Chapter 06

Interest rates and

bond valuation
授課老師：陳瓊蓉老師
 ⽜⼑⼩試:溫故
vYou retire at 55 years old and expect to receive
$30,000 a month for 25 years. If you will receive
your first payment at the end of month and if you
can earn 3 percent (APR) on your money, how
much money do you must have in your retirement
account today?
v A) $4,225,008.90
v B) $5,124,545.45
v C) $6,326,293.60
v D) $7,509,195.15
 Key Concepts and Skills
vKnow the important bond features and
bond types
vUnderstand:
§ Bond values and why they fluctuate
§ Bond ratings and what they mean
§ The impact of inflation on interest rates
§ The term structure of interest rates and the
determinants of bond yields

6-3
 Chapter Outline
6.1 Bonds and Bond Valuation (債券與債券評價)

6.2 More on Bond Features (債券特性)

6.3 Bond Ratings (債券評等)

6.4 Some Different Types of Bonds (債券型態)

6.5 Bond Markets (債券市場)

6.6 Inflation and Interest Rates (通貨膨脹與利率)

6.7 Determinants of Bond Yields

(債券收益率的決定因素)
 英文專有名詞(1)
Ø Coupon: Stated interest payment made on a bond.
Ø Face value: The principal amount of a bond that is repaid at
the end of the term. Also, par value.
Ø Coupon rate: The annual coupon divided by the face value
of a bond.
Ø Maturity: Date on which the principal amount of a bond is
paid.
Ø Yield to maturity (YTM): The rate required in the market
on a bond.
 英文專有名詞(2)
Ø Interest rate risk: The risk that arises for bond owners from
fluctuating interest rates is called interest rate risk. How
much interest rate risk a bond has depends on how sensitive
its price is to interest rate changes.
Ø Current yield: A bond’s annual coupon divided by its price.
Ø Indenture: The written agreement between the corporation
and the lender detailing the terms of the debt issue.
Ø Registered form: The form of bond issue in which the
registrar of the company records ownership of each bond;
payment is made directly to the owner of record.
Ø Bearer form: The form of bond issue in which the bond is
issued without record of the owner’s name ; payment is
made to whomever holds the bond.
 英文專有名詞(3)
Ø Debenture: An unsecured debt, usually with a maturity of
10 years or more.
Ø Note: : An unsecured debt, usually with a maturity of
under 10 years.
Ø Seniority: In general terms, seniority indicates preference
in position over other lenders, and debts are sometimes
labeled as senior or junior to indicate seniority. Some debt
is subordinated, as in, for example, a subordinated
debenture.
Ø Sinking fund: An account managed by the bond trustee for
early bond redemption.
 英文專有名詞(4)
Ø Call provision: An agreement giving the corporation the
option to repurchase the bond at a specific price prior to
maturity.
Ø Call premium: The amount by which the call price exceeds
the par value of the bond.
Ø Deferred call provision: A call provision prohibiting the
company from redeeming the bond prior to a certain date.
Ø Call protected bond: A bond that currently cannot be
redeemed by the issuer.
Ø Protective covenants: A part of the indenture limiting
certain actions that might be taken during the term of the
loan, usually to protect the lender.
 英文專有名詞(5)
Ø Zero coupon bond: A bond that makes no coupon payments
and thus is initially priced at a deep discount.
Ø Bid price: The price a dealer is willing to pay for a
security.
Ø Asked price: The price a dealer is willing to take for a
security.
Ø Bid-ask spread: The difference between the bid price and
the asked price.
Ø Real rates: Interest rates or rates of return that have
been adjusted for inflation.
Ø Nominal rates: Interest rates or rates of return that have
not been adjusted for inflation.
 英文專有名詞(6)
Ø Fisher effect: The relationship between nominal returns,
and inflation.
Ø Term structure of interest rates: The relationship between
nominal interest rates on default-free, pure discount
securities and time to maturity; that is, the pure time value
of money.
Ø Inflation premium: The portion of a nominal interest rate
that represents compensation for expected future inflation.
 英文專有名詞(7)
Ø Interest rate risk premium: The compensation investors
demand for bearing interest rate risk.
Ø Default risk premium: The portion of a nominal interest rate
or bond yield that represents compensation for the
possibility of default.
Ø Taxability premium: The portion of a nominal interest rate
or bond yield that represents compensation for unfavorable
tax status.
Ø Liquidity premium: The portion of a nominal interest rate
or bond yield that represents compensation for lack of
liquidity.
 Bond Definitions and Key Features
of a Bond
vPar value (⾯值): Face Value
§ The principal amount of a bond that is repaid at the end
of the term
§ Re-paid at maturity
§ Assume $1,000 for corporate bonds
vCoupon (息票):
§ Stated interest payment made on a bond
vCoupon interest rate (票⾯利率) :
§ Stated interest rate
§ Usually = YTM at issue
6-12 § Multiply by par value to get coupon payment
 Bond Definitions and Key
Features of a Bond
vMaturity(到期⽇):
§ Years until bond must be repaid
vYield to maturity (YTM) (到期收益率) :
§ The market required rate of return for bonds of
similar risk and maturity
§ The discount rate used to value a bond
§ Return if bond held to maturity
§ Usually = coupon rate at issue
§ Quoted as an APR
6-13
 PV of Cash Flows as Rates Change

