L9a Bond Valuation.pptx - Excel Modeling VBA Bond Pricing and Duration(Ch 10 S Dr Ronald K CHUNG FINA0404/3351 – Spreadsheet Modelling in Finance

L9a Bond Valuation.pptx - Excel Modeling VBA Bond Pricing...

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Excel Modeling: VBA Bond Pricing and Duration (Ch 10, S) Dr. Ronald K. CHUNG FINA0404/3351 – Spreadsheet Modelling in Finance
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Bonds Issuers Government: National, Agencies, Munis Corp: FI, Cos. SupraNationals Markets: US, EU… Currencies: Onshore, Offshore Coupons : Fixed, Float (reverse), Reset, Step-Up, Zero Dual currency: int in a different currency from redemption currency Maturity : Fixed, Call/Put, Perpetual Treasuries, Notes, Bonds Also Par : Fixed, Convertible Frequency : typically s.a. Seniority/Subordination 2 ©EQCC
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Bond Valuation Issuers, also Seniority/Subordination Coupons Maturity: Callable? Par: Fixed, Convertible Frequency YTM Currencies: Onshore, Offshore ( Currency Risk ) Market (e.g., JP issuer in US or v.v., liquidity?) 3 ©EQCC
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Bond Ratings Moody’s S&P Quality of Issue Aaa AAA Highest quality. Very small risk of default. Aa AA High quality. Small risk of default. A A High-Medium quality. Strong attributes, but potentially vulnerable. Baa BBB Medium quality. Currently adequate, but potentially unreliable. Ba BB Some speculative element. Long-run prospects questionable.
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  • Spring '17
  • Bond duration, Zero-coupon bond

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