金融市場學(xué)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(dān)的信用風(fēng)資者承擔(dān)的信用風(fēng)險、利率風(fēng)險、通險、利率風(fēng)險、通貨膨脹風(fēng)險等越大。貨膨脹風(fēng)險等越大。抵押或擔(dān)保是對債券還本抵押或擔(dān)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(fēng)險的一種防范，券投資風(fēng)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(hù)護(hù)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(biāo)式招標(biāo)式價格招標(biāo)價格招標(biāo)收益率招標(biāo)收益率招標(biāo)招標(biāo)式招標(biāo)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(fēng)險回避風(fēng)險轉(zhuǎn)嫁風(fēng)險轉(zhuǎn)嫁風(fēng)險套期保值套期保值投機(jī)交易投機(jī)交易Bond MarketBond MarketBond MarketBond MarketBond Marketn凈價凈價= =全價全價- -應(yīng)計利息應(yīng)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(biāo)準(zhǔn)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(dá)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(rèn)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(rèn)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(rèn)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