I-Defining Elements-4 Flashcards
5 Features of a Bond
解释trustee
- Issuer
- Maturity
- Par Value
- Coupon Rate and Frequency
- Currency Denomination
trustee: appointed by issuer, 债券发行中介。responsibility: 确保timely payment to bondholders
代bondholders持有indenture
【features of bond】名词解释
- tenor
- plain vanilla bond
- floating rate notes (FRN)
- dual-currency bonds
- currency option bonds
- current yield
- remaining time till maturity
- conventional bond: fixed rate
- a reference rat+basis points (bps), 6月libor决定12月interest rate
- coupon payment用一种货币, principal另一种
- 允许bondholder在coupon payment & principal均可从两种货币中选一种支付
- current yield=coupon payment/current price ($60/$1020)
bond indenture: 投资者着重考察5方面
- legal identity, legal form
- source of repayment
- asset or collateral backing
- credit enhancement
- covenants
【legal identity】
解释bankruptcy remoteness
- ABS中设立的SPV
- 实质sponsor已经将资产打包出售给SPV,所有权转移
- sponsor面临破产清算时,SPV继续支付的能力不受影响
【collateral backing】解释
- secured bonds/ unsecured bonds 2
- debentures
- collateral trust bonds/
- equipment trust bonds/2
- covered bonds
- senior debt/junoir (subordinated) debt
- secured: backed by 资产抵押。unsecured: no collateral. 破产时对unsecured支付在后
- can be secured or unsecured. mostly unsecured
- 以金融资产(common shares…)作为抵押
- 以实物资产作为抵押。多出现在融资租赁
- backed by a “cover pool”。类似ABS,但资产与sponsor不剥离,要连带清算,yield 更低
- 破产时偿还优先顺序:senior-junior
【credit enhancements】
- often used in
- types of enhancements
in ABS
- Internal:
Subordination/tranching/waterfall structure确定claim的优先级别
overcollaterization,
reserve accounts (excess spread): 中介通过息差产生的收益放入reserve account以备credit risk
external:
surety bonds (insurance company),
bank guarantees,
letter of credit
cash collateral account 从银行直接把guarantee借出来投资短期货币工具,avoid third-party risk
【covenants】解释
- negative pledges
- restrictions on prior claims
- 比较affirmative/negative的cost
- 必须把我的债券列为最优先级别,不能发行更高级别
- protect unsecured bondholders: 不允许债务人将未抵押的资产进行抵押
- affirmative covenants比较好达到,cost低。negative covenants cause extra cost to issuers.
【legal and regulatory considerations】
债券分类
【legal and regulatory considerations】
- Eurobonds 发行
- Eurobonds 考虑
- bearer bonds/ registered bonds
- global bonds
- underwritten by international syndicate-group of international financial insitutions from different jurisdictions
- bypass legal and regulatory constrains, particularly in US
- bearer bonds:不登记持有者名字多为Eurobonds,。registered登记持有者,多为domestic/foreign bonds
- issued simultaneously in Eurobond market and at least one domestic bond market
【tax considerations】
3方面问题
- municipal bonds可免除州和联邦income tax
- capital gains: short-term tax rate约等于income tax rate, long-term 更低
- issued at discount: 如同财务,以每年实际利息收入(大于coupon payment)作为计税基础,如zero coupon bond, 每年仍有利息收入并纳税,maturity时不用再缴capital gain tax
【principal repayment structures】
- plain-vanilla
- amortizing/partially amortizing
- singking fund 3
- bullet payments
- partially: ballon payments
3.
- 约定每年额外赎回5%本金
- increasing amount of redeeming
- call provision公司在一定价格或利率下可以选择赎回
sinking fund arrangement:
- 优点1
- 缺点2
- reduce credit risk
2.
- reinvestment risk:利率低时被赎回了,投资人拿着现金找不到回报率更高的机会
- 有option时issuer低于市场价赎回,投资人蒙受损失
【coupon payment structures】
- floating rate - variable rate/floor, cap, collared/ reverse(inverse)
- step-up coupon+特点
- credit-linked
- payment-in-kind
- deffered coupon
- index-linked
- 一个reference 如Libor+若干basic poionts bps.
floor: float下限,cap:float上限。collared:既有上限又有下限 - coupon rate随时间逐渐上升。特点:通常投资人认issuer会提前赎回,避免更多coupon payment
- coupon rate随issuer credit rating变化而变化
- instead of pay in cash, pay additional bond
- (split coupon) 前若干年不付息,后若干年higher coupon
- 可以coupon-link也可以principal-linked
Index-linked bonds
- zero-coupon-indexed bonds
- interest-indexed bonds
- capital-indexed bonds
- 零息债券:只能本金index
- 仅coupon indexed
- 仅本金indexed,fixed coupon rate,故实际上coupon payment也变化
【embeded options】callable bonds
- protects what?
- call premium
- call protection period
- call date/first par call date
- risk to investors
- protects issuers agains decline in interest rates
- the amount paid over par
- 发行后一段时间内不允许call
- call date: first date that a bond can be called.
first par call date: first day that the bond is called at par
- reinvestment risk