金融市場學Ch4-債券市場

1、2022-3-62022-3-6Bond Market1 1Bond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond M

2、arketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond Mark

3、etBond MarketBond MarketBond MarketBond MarketBond MarketBond Market同方向同方向反方向反方向反方向反方向Bond Market債券期限越長，投債券期限越長，投資者承擔的信用風資者承擔的信用風險、利率風險、通險、利率風險、通貨膨脹風險等越大。貨膨脹風險等越大。抵押或擔保是對債券還本抵押或擔保是對債券還本付息的一種保障，是對債付息的一種保障，是對債券投資風險的一種防范，券投資風險的一種防范，是對投資者信心的一種保是對投資者信心的一種保護護Bond MarketBond MarketBond MarketBond MarketBon

4、d MarketBond MarketBond Market設(shè)債券的售價為設(shè)債券的售價為P P，P1=PP1=P（1+10%1+10%）=10600=10600P=9636.36P=9636.36元元Bond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond Market招標式招標式價格招標價格招標收益率招標收益率招標招標式招標式荷蘭式荷蘭式美國式美國式混合式混合式Bond MarketBond MarketBond MarketBond Mark

5、etBond MarketBond MarketBond MarketBond MarketBond MarketBond Market現(xiàn)券交易現(xiàn)券交易期貨交易期貨交易回購交易回購交易信用交易信用交易Bond Market即時交割即時交割次日交割次日交割擇日交割：成交后若干天交割擇日交割：成交后若干天交割Bond MarketBond Market回避風險回避風險轉(zhuǎn)嫁風險轉(zhuǎn)嫁風險套期保值套期保值投機交易投機交易Bond MarketBond MarketBond MarketBond MarketBond Marketn凈價凈價= =全價全價- -應計利息應計利息Bond MarketBond

6、 MarketBond Market中 央 國 債 公 司C E N T R A L B O N D C O M 。同 業(yè) 中 心In ter-b an k trad in g cen ter協(xié) 議 市 場O u t o f IT C銀銀 行行 間間 市市 場場I In nt te er r- -b ba an nk k m ma ar rk ke et t中 國 結(jié) 算 公 司C H IN A S E T T L E C O M 。上 證 所S S E深 交 所S Z E交 易 所 市 場S St to oc ck k E Ex xc ch ha an ng ge e m ma ar rk

7、ke et t中 國 債 券 市 場B Bo on nd d m ma ar rk ke et t o of f c ch hi in na aBond MarketBond MarketBond MarketBond Market交易所債券市場交易所債券市場國債企業(yè)債券可轉(zhuǎn)換債券公司債券柜臺債券市場柜臺債券市場儲蓄國債記賬式國債Bond Market交易所債券市場交易所債券市場現(xiàn)券買賣標準券回購買斷式回購柜臺債券市場柜臺債券市場現(xiàn)券買賣Bond Market資金清算投資人投資人人民銀行支付系統(tǒng)各商業(yè)銀行清算系統(tǒng)中央結(jié)算公司 詢價 談判 達成 交易債券交割Bond MarketBond Mar

8、ketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond Market%100-發(fā)行價格償還期限發(fā)行價格）（面額年票面利息認購者收益率Bond Market%100-購買價格持有期限購買價格）（出售價格年票面利息持有期收益率Bond Market%100-購買價格殘存期限購買價格）（面額年票面利息最終收益率Bond Market%100-發(fā)行價格償還期限發(fā)行價格）（到期本息和認購者收益率償還期限）票面利率（本金到期本息和1Bond Mark

9、et%100-購買價持有期限購買價）（賣出價持有期收益率Bond MarketBond Market%100-購買價殘存期限購買價）（到期本息和最終收益率Bond MarketBond Market%100-發(fā)行價格償還期限發(fā)行價格）（面額認購者收益率Bond Market%100-購買價持有期限購買價）（賣出價持有期收益率Bond MarketBond MarketBond MarketnnttkMkCP)1()1(1Bond Market2211)1()1(SMCSCPBond Market221)1(100050%)71(5093.946SBond Market)1()1/(1)1(112,122SfSBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond MarketBond Market注：債券每半年付息一次，息票為注：債券每半年付息一次，息票為10%10%Bon