Bond Value = PV of coupons + PV of par

Bond Value = PV annuity + PV of lump sum

Remember, as interest rates increase the PVs decrease

So, as interest rates increase, bond prices

decrease and vice versa
 The Bond-Pricing Equation

1
1- t
(1 YTM) F
Bond Value C t
YTM (1 YTM)

PV(Annuity) PV(lump sum)

C = Coupon payment; F = Face value

6-17
Return
to Quiz
 Texas Instruments BA-II Plus
N= number of periods to maturity
I/Y = period interest rate = YTM
PV = present value = bond value
PMT = coupon payment
FV = future value = face value =
par value

6-18
 Spreadsheet Formulas

=FV(Rate,Nper,Pmt,PV,0/1)
=PV(Rate,Nper,Pmt,FV,0/1)
=RATE(Nper,Pmt,PV,FV,0/1)
=NPER(Rate,Pmt,PV,FV,0/1)
=PMT(Rate,Nper,PV,FV,0/1)
vInside parens: (RATE,NPER,PMT,PV,FV,0/1)
v“0/1” Ordinary annuity = 0 (default)
Annuity Due = 1 (must be entered)

6-19
 Valuing a Discount Bond (折價債劵)
with Annual Coupons
Consider a bond with a coupon rate of 10% and
coupons paid annually. The par value is $1,000 and
the bond has 5 years to maturity. The yield to
maturity is 11%. What is the value of the bond?
Using the formula:
B = PV of annuity + PV of lump sum.

B = 100[1 – 1/(1.11)5] / .11 + 1,000 / (1.11)5

B = 369.59 + 593.45 = 963.04

Using the calculator:

N = 5; I/Y = 11; PMT = 100; FV = 1,000

CPT PV = -963.04
Using Excel: =PV(0.11, 5, 100, 1000, 0)
 Valuing a Premium Bond (溢價債劵)
with Annual Coupons
Suppose you are looking at a bond that has a
10% annual coupon and a face value of $1,000.
There are 20 years to maturity and the yield to
maturity is 8%. What is the price of this bond?
Using the formula:
B = PV of annuity + PV of lump sum.
B = 100[1 – 1/(1.08)20] / .08 + 1,000 / (1.08)20
B = 981.81 + 214.55 = 1,196.36
Using the calculator:

N = 20; I/Y = 8; PMT = 100; FV = 1,000

CPT PV = -1,196.36
Using Excel: =PV(0.08, 20, 100, 1000, 0)
 Graphical Relationship
Between Price and YTM
1500
1400
1300
Bond Price

1200
1100
1000
900
800
700
600
0% 2% 4% 6% 8% 10% 12% 14%
Yield-to-maturity
 Bond Prices: Relationship
Between Coupon and Yield
If YTM = coupon rate, then par value = bond price

If YTM > coupon rate, then par value > bond price
Why?

Selling at a discount, called a discount bond (折價債劵)

If YTM < coupon rate, then par value < bond price

Why?

