mr - obveznice kao berzanska roba

8/13/2019 MR - Obveznice Kao Berzanska Roba

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400394/2009

, 2010.


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:

1. .......................................................................................................................

2. ..................

2.1. ........................................................................................

2.2. .......................................................

2.2.1. .......................................................

2.2.2. .................................................

2.2.3. ..............................................................

2.2.4. () ..............................................................

2.2.5.

-..................................................

3. ......................................

3.1. ............................................................................

3.2. .......................................................................

3.3. ................................................................................

3.4. ...............................................................................

3.5. ................................................................3.6. ..............................................................

4. .............................................................

4.1. ...................................................................

4.1.1. ..................................................................

4.1.2. .....................................................................................

4.2. ....................................................................

4.3. ....................................................................

4.4. ...........................................4.5. .............................................................................................................

4.5.1. .............................................................................

4.5.2. .......................................................................4.5.3. ...............................................................................

4.5.4. .............................................................................4.6. ....................................................................................................

4.6.1. ...................................................

4

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5. .............

5.1. .....................................................................................

5.2. ................................................................

5.3. ..............................................................................................

5.4. ...................................................

5.5. .................................................................

5.6. ................................................................................

6. ..................................................................................................................

6.1. .............................................6.2. n-..............................................

7. ............................................................................................................

8. ........................................................................................................

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() . 30 60 .

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101.000 $11Hickman, ., Corporate Bond Quality and Investor Experience, Princeton University Press, 1958.

(http://www.nber.org/books/hick58-1 , 2010. .)


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1. 2009. ()14

12eng. Yankee bond -

. 1933. ,

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eng. Eurobond - .14

:Asset Allocation Advisor, www.aametrics.com , 2010.


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15: http://www.thecityuk.com/media/156879/bond%20markets%202010.pdf, 2010.


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1. 17

16: Size and Structure of the World Bond Market: 2001, Merrill Lynch International Fixed Income

Research, April 2001.17

BIS Quarterly Review, September 2010.


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, , , BBB (Baa) . .

18Cantor, R., Packer, F., The Credit Rating Industry, Journal of Fixed Income 5, .3, 1995., 10-34.19Ahmed Belkaoui, Industrial Bond Ratings: A New Look, Financial Management 9, br.3(1980.) 44-52 .


23/104

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BB- B- . C . C- ,.

Fitch Moody's Standard&Poor's

AAA Aaa AAA , ,. . (en. giltedge securities).

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BB Ba BB .

B B B .

.

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. 220Moodys'

20Miratsky, R., MIS,Moodys- ,, 5, , 2008..


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24Miratsky, R., MIS,Moodys- ,,

6, , 2008..


31/104

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3.1.

2, , . , ,Treasory bills (T-bills), : , Treasory . Treasory 1.000 10.000 .

, . , .

T-bills . . , .

. , . . 1989. , .(IPS) 1997. . . , " " (CPI-U) 25. , - . 30. 2003. CPI 30. 2003. . IPS , .

. 4 . , 3,5%.

25US Bureau of Labor Statistics


32/104

32

- 1.000$: 15. 2003.: 15. 2008.3,5%CPI 185,00----------------------------------------------------------------------------------------------------------------

. 15.07.03. 185,00 - 1.000,00 -15.01.04. 187,78 0,015 1.015,00 17,7615.07.04. 190,59 0,015 1.030,00 18,0315.01.05. 193,83 0,017 1.047,74 18,3415.07.05. 197,51 0,019 1.067,65 18,6815.01.06. 201,46 0,020 1.089,00 19,0615.07.06. 205,49 0,020 1.110,78 19,4415.01.07. 209,19 0,018 1.130,77 19,7915.07.07. 212,96 0,018 1.151,13 20,1415.01.08. 217,22 0,020 1.174,15 20,5515.07.08. 222,65 0,025 1.203,50 21,06

----------------------------------------------------------------------------------------------------------------

5.(IPS)

. . (JGBs) , ( ) . : (2, 3, 4 ), (10 ) ( 15 20 )., .

, .

, . .50% 80% .

