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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
