TAILIEUCHUNG - BASIC BOND ANALYSIS JOANNA PLACE

These assumptions unraveled quickly once the housing market turned in late 2006 and loan performance worsened. By end-2009, the Case-Shiller single family homes index had fallen by 30 percent and the unemployment rate had doubled relative to their levels at the peaks of the housing and business cycles. Data from the Mortgage Bankers’ Association of America indicate that by end-2009 over 4½ percent of all mortgage loans, (including more than 3 percent of conforming conventional loans), were in the foreclosure process. Securitized loans fared worse with over 11½ percent, (18 percent of subprime and 14 percent of Alt-A), having entered. | Handbooks in Central Banking No. 20 BASIC BOND ANALYSIS Joanna Place Series editor Juliette Healey Issued by the Centre for Central Banking Studies Bank of England London EC2R 8AH Telephone 020 7601 3892 - Fax 020 7601 5650 December 2000 Bank of England 2000 ISBN 1 85730 197 8 1 BASIC BOND ANALYSIS Joanna Place Contents Page Abstract .3 1 Introduction .5 2 Pricing a bond .5 Single cash Discount Multiple cash Dirty Prices and Clean Relationship between Price and 3 Yields and Yield Money market Uses of yield measures and yield curve theories .12 Flat Simple yield. 13 Redemption yield . 13 Spot rate and the zero coupon curve .15 Forward zero coupon Real implied forward Par Relationships between curves .19 Other yields .20 4 Debt Management Products .20 Treasury Conventional Floating rate bonds .23 Index-linked Convertible Zero-coupon bonds and strips .31 5 Measures of Risk and Convexity .41 Price value of a Basis 2 Rates of return .44 6 Summary Appendix 1 Comparing bond market money market yields .47 Appendix 2 Appendix 3 Glossary of Further Other CCBS publications .56

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