50% . () . . , , . 30 , . .

, . 2 40% , 36% .

, , 4 100. 10 12 ,


33/104

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34/104

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3.2.

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27. Government National Mortgage Association


35/104

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,., 2002. ,

28 30% ., , ( ).


36/104

36

, , . . , ,

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2002. 40% . . : The Municipal Bond Investors Assurance (MBIA),

American Municipal Bond Assurance Corporation (AMBAC), the Financial SecurityAssurance (FSA),the Financial Guaranty Insurance Company (FGIC), Capital GuarantyInsurance Company (CGIC), and Connie Lee Insurance Company. . , BBB., ,

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37/104

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38/104

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.

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39/104

39

(blanket/general mortgage bonds). . . :

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40/104

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44/104

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45/104

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5.32. 33 , . , "n" . "" .

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2020. 2015. (), 2020. . . . , .

32. .72433- over the counter - , , , .


46/104

46

1 2002. (. ). 101:23. 30 . , 101,6875% .

, 1 2 30 , . .

"". , . "" , . 2005. . (3,74) . "ci" ( ), 2005. "np" (, ).

, . , , 34.

(TIPS)35. . 1997. , 1,116 .

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115.000$ 9% . M/S/F ( ) 2011. , 2015. .

ETM . 6,30% .

34Bruce D. Fielitz, "Calculating the Bond Equivalent Yield forT-Bills", Journal of Portfolio Management 9, no.3 (1983.), . 58-60.35TIPS - Treasory Inflation Protection Securities36Frank K. Reilly, Keith C. Brown, Investment Analysis and Portfolio Management, South-Western Pub, 2002.,.72637BIA - Municipal Bond Insurance Association


47/104

47

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48/104


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54/104

54

, . ,. , . , .

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P , $

,

, 40$ 6

40 5%, 1000$ 405%. :

40$ * 17,1591 = 686,36$

1.000$ * 0,1420 = 142,00$

10% = 828,36$

, 10% , 828,36$ 86,836% . 6%, 3% 40 :

40$ * 23,1148 = 924,59$

1.000$ * 0,3066 = 306,60$

6% = 1.231,19$

, , 1231,19$ 123,119% .

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55/104


56/104

56

4.1.2.

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45

, ., .

(IRR)46

. . , IRR (), , IRR . , . ("")

45NVP - eng. Net Present Value46IRR - eng. Internal rate of return


57/104

57

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CY - Ci - iPm-

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58/104

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, . . , . . 1, , i (Pm) .

(IRR) . , . ( ) . :

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. 8% ,

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(. ) , . / . , .

2 -- 8%, 25- 8%. 1000$ 8% 25 8%, 7100$ 25 . . , 8% 25 (6,8493) 4% 50 ( 7,1073). , .

7Homer, S., Leibowitz, M., Inside the Yield Book, Englewood Cliffs, N.J. , Prentice-Hall,1972. , 1.


59/104

59

: 8%25 (): 4,5%25 (): 8%.

2 7.100$ 1.000$ , 2.000$25 (80$ 25 ) 4100$4%. , 3.000$. 3.000$ 1.000$

() 4,5%. , 3.000$ 1.000$ 25 4,5%. 0 8% 3.000$ 7.100$. , 4,5 8%. 8% 7.100$, 8%.

, , "" . . , 20

15%, 15% 15% 20 .


60/104

60

. , .

(1).

P

. . , (IRR) i, (Pm). 8%, 20 , 900$,

4,545% , 9,09%.

900 40 , 1000 ,

= 40(18,2574) + 1000(0,1702)= 900

1/(1+i) , .

, , , . , . 1.000$ 311,80$. , . , 1.000$ 311,80$ 20 (10 ). :

311,80 = 1.000$ / (1 +i=6%, 12%. , .


61/104

61

, .

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48YTC - eng. yield to call49Homer S., Leibowitz, M., Inside the Yield Book, EnglewoodCliffs, N.J. , Prentice-Hall, 1972. , 4.


62/104

62

. , . . . , .

.

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P

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, .


63/104


64/104

64

. ,, , .