Selling at a premium, called a premium bond (溢價債劵)

 Bond Value ($) vs Years
remaining to Maturity
Premium CR>YTM

YTM = CR M
1,000

CR<YTM
Discount

30 25 20 15 10 5 0
6-24
 The Bond-Pricing Equation
(Semi-annual coupons)

1
1-
C (1 YTM/2) 2t F
Bond Value 2t
2 YTM/2 (1 YTM/2)
 Valuing a Discount Bond (折價債劵)
with Semiannual Coupons
Coupon rate = 14% - Semiannual; YTM = 16%
(APR); Maturity = 7 years
How many coupon payments are there?

What is the semiannual coupon payment?

What is the semiannual yield?

B = 70[1 – 1/(1.08)14] / .08 + 1,000 / (1.08)14 = 917.56

Or PMT = 70; N = 14; I/Y = 8; FV = 1,000;

CPT PV = - 917.56

Using Excel: =PV(0.08, 14, 70, 1000, 0)

 Quick Quiz

A Microgates Industries bond has a 10 percent

coupon rate and a $1,000 face value. Interest
is paid semiannually, and the bond has 20
years to maturity.

If investors requires a 12 percent yield, what is

the bond’s value?

What is the effective annual yield on the bond?

 Interest Rate Risk (利率風險)

Change in price due to changes in interest rates

Interest rates up, bond price down!

Long-term bonds have more interest rate risk than short-term

bonds
More-distant cash flows are more adversely affected by
an increase in interest rates

Lower coupon rate bonds have more interest rate

risk than higher coupon rate bonds
More of the bond’s value is deferred to maturity
(thus, for a longer time) if the coupons are small
Figure 6.2 Interest Rate Risk
and Time to Maturity
 Computing Yield-to-Maturity
YTM (到期收益率)
Yield-to-maturity is the rate implied by
the current bond price

Finding the YTM requires trial and error if you do not

have a financial calculator and is similar to the process
for finding r with an annuity

If you have a financial calculator, enter N, PV, PMT

and FV, remembering the sign convention (PMT and
FV need to have the same sign; PV the opposite sign)
 YTM with Annual Coupons

Consider a bond with a 10% annual coupon

rate, 15 years to maturity and a par value of
$1,000. The current price is $928.09.

Will the yield be more or less than 10%?

N = 15; PV = -928.09; FV = 1,000; PMT = 100

CPT I/Y = 11%

Using Excel: =RATE(15, 100, -928.09, 1000, 0)

 YTM with Semiannual Coupons

Suppose a bond with a 10% coupon rate and

semiannual coupons, has a face value of $1,000,
20 years to maturity and is selling for $1,197.93.
Is the YTM more or less than 10%?

What is the semiannual coupon payment?

How many periods are there?

N = 40; PV = -1,197.93; PMT = 50; FV = 1,000;

CPT I/Y = 4% (Is this the YTM?)

YTM = 4%*2 = 8%
Using Excel: =RATE(40, 50, -1197.93, 1000, 0) = 4%
 Quick Quiz
A Macrohard Corp. bond carries an 8 percent
coupon, paid semiannually. The face value is
$1,000, and the bond matures in six years. If
the bond currently sells for $911.37, what is its
yield to maturity (到期收益率)? What is the
effective annual yield (有效年收益率)?
Table 6.1 Summary of
Bond Valuation
 Spreadsheet Strategies

There is a specific formula for finding bond prices

on a spreadsheet

PRICE (Settlement,Maturity,Rate,Yld,Redemption,Frequency,Basis)

YIELD (Settlement,Maturity,Rate,Pr,Redemption, Frequency,Basis)

Settlement and maturity need to be actual dates

The redemption and Pr need to given as % of par value

Click on the Excel icon for an example

 Differences Between Debt and Equity
Debt (負債) Equity (權益)
Not an ownership interest Ownership interest

Creditors do not have voting Common stockholders vote to

rights (投票權) elect the board of directors
and on other issues
Interest is considered a cost
Dividends are not considered
of doing business and is
a cost of doing business and
tax-deductible
are not tax deductible
Creditors have legal recourse Dividends are not a liability
if interest or principal of the firm until declared.
payments are missed Stockholders have no legal
recourse if dividends are not
Excess debt can lead to declared
financial distress and
An all-equity firm cannot go
bankruptcy (破產)
bankrupt
 The Bond Indenture (債劵契約)
Contract between the company and
the bondholders and includes

