CHAPTER 1 What Is a Bond, What Is the Bond Market, and How Does It All Work?
第一章 什么是债券，债券市场是什么，以及它是如何运作的？
WHAT IS A BOND ANYWAY?
到底什么是债券？
A bond is a piece of paper (well, a computer blip these days) that "bonds" borrowers and lenders. The borrower rents money from the lender and agrees to pay a certain rate of interest for the rental, normally at prearranged times, typically every six months. Thus, a bond is the original amount of the loan plus a series of rental cheques or interest payments. Eventually, the lease is up and the landlord gets the property (capital) back and can re-lease it or hold on to it.
债券就是一张纸（现在大部分是电脑记录），它“联结”了借款人和贷款人。借款人向贷款人租用资金，并同意按预定的时间（通常是每六个月一次）支付一定的利率来支付租金。因此，债券包含了最初借入的本金加上一系列租金支票或利息支付。最终，租期结束，债权人收回本金，并可以选择再出租或持有该资产。
Here is the anatomy of an actual bond, the Canada 3.5 