, (Ci) (Pp) . , , (n - hp).

(i). . () Pf hp i.

, 842$ 12%. , 8% 5 . , (Pf ) , ., , 20 , 8%. (4) :

P 50 11,04 1.000 11,04

= 50 (19,7928) + 1.000(0,2083)= 989,64 + 208,30= 1.197,94 $

, .

(4) . , i. , . (. 20 , 14% ) 14 10% . (1.330,95$) , :

Pm = 1.000$hp= 2

P , 1.000 ,

= 1.158,30 + 172,65= 1.330,95$


65/104

65

1.000 50 701i/2 1.330,951i/2

= 27,5% ,

(27,5%). ,

, 14 10%, 27,5%. (ending-wealth position). , .

:1. ,

, .2. ,

.3.

.4. (

). .

15. ,

.

, .

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50.

504. Fabrozzi, F., The Handbook of Fixed-IncomeSecurities, 6th Edition, McGraw-Hill, New York, 2001.


66/104


67/104

67

4.4. "SPOT RATES"51

. , , ,

, . : . , . , , . . , (), , .

, (spot rates). , , , 2002. 1.2,91% , 4,28% 4,85% . . (2,14%) (5,40%) 326 2002. , .

1. 52

(.)

1 2.142 2.913 3.534 4.015 4.286 4.487 4.658 4.829 4.8810 4.8512 5.2514 5.3916 5.4718 5.5420 5.5825 5.6030 5.40

51eng. spot rate - ()52: Wall Street Journal, 6. , 2002.


68/104

68

, , . , ,

(. " 70"). 5,58%, 6,28% . , (. ). :

P

(5)

:Pm- Ct - tn- it- t

, . , nn.

, 5 ( 2) , .

2:,

A B C

(.) $ PV $ PV $ PV

0.5 5.00 0.9756 60 $ 58.536 30 $ 29.268 1.0 5.20 0.9499 60 56.994 30 28.497 1.5 5.50 0.9218 60 55.308 30 27.654 2.0 5.70 0.8937 60 53.622 30 26.811 2.5 5.80 0.8668 60 52.008 30 26.004 3.0 5.90 0.8399 60 50.394 30 25.197 3.5 6.10 0.8103 60 48.618 30 24.309 4.0 6.30 0.7803 60 46.818 30 23.409 4.5 6.40 0.7532 60 45.192 30 22.596 5.0 6.50 0.7270 1,060 770.620 1,030 748.810 1,000 727.00 $1,238.110 $982.555 $727.00


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69

, . 6 6,5% ,:

6% 6.5%A $ 60 8.5302 = $ 511.81 $ 60 8.4254 = $ 505.52

$1,000 0.7441 = 744.10 $1,000 0.7270 = 727.00= $1,255.91 = $1,232.52

$ 30 8.5302 = $ 255.90 $ 30 8.4254 = $ 252.76$1,000 0.7441 = 744.10 $1,000 0.7270 = 727.00

= $1,000.00 = $ 979.76

$1,000 0.7441 = $ 744.10 $1,000 0.7270 = $ 727.00= $ 744.10 = $ 727.00

, . , , . , .


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70

4.5.

, , . 1938. 53,

. , , 1970-, , , .

, , . , , , .

, :

1. ,

2. ,3. 4. .

4.5.1.

, , . , D :

/1 /1 (6)

:t -

Ct- ti-

, . ., ,

. :

1.000$ 1.000$ 10 10 4% 8%

53Macaulay, F., Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields, and Stock Pricesin the United States since 1856 , National Bureau of Economic Research, New York, 1938.


71/104

71

8% , 3

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54.


72/104

72

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4. - . , . , , ( ) , , , ,.

4:

, , . . 3.12% 8%,

8,12 7,75%, 7,25 6,80%

55

. 15% 6. .

, . , . ,

55Reilly, F., Sidhu, R., The Many Uses of Bond Duration, FinansialAnalysis 36, no.4, July-August 1980., 58-72 .


73/104

73

(call) . , .:

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- , . - . , (20 ).

- .-

.

4.5.2.