The basic terms of the bonds

The total amount of bonds issued

A description of property used as security, if applicable

-Secured versus Unsecured
Sinking fund provisions (償債基⾦條款)

Call provisions (贖回條款)

Details of protective covenants (保護條款或契約)

Features of an Sprint Bond (P.177)
 Protective covenants (p.180)

vNegative covenants
 Protective covenants (p.180)

vPositive covenants
 Bond Classifications (債劵分類)
Registered vs. Bearer Forms
Security
Collateral (擔保品) – secured by financial securities

Mortgage (抵押) – secured by real property, normally

land or buildings

Debentures (信⽤債劵) – unsecured

Notes – unsecured debt with original maturity

less than 10 years

Seniority
 Debentures (信⽤債券)

台灣積體電路公司於1998年2⽉⾸次於國內發⾏
公司債，由花旗證券擔任主辦承銷商，發⾏⾦
額為新台幣40億元，為期5年。

當時市場上發⾏信⽤公司債的⾏情為公債利率
加碼1.5-2%，但台積電因信⽤良好，其公司債
的票⾯利率為公債利率加碼1.25%
(即6.46%+1.25%=7.71%)，每半年計息⼀次。
 Subordinated Debenture
(次順位公司債)
合作⾦庫於1999年7⽉發⾏台灣⾸次的「次
順位公司債」 ，為期10年，分為機動(浮動)
及固定利率兩類，其中機動利率債券以合
庫⼀年期定存利率加兩碼計算(當時
5.65%+2*0.25%=6.15%)，每年調整⼀次，
固定利率債券則以6.15%計算。
 Callable Bond (可贖回債券)

遠東紡織公司於1995年發⾏為期5年的「擔
保公司債」，發⾏滿3年後，公司有權向持
有⼈買回債券。 當利率⾛低、 債券價格上
揚時，遠紡有權買回債券，再以低利發⾏
新債券，便可節省融資成本。
 Bond Characteristics and
Required Returns (債券特性與必要報酬率)

The coupon rate is usually set close to the yield

Usually ≈ yield at issue, which depends on the risk
characteristics of the bond when issued ƒ(risk
characteristics of the bond when issued)

Which bonds will have the higher coupon,

all else equal?
Secured debt versus a debenture

Subordinated debenture versus senior debt

A bond with a sinking fund versus one without

A callable bond versus a non-callable bond

Summary of Bond Ratings(債劵評等P.181)
 Bond Ratings (債劵評等) –
Investment Quality (投資級)
High Grade (⾼等級)
Moody’s Aaa and S&P AAA – capacity to pay is extremely strong

Moody’s Aa and S&P AA – capacity to pay is very strong

Medium Grade (中等級)

Moody’s A and S&P A – capacity to pay is strong, but more

susceptible to changes in circumstances

Moody’s Baa and S&P BBB – capacity to pay is adequate, adverse

conditions will have more impact on the firm’s ability to pay
 Bond Ratings (債劵評等) –
Speculative (投機級)
Low Grade (低等級)
Moody’s Ba, B, Caa and Ca

S&P BB, B, CCC, CC

Considered speculative with respect to capacity to pay.

The “B” ratings are the lowest degree of speculation.

Very Low Grade (非常低等級)

Moody’s C and S&P C – income bonds with no interest being paid

Moody’s D and S&P D – in default with principal and

interest in arrears
 中華信⽤評等公司
(1997年5⽉營運) 評等代號

短期
A-1 A-2 A-3 B C D
(6級)
⻑期
AA BB CC
(10 A AA A
B
BB B
C
CC C D
級)

參考資料：中華信⽤評等-https://goo.gl/hEEaeM
 釋例:台灣企業信⽤評等
鴻海精密、⼒廣科技、第⼀⾦控、富邦⾦控及
台新⾦控五家發⾏公司於2010年接受「中華信
⽤評等公司」 之評等，結果摘要如下：

