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Finance 100 Prof. Michael R. Roberts

U.S. Savings Bonds are issued by the U.S. Treasury Department. They are nonmarketable securities. This means you may not sell savings bonds to or buy them from anyone except an issuing and paying agent authorized by the Treasury Department. Savings bonds are registered securities, meaning that they are owned exclusively by the person or persons named on them. I Bonds and Series EE Savings Bonds are accrual securities. They earn, that is, accrue interest monthly at a variable rate and the interest is compounded semiannually. You receive your earnings when you redeem an I Bond or Series EE Savings Bond. Series HH Savings Bonds are current income securities | Bonds Finance 100 Prof. Michael R. Roberts BE Wharton Cx UMVIMinnfFPiNWlVAMIA Copyright Michael R. Roberts 1 Topic Overview Introduction to bonds and bond markets Zero coupon bonds Valuation Yield-to-Maturity Yield Curve Spot Rates Interest rate sensitivity - DVO1 Coupon bonds Valuation Arbitrage Bond Prices Over Time Yield Curve Revisited Interest rate sensitivity - Duration Immunization Forward Rates BE Wharton vjy UMVIMin of PptNinVAMA Copyright Michael R. Roberts 2 1 1 What is a Bond and What are its Features A bond is a security that obligates the issuer to make interest and principal payments to the holder on specified dates. Maturity or term Face value or par Notional amount used to compute interest payments Coupon rate Determines the amount of each coupon payment expressed as an apR Coupon Rate X Face Value Coupon --------- ---- -------------- Number of Coupon Payments per Year Bonds differ in several respects Repayment type Issuer Maturity Security Priority in case of default SB Wharton Copyright Michael R. Roberts 3 Repayment Schemes Bonds with a balloon or bullet payment Pure discount or zero-coupon bonds - Pay no coupons prior to maturity. Coupon bonds - Pay a stated coupon at periodic intervals prior to maturity. Floating-rate bonds - Pay a variable coupon reset periodically to a reference rate. Bonds without a balloon payment Perpetual bonds - Pay a stated coupon at periodic intervals. Annuity or self-amortizing bonds - Pay a regular fixed amount each payment period. - Principal repaid over time rather than at maturity. RH Wharton Copyright Michael R. Roberts 4 2 2 Who Issues Bonds US Government Treasuries T-bills 4 13 16-week maturity zero coupon bonds T-notes 2 3 5 10 year semi-annual coupon bonds T-bonds 20 30-year semi-annual coupon bonds TIPS 5 10 20-year semi-annual coupon bond principal n-adjusted Strips Wide-ranging maturity zero-coupon bond IB-structured Foreign Governments Municipalities Maturities from one month to 40 years semiannual .