, , . (3) , . , 10 , (i) 8%, :

10/ 1 . = 10/(1,04) = 9,62

, ,

56.

6, .

100 (7)

- - - - 100. . 8 8,5%, =50/100=0,50.

56Hopewell, ., Kaufman, G., Bond Price Volatility and Term to Maturity: A Generalized Respecification, AmericanEconomic Review 63, no.4, September 1973.,749-753 .


74/104


75/104

75

6%, , 10%. . , ( ) , . ,

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, . , , .

4.5.3.

, . , , - . , :

1. ,2. ,3. , .

.

, . , ., (. ). , .

, . :

(Deff) = (8)

E (C (9)


76/104


77/104

77

, 106 3. -- 574%, :

0,0390 (P) = 108,556260940,0410 (

P) = 107,92318176

0,04 () = 108,24082177

D ,,,, 2,92 ,

, (2,92) . , , .4% :

C

=

,,,,,

= -20,33

, ., , 4% 23,76 , , 21,77 6% . .

58, :

= +

, , , , . , , , , .

3 4.59 . .

3.

57 Black, F., Derman, B., E. and Wo Toy, A one-Factor Model of Interest Rates and Its Application to Treasury BondOptions", Financial Analysts Journal 46, no.1 (- 1990. ), 33-39 .58 eng. putable bonds - , , ( ) .59Reilly, F., Brown, ., Investment Analysis and Portfolio Management, South-Western Pub, 2002., 786-787..


78/104


79/104

79


80/104

80

4.5.4.

, ,

. . , , . (.) . , , .

:

%Price = - Dmodx(i) (10)

:Dmod- i -

, . :

- Dmod= %Price / i (11)

Dmod, Dmp . , (i) , .200 10%.

Dmp= - 10/ (-200/100)

5. . 100 .

, :

= + D** Y + u (12)


81/104

81

:

-

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D** - DmpY -

u -

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4.6.

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y -

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,

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82/104

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, , .

3. . , .

4. . ,

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83/104

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80-, 1990.

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84/104

84

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5% .

.

19. 2002.

4,2 ,

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37,2% ,

.

62


85/104


86/104

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4.176 . 100

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87/104

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() .

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2003. , .

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2000. ( 1. 2.64

). ,

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63,

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2.000.64 , : ,

2005., .10


88/104

88

, 7, 14, 30 60 ,

:

7 - 15.9%

14 - 17.5%

30 - 18.3%

60 - 18.9%

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2003. .

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89/104

89

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91

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92/104

92

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100% ,

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10.000 50.000 .

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65 . 128/2003, 14/2004, 26/2004, 104/2004, 126/2004


93/104

93

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95

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96/104

96

6.

:

6.1.


97/104

97

, . .:

Pm = 1.000$i - 70$ 6, 12, 18 24

Pf =1330,95$ ()

. ( , ).

i113% 18 = 70$ * (1+0,065) = 84,55$i212% 12 = 70$ * (1+0,06)

2= 78,65$

i311% 6 = 70$ * (1+0,055) = 73,85$i3 = 70$ * (1,0) = 70,00$ = 307,05$

:

1.330,95 + 307, 05 = 1.638,00$

(1.638$) (1.000$) ., .(). 6.1 12% (1,5745) 14%(1,6890). 13,6% 26,32%. , (1,6890)1/4- 1. 27,5% 27,5%.

.


98/104

98

6.2. n-


99/104

99

. 10.000$ 8% 6.3, . .

6.3.

(FV) FV

FV = PV x (1.00 + i)n FV = PV x [FV factor]

FV = $10,000 x (1.00 + 0.02)8 FV = $10,000 x [FV factor for n=8, i=2%]

FV = $10,000 x (1.02)8

FV = $10,000 x 1.172 FV = $10,000 x 1.172

FV = $11,720 FV = $11,720

n- i-

1,172 3.2, n = 8 i = 2%.

, , i = 10%.

1,000 1,000 0 . 10% , , (n = 1) 10% . 1,100. ,(n = 2) 1.210, 10% 0,110 (1,100 x 10%).1.331, 0,121 (1,331 1,210; and 1,210 x 10%).