發⾏公司 發⾏⽇ 評等 種類 期數 發⾏⾦額 票⾯利率

鴻海精密 2010/12/27 tw AA+ 普通 5年 $60億 1.43%

⼒廣科技 2010/02/05 - 私募 3年 $0.4億 3.00%

第⼀⾦控 2010/07/22 Fitch AA- 普通 5年 $20億 1.60%

富邦⾦控 2010/08/23 tw AA 普通 5年 $50億 1.56%

台新⾦控 2010/12/17 tw BBB+ 次順位 7年 $53億 2.30%

資料來源：台灣櫃檯買賣中⼼
高收益債券基金(Scan)
希臘(Scan)
 Government Bonds
(政府債劵)
Treasury Securities (國庫劵)
Federal government debt

T-bills (國庫劵) – pure discount bonds with original

maturity of one year or less (短期)
T-notes – coupon debt with original maturity between one and ten years (中期)

T-bonds coupon debt with original maturity greater than ten years (⻑期)
Municipal Securities (市政證劵) Mcn
Debt of state and local governments

Varying degrees of default risk (違約風險), rated similar to corporate debt

Interest received is tax-exempt at the federal level

Interest usually exempt from state tax in issuing state

 Example 6.3
A taxable bond has a yield of 8% and
a municipal bond has a yield of 6%
If you are in a 40% tax bracket, which bond do you prefer?

-87
8%(1 - .4) = 4.8% → 繳 的 税 比較
少

The after-tax return on the corporate bond is 4.8%,

compared to a 6% return on the municipal

At what tax rate would you be indifferent between the two bonds?

8%(1 – T) = 6%

T = 25%
 Zero Coupon Bonds
(零票⾯利率債劵) Daounf
Make no periodic interest payments (coupon rate = 0%)

The entire yield-to-maturity comes from the difference

between the purchase price and the par value

Cannot sell for more than par value

Sometimes called zeroes, or deep discount bonds

Treasury Bills and principal-only Treasury strips

are good examples of zeroes
Interest expense for
EIN’s zeroes
 Floating Rate Bonds
(浮動利率債劵)
Coupon rate floats depending on some index value

Examples – adjustable rate mortgages and inflation-

linked Treasuries

There is less price risk with floating rate bonds

The coupon floats, so it is less likely to differ substantially

from the yield-to-maturity

Coupons may have a “collar” – the rate cannot go

above a specified “ceiling” or below a specified “floor”
 浮動利率債券案例
台灣第⼀商業銀⾏於2008年發⾏7年期的債券，總
額新台幣50億元，其中41億元為固定利率債券，票
⾯利率3.10%；另9億元為浮動利率債券，以90天期
商業票據收益率加43個基本點(iCP+0.43%)計息。原
則上，浮動利率融資較適合⾦融機構，因為其主要
的獲利為借出與借入的利息價差。
 Other Bond Types
Structured notes (結構型債劵)
無 固定收益
-520
Convertible bonds (可轉換債劵)
遞可攻退可守
DBond-C.ci/option 買权 上
債券 ⼈ 股票
Put bond (可賣回債劵)

There are many other types of provisions that

can be added to a bond and many bonds have
several provisions – it is important to recognize
how these provisions affect required returns
 指數連動債券案例
法國⾥昂信貸銀⾏(Credit Lyonnais)於2003年11⽉發⾏7
年期的「雪球(Snowball)連動債券」，以20檔知名股票
為標的(如GE、Gillette、Pepsi、Toyota、Nestle等)，發
⾏半年後投資⼈可要求贖回；下表為該債券的配息條件：
條 件 配息
1. 20檔股票週年⽇之收盤價皆⾼於期初收盤價的75% 5.50%
2. 未達上列條件 1.75%
如上表所⽰，投資該產品會有最低利率保障(1.75%)；如
果股市的表現不差，投資⼈則可獲得較⾼的利率(5.50%)，
較不會有「當初為何不投資股票？ 」之憾。
 可轉換債券案例
中華汽⾞公司2004年7⽉發⾏總額40億新台幣的
「可轉換公司債(CB)」，每張⾯額10萬元，為期5
年，票⾯利率0%。發⾏滿45⽇⾄到期前10⽇⽌，
債權⼈可要求轉換，轉換價格為$54.6(隨配股及增
資調整)；此種可轉債可降低該公司融資成本(零利
率)。
 Convertible bonds (可轉換債券)
台灣宏碁電腦公司1991年6⽉30⽇於倫敦發⾏總額4,500萬美
元的「海外可轉換公司債 (ECB)」，記名式每張⾯額50萬美
元，無記名式每張⾯額1萬美元，票⾯利率4%，為期10年。
該債券附有「提前清償條款 (Put Option Provision) 」；債券
發⾏滿5年後，債權⼈若未將其轉換為股票，可要求公司以
⾯額的121.037%贖回。
到了1996年，經換算後，上述「海外可轉換公司債」的轉換
價格為新台幣$20，⽽當時宏碁電腦的股價已升⾄新台幣$60
⽔準，若持有⼈轉換後以此價格賣出，報酬率達200%左右
(債券持有⼈不會要求贖回，贖回報酬率只有21.037%)，⽽
這並未包過去5年每年4%的利率；這個⾼報酬的結果說明了
為何許多海外投資⼈偏好「可轉換公司債」。
 轉換公司債案例(附買回權與賣回權）

