I-Defining Elements-4 Flashcards

1
Q

5 Features of a Bond

解释trustee

A
  1. Issuer
  2. Maturity
  3. Par Value
  4. Coupon Rate and Frequency
  5. Currency Denomination
    trustee: appointed by issuer, 债券发行中介。responsibility: 确保timely payment to bondholders

代bondholders持有indenture

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2
Q

【features of bond】名词解释

  1. tenor
  2. plain vanilla bond
  3. floating rate notes (FRN)
  4. dual-currency bonds
  5. currency option bonds
  6. current yield
A
  1. remaining time till maturity
  2. conventional bond: fixed rate
  3. a reference rat+basis points (bps), 6月libor决定12月interest rate
  4. coupon payment用一种货币, principal另一种
  5. 允许bondholder在coupon payment & principal均可从两种货币中选一种支付
  6. current yield=coupon payment/current price ($60/$1020)
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3
Q

bond indenture: 投资者着重考察5方面

A
  1. legal identity, legal form
  2. source of repayment
  3. asset or collateral backing
  4. credit enhancement
  5. covenants
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4
Q

【legal identity】

解释bankruptcy remoteness

A
  1. ABS中设立的SPV
  2. 实质sponsor已经将资产打包出售给SPV,所有权转移
  3. sponsor面临破产清算时,SPV继续支付的能力不受影响
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5
Q

【collateral backing】解释

  1. secured bonds/ unsecured bonds 2
  2. debentures
  3. collateral trust bonds/
  4. equipment trust bonds/2
  5. covered bonds
  6. senior debt/junoir (subordinated) debt
A
  1. secured: backed by 资产抵押。unsecured: no collateral. 破产时对unsecured支付在后
  2. can be secured or unsecured. mostly unsecured
  3. 以金融资产(common shares…)作为抵押
  4. 以实物资产作为抵押。多出现在融资租赁
  5. backed by a “cover pool”。类似ABS,但资产与sponsor不剥离,要连带清算,yield 更低
  6. 破产时偿还优先顺序:senior-junior
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6
Q

【credit enhancements】

  1. often used in
  2. types of enhancements
A

in ABS

  1. 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

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7
Q

【covenants】解释

  1. negative pledges
  2. restrictions on prior claims
  3. 比较affirmative/negative的cost
A
  1. 必须把我的债券列为最优先级别,不能发行更高级别
  2. protect unsecured bondholders: 不允许债务人将未抵押的资产进行抵押
  3. affirmative covenants比较好达到,cost低。negative covenants cause extra cost to issuers.
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8
Q

【legal and regulatory considerations】

债券分类

A
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9
Q

【legal and regulatory considerations】

  1. Eurobonds 发行
  2. Eurobonds 考虑
  3. bearer bonds/ registered bonds
  4. global bonds
A
  1. underwritten by international syndicate-group of international financial insitutions from different jurisdictions
  2. bypass legal and regulatory constrains, particularly in US
  3. bearer bonds:不登记持有者名字多为Eurobonds,。registered登记持有者,多为domestic/foreign bonds
  4. issued simultaneously in Eurobond market and at least one domestic bond market
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10
Q

【tax considerations】

3方面问题

A
  1. municipal bonds可免除州和联邦income tax
  2. capital gains: short-term tax rate约等于income tax rate, long-term 更低
  3. 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
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11
Q

【principal repayment structures】

  1. plain-vanilla
  2. amortizing/partially amortizing
  3. singking fund 3
A
  1. bullet payments
  2. partially: ballon payments

3.

  1. 约定每年额外赎回5%本金
  2. increasing amount of redeeming
  3. call provision公司在一定价格或利率下可以选择赎回
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12
Q

sinking fund arrangement:

  1. 优点1
  2. 缺点2
A
  1. reduce credit risk

2.

  1. 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
  2. 有option时issuer低于市场价赎回,投资人蒙受损失
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13
Q

【coupon payment structures】

  1. floating rate - variable rate/floor, cap, collared/ reverse(inverse)
  2. step-up coupon+特点
  3. credit-linked
  4. payment-in-kind
  5. deffered coupon
  6. index-linked
A
  1. 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
  2. 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
  3. coupon rate随issuer credit rating变化而变化
  4. instead of pay in cash, pay additional bond
  5. (split coupon) 前若干年不付息,后若干年higher coupon
  6. 可以coupon-link也可以principal-linked
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14
Q

Index-linked bonds

  1. zero-coupon-indexed bonds
  2. interest-indexed bonds
  3. capital-indexed bonds
A
  1. 零息债券:只能本金index
  2. 仅coupon indexed
  3. 仅本金indexed,fixed coupon rate,故实际上coupon payment也变化
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15
Q

【embeded options】callable bonds

  1. protects what?
  2. call premium
  3. call protection period
  4. call date/first par call date
  5. risk to investors
A
  1. protects issuers agains decline in interest rates
  2. the amount paid over par
  3. 发行后一段时间内不允许call
  4. call date: first date that a bond can be called.

first par call date: first day that the bond is called at par

  1. reinvestment risk
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16
Q

【embeded options】callable bonds

  1. make-whole calls
  2. American-style call
  3. European-style call
  4. Bermuda-style call
A
  1. 按未来现金流现值(即市场价)call. 一般使用的折现率较低,redeem时对bondholder有利
  2. call a bond any time after first call date
  3. call a bond only once at call date
  4. call a bond on specified dates following the protection period
17
Q

【embeded options】putable bonds

  1. protect what?
  2. one-time put bonds
  3. multiple put bonds
  4. 价格一般偏?yield一般偏?
A
  1. protect bondholders from interest rate rise
  2. 只有一次sellback opportunity,like European style
  3. multiple opportunities to sellback
  4. 价格偏高,yield偏低
18
Q

【embeded options】convertible bonds

  1. conversion price
  2. conversion ratio
  3. conversion value
  4. parity/ above parity/ below parity
A
  1. 行权价格
  2. number of shares can be converted to. par value/conversion price
  3. current share price X conversion ratio
  4. conversion value=bond price, parity

conversion value>bond price, above parity (行权)

conversion value<bond>
</bond>

19
Q

【embeded options】convertible bonds

对发行者的好处2

A
  1. reduced interest expense (因为yield较低)
  2. 如果行权,则发行人债务减少

1.

20
Q

【embeded options】

  1. warrant
  2. contingenct convertible bonds
A
  1. not “embeded”, but “attached” 可转债中的期权不可剥离,warrant可以独立行使,行权后bond仍在
  2. 有关银行cor tier 1 capital ratio,低过一定限度后自动convert, 债券转股权。