floating-rate securities

floating-rate securities

ID:7288738

大小:162.55 KB

页数:12页

时间:2018-02-10

floating-rate securities_第1页
floating-rate securities_第2页
floating-rate securities_第3页
floating-rate securities_第4页
floating-rate securities_第5页
资源描述:

《floating-rate securities》由会员上传分享,免费在线阅读,更多相关内容在工程资料-天天文库

1、CHAPTERSIXTEENFLOATING-RATESECURITIESFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversitySTEVENV.MANN,PH.D.ProfessorofFinanceMooreSchoolofBusinessUniversityofSouthCarolinaUndertherubricoffloating-ratesecuritiesorsimplyfloaters,thereareseveraldiffere

2、nttypesofsecuritieswithanessentialfeatureincommon:couponinter-estwillvaryovertheinstrument’slife.Floaters,whichwerefirstintroducedintotheEuropeandebtmarketandissuedintheUnitedStatesintheearly1970s,arenowissuedineverysectorofthebondmarket—government,agency,corporate,municipal,mortgage,andasset-b

3、acked—intheUnitedStatesandinmarketsthroughouttheworld.Althoughafloater’scouponformulamaydependonawidevarietyofeconomicvariables(e.g.,foreignexchangeratesorcommodityprices),afloater’scouponpaymentsusuallydependonthelevelofamoneymarketinterestrate(e.g.,theLondonInterbankOfferRate,orLIBOR,Treasuryb

4、ills).Afloater’scouponratecanberesetsemiannually,quarterly,monthly,orweekly.Thetermadjustablerateorvariableratetypi-callyreferstosecuritieswithcouponratesresetnotmorethanannuallyorbasedonalonger-terminterestrate.However,thisisadistinctionwithoutadifference,andwewillrefertobothfloating-ratesecuri

5、tiesandadjustable-ratesecuritiesas“floaters.”Inthischapterwewilldiscussthegeneralfeaturesoffloatersandpresentsomeillustrationsofthemajorproducttypes.Mostmarketparticipantsuse“spread”ormarginmeasures(e.g.,adjustedsimplemarginordiscountmargin)toassesstherelativevalueofafloater.Wewillbrieflydescribet

6、hesemeasuresandnotetheirlimitations.Finally,wediscussseveralpopularportfoliostrategiesthatemployfloaters.PartsofthischapterareadaptedfromFrankJ.FabozziandStevenV.Mann,Floating-RateSecurities(NewHope,PA:FrankJ.FabozziAssociates,2000).373Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-Hil

7、lCompanies,Inc.Clickherefortermsofuse.374PART3SecuritiesGENERALFEATURESOFFLOATERSANDMAJORPRODUCTTYPESAfloaterisadebtsecuritywhosecouponrateisresetatdesignateddatesbasedonthevalueofsomedesignatedreferencerate.Thecouponformulaforapurefloate

当前文档最多预览五页,下载文档查看全文

此文档下载收益归作者所有

当前文档最多预览五页,下载文档查看全文
温馨提示:
1. 部分包含数学公式或PPT动画的文件,查看预览时可能会显示错乱或异常,文件下载后无此问题,请放心下载。
2. 本文档由用户上传,版权归属用户,天天文库负责整理代发布。如果您对本文档版权有争议请及时联系客服。
3. 下载前请仔细阅读文档内容,确认文档内容符合您的需求后进行下载,若出现内容与标题不符可向本站投诉处理。
4. 下载文档时可能由于网络波动等原因无法下载或下载错误,付费完成后未能成功下载的用户请联系客服处理。