, . .

, . 10% . 3,138$ 12. .

, . , 1.000$


100/104

100

10% , 12 3.138$.:

, 8 , 3. : , , .

. (Internal Rate of Return - IRR) 15%. : 45$,30$, 35$, 110$ , .

, :

Vn = Vo (1 + i)n:

Vn - ,Vo - ,i - ,

n - .

, i 15%, n . 8 . , , , . 110$15%:

110$ * 3,05402 = 335,94$

8

335.94$ * 3 ha = 1.007,83$

.

, . . (, , )

, 66.

66(. hedging business) . , . , . , , ,, , .


101/104

7.

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.

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20 ) , .

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.


102/104

.

.

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,

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(. Savings and Loan Associations) ,

1980. . ,

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(. bullet)

.

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1980. ,

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103/104

8. :

1. Barnhill, T., Maxwell, W., Shenkman, M., High Yield Bonds, McGraw-Hill, New York

1999.

2. , ., - , , 2007.

3. , ., , , 2. , 2003.

4. , ., , ,

, 2007. .

5. , ., , , 2008.

6. , ., , ., , , , 2006.

7. Macaulay, F., Some Theoretical Problems Suggested by the Movements of Interest Rates,

Bond Yields, and Stock Prices in the United States since 1856. , National Bureau of

Economic Research, New York, 1938.

8. , ., , 21., 2003.

9. McTravish, R., Maintlang, A., Industrial Marketing, Macmillan, , 1980.

10. Reilly, F., Brown, K., Investment Analysis and Portfolio Management, South-Western

Pub, 2002.11. : ,

, 2005.

12. , ., , , 2004 .

13. Fabrozzi, F., The Handbook of Fixed-Income Securities, 6th Edition, McGraw-Hill, New

York, 2001.

14. ,., , , 2007.

15. :

, 2007.

16. Homer, S., Leibowitz, M., "Inside the Yield Book", Englewood Cliffs, N.J. , Prentice-

Hall, 1972.

17. Hickman, B., Corporate Bond Quality and Investor Experience, Princeton University

Press, 1958.

18. , ., , ., , Clio, 2006.

19. , ., -

, ,

2007.

20. , ., , ., ,

, 2007.

21. Yago, Glenn, Junk Bonds, Oxford University Press, 1999.

:

1. 2.

, , . 59/98, 44/99 53/01).

3.

, , . 36/2002.

4. , .

128/2003, 14/2004, 26/2004, 104/2004, 126/2004.

5. , , .

32/93, 61/95, 44/99, 36/2002 37/2002


104/104

:

1. Belkaoui, ., Industrial Bond Ratings: A New Look, Financial Management 9, N.3,

Spring 1980.

2. Black, F., Derman, E., and Wo Toy: "A one-Factor Model of Interest Rates and ItsApplication to Treasury Bond Options", Financial Analysts Journal 46, no.1 ( -

1990.)

3. Reilly F., Sidhu, R., The Many Uses of Bond Duration, Finansial Analysis 36, no.4, July-

August 1980.

4. Fielitz, ., "Calculating the Bond Equivalent Yield for T-Bills", Journal of Portfolio

Management 9, no.3, Spring 1983.

5. Hopewell, M., Kaufman, G., Bond Price Volatility and Term to Maturity: A Generalized

Respecification, American Economic Review 63, no.4, September 1973.

6. Cantor, R., Packer, F., The Credit Rating Industry, Journal of Fixed Income 5, No.3,

December 1995.

:

1. www.aametrics.com - Asset Allocation Advisor

2. www.belex.rs -

3. www.bis.org - Bank for International Settlements

4. www.bls.gov - US Bureau of Labor Statistics

5. www.bradynet.com

6. www. bonds-online.com

7. www.bondscalc.com

8. www.bondmarkets.com

9. www.thecityuk.com

10. www.kalotay.com

11. www.moodys.com

12. www.nbs.rs -

13. www.salomonsmithbarney.com

mr - obveznice kao berzanska roba

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