台灣森鉅科技公司2004年6⽉發⾏為期5年、總額$3.3億
元的「轉換公司債」，票⾯利率為0%，同時具有買回
及賣回權利，當股價連續30個營業⽇⾼於轉換價格50%，
公司將買回債券，⽽賣回之利率補償如下表所⽰。

滿2年 滿3年 滿4年

2.51% 4.56% 6.13%

森鉅的股價若⾼漲，債權⼈將會執⾏轉換(持有股票)；
但股價若表現不佳，債權⼈可執⾏賣回權利，仍有利息
收入，這種⽅式可以吸收投資⼈購買其債券。
 Put bond (可賣回債券)

統⼀公司⾸創台灣之先例，在1996年發⾏第⼀個國內
的「可賣回公司債」 ，投資⼈可隨時要求公司提前贖
回，可視為是⼀般債券與「賣權 (Put options)」 的組
合，其發⾏⾦額共新台幣15億元，票⾯利率5.275%。

統⼀公司發⾏「可賣回公司債」 之⽬的是以低利取得
資⾦(當時⼀般債券利率約為6%)，成本甚⾄比發⾏票
券還低。
 Bond Markets (債劵市場)

Primarily over-the-counter transactions

with dealers connected electronically

Extremely large number of bond issues,

but generally low daily volume in single issues

Makes getting up-to-date prices difficult,

particularly on small company or municipal issues

Treasury securities are an exception

 Work the Web Example

Bond yield information is available online

One good site:
http://cxa.marketwatch.com/finra/BondCe
nter
Click on the web surfer to go to the site
Follow the “bond search,” “search/quote center,”
“corporate/agency bonds,” and “composite bond yields”
links

Observe the yields for various bond types, and the

shape of the yield curve.
Treasury Quotations
 Treasury Quotations
vHighlighted quote in Figure 6.3

5/15/2030 6.250 132.8984 132.9609 0.4688 2.949

§ When does the bond mature?

§ What is the coupon rate on the bond?
§ What is the bid price? What does this mean?
§ What is the ask price? What does this mean?
§ How much did the price change from the previous day?
§ What is the YTM based on Ask price?

Copyright ©2020 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written
consent of McGraw-Hill Education. 6-68
 Treasury Quotations

5/15/2030 6.250 132.8984 132.9609 0.4688 2.949

§ Maturity = May 15, 2030

§ Coupon rate = 6.250% per year
§ Bid price = 132.8984 % of par
• Price at which dealer is willing to buy from you
§ Ask price = 132.9609 % of par
• Price at which dealer is willing to sell to you
§ Bid-Ask Spread = Dealer’s profit
§ Change = ask price is up .4688 % since the previous
day
§ Asked Yield = 2.949%

Copyright ©2020 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written
consent of McGraw-Hill Education. 6-69
 Quoted Price versus Invoice Price

vQuoted bond prices = “clean” price

§ Net of accrued interest
vInvoice Price = “dirty” or “full” price
§ Price actually paid
§ Includes accrued interest
vAccrued Interest
§ Interest earned since last coupon payment is
owed to bond seller at time of sale

