return actually realized on an investmen
10、t in a bond. 到期收益率(Yield to maturity) The percentage rate of return paid on a bond, note, or other fixed income security if the investor buys and holds it to its maturity date. The calculation for YTM is based on the coupon rate, length of time to maturity, and market price. It assumes that coupon i
11、nterest paid over the life of the bond will be reinvested at the same rate.,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,思考,收益率的比较,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen Univer
12、sity,如何解读?,Treasury Bonds and Notes Lets look first at Treasury bonds and notes. Below is a typical newspaper table published April 13, 2000. The calculations are based on a purchase of $1,000 face amount. BID AND ASKED These are quotes as a percentage of the notes face value as of mid-afternoon on
13、the previous trading day. Colons in bid-and-asked quotes represent 32nds. The bid is the highest price being offered by buyers. In this example, a bid of 99:19 equals 99 and 19/32, or $995.94. The ask is the lowest price sellers will accept. In this example, an ask of 99:21 equals 99 and 21/32, or $
14、996.56. CHANGE This refers to the change in the bid price from the previous day. In this example, the bid price has risen 1/32 of a point, or 31 cents per $1,000 face amount. ASK YIELD This refers to the yield, or rate of return, that an investor would receive if he or she bought the note at the ask
15、ed price. RATE The note carries an original interest rate of 5J, or 5.125, percent. It pays interest of $25.62 semi-annually. MATURITY The note matures in August 2000. (The small “n“ signifies that the security is a note.),Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,YTM=
16、6.00% (4月12日的行情,8月31日到期),Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,什么是净价交易?,净价交易是指以不含有自然增长应计利息的价格进行报价并成交的交易方式。即,将债券价格与应计利息分解,价格只反映本金市值的变化,交易成功进行资金清算时,以债券净价加应计利息(全价)进行结算。,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,在净价交易制度下,如何计算应计利息和结算价(全价)?
17、,应计利息是指以债券票面利率计算的应计利息金额;结算价是指债券买卖时的资金结算额。应计利息额票面金额票面利率365天已计息天数。结算价(全价)净价交易价格应计利息额。上述公式各要素具有以下含义:附息国债应计利息额是指本付息期起息日至交易日当日所含利息金额;已计息天数是指起息日至交易当日的日历天数(1年按365天计算,闰年2月29日不计算利息)。,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,96国债 000696 (上海证券交易所),挂牌代码000696 挂牌名称96国债 国债全称九六年记帐式(
18、五期)国债 实际发行量255.3 发行价格100 发行方式记帐式,期限10 到期日2006-06-14 票面利率11.83 国债付息方式按年付息 计息日期1996-06-14 上市日期1996-07-12,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,96国债 2005-9-13 14:59:58 (上海证券交易所),开盘价108.140 最高价108.160 最低价108.060 当前价:108.130 前日收盘价:108.150 涨跌幅:-0.02 成交量:227630 成交金额(元)246
19、15003.000* 所有数据延迟15分钟,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,D=274 FV=111.83 PV=108.13+100*11.83%*91/365,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,对处于最后付息周期的固定利率债券、待偿期在一年及以内的到期一次还本付息债券和零息债券,到期收益率按单利计算。计算公式为:,Copyright 2009 by Lao Ping,
20、 From Lingnan College, Sun Yat-sen University,05国债 010502 (上海证券交易所),挂牌代码010502 挂牌名称05国债 国债全称2005年记帐式(二期) 国债实际发行量300 发行价格97.93 发行方式记帐式,期限1 到期日2006-03-15 票面利率 国债付息方式其他 计息日期2005-03-15 上市日期2005-03-21,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,05国债 2005-9-23 14:51:51 (上海证券交易
21、所),开盘价99.450 最高价99.450 最低价99.400 当前价:99.400 前日收盘价:99.400 涨跌幅:0.00 成交量:14020 成交金额(元)1393642.000* 所有数据延迟15分钟,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,01中移动 120101 (上海证券交易所),债券名称 01中移动 期限 10年 当前年限 年 面值 100元 发行量 50亿 利率 3.73% 发债种类 发债主体 广东移动通信有限责任公司,主承销商中国国际金融有限公司 信用评级:AAA
22、付息方式按年付息 上市日2001-10-23 开始发行日2001-06-18 发行截至日 摘牌日 到期日 2011-06-17 到期本息和,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,01中移动 2005-9-23 14:43:36 (上海证券交易所),开盘价102.110 最高价102.870 最低价101.650 当前价:102.400 前日收盘价:102.090 涨跌幅:0.30 成交量:3160 成交金额(元)322741.000* 所有数据延迟15分钟,Copyright 2009
23、by Lao Ping, From Lingnan College, Sun Yat-sen University,W=267/365 PV=102.4+100*3.73%*98/365 n=6,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,01中移动 2006-10-13 15:0:0,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,PV=102.64+100*3.73%*118/365 持有天数
24、:267+118=385,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,持有期收益率为?,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,对不处于最后付息周期的固定利率债券,到期收益率按复利计算。计算公式为:,Copyright 2009 by Lao Ping, From Lingnan College, Sun Yat-sen University,零息债券,国家开发银行2002年第十六期3年期
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