Copyright ©2020 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written
consent of McGraw-Hill Education. 6-70
 Inflation and Interest Rates
(通貨膨脹與利率)
Real rate of interest (實質利率)

change in purchasing power

Nominal rate of interest (名⽬利率)

quoted rate of interest Reflects change in

purchasing power and inflation

The ex ante nominal rate of interest includes our

desired real rate of return plus an adjustment for
expected inflation
 The Fisher Effect
The Fisher Effect defines the relationship between
real rates (真實利率), nominal rates (名⽬利率) and
inflation (通貨膨脹)

(1 + R) = (1 + r)(1 + h)

R = nominal rate

r = real rate

h = expected inflation rate

Approximation
R=r+h
 Example 6.6

If we require a 10% real return and we expect

inflation to be 8%, what is the nominal rate?

R = (1.1)(1.08) – 1 = .188 = 18.8%

Approximation: R = 10% + 8% = 18%

Because the real return and expected inflation are

relatively high, there is significant difference between
the actual Fisher Effect and the approximation.
 Quiz

vA bond yielded a real rate of return of 3.87

percent for a time period when the inflation rate
was 3.75 percent. What was the actual nominal
rate of return? What was the approximate
nominal rate of return?
 Term Structure of Interest Rates
(利率期間結構)
Term structure is the relationship between 。
time
to maturity and yields, all else equal
_

It is important to recognize that we pull out the

effect of default risk, different coupons, etc.

Yield curve – graphical representation of the

term structure
正常
Normal – upward-sloping, long-term yields are higher than
short-term yields L/T > S/T
反向
Inverted – downward-sloping, long-term yields are lower than
short-term yields L/T < S/T
US Interest Rates 1800-2018
 Figure 6.5A –
Upward-Sloping Yield Curve (收益線)
 Figure 6.5B –
Downward-Sloping Yield Curve
 %

0
1
2
3
4

0.5
1.5
2.5
3.5
4.5
2010/04
2010/09
2011/02
2011/07
2011/12
2012/05
2012/10
2013/03
2013/08

2019/06-2019/09, ST>LT
2014/01
2014/06
2014/11

三個⽉
2015/04
2015/09
2016/02
⼗年期 2016/07
2016/12
2017/05
2017/10
2018/03
2018/08
2019/01
2019/06
2019/11
2020/04
美國3個⽉與⼗年期公債(2021/03)

2020/09
2021/02
Figure 6.6 The Treasury Yield Curve
 Factors Affecting Required Return
(影響必要報酬率的因素)
Default risk premium (違約風險溢酬)
remember bond ratings

Taxability premium

remember municipal versus taxable

Liquidity premium (變現⼒溢酬)

bonds that have more frequent trading will
generally have lower required returns

Maturity premium (到期風險溢酬)

longer term bonds will tend o have higher required
returns.
Anything else that affects the risk of the cash flows
to the bondholders, will affect the required returns
 Quick Quiz
How do you find the value of a bond and
why do bond prices change?

What is a bond indenture and what are

some of the important features?

What are bond ratings and why are they important?

How does inflation affect interest rates?

What is the term structure of interest rates?

What factors determine the required return on bonds?

 The Determinants of
Bond Yield

Bond Yield = Real rate of interest +

Expected future inflation rate +
Interest rate risk premium
(Maturity risk premium) +
Default risk premium +
Taxability premium +
Liquidity risk premium
 債券投資⼩秘訣

當市場利率很低時，應考慮不要購買⻑期
債券：反之，在市場利率較⾼時，就應該
考慮買進⻑期債券。
v實務應⽤
 存放款利率 截⾄2020/12
9
8
7
6
5
4
3
2
1
0
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
本國銀⾏ 存款 本國銀⾏ 放款

資料來源：http://statdb.dgbas.gov.tw/pxweb/dialog/statfile9L.asp(僅採⽤本國銀⾏利率資料)
台灣銀⾏牌告利率 (1/2)
台灣銀⾏牌告利率 (2/2)
投資等級債券型基⾦-20210419
⾼收益債券型基⾦-20210419
本章架構
 本章作業

Chapter review and Self-test Problems

Questions and Problems:1,2,3,4,6,9

作業不需繳交，
但在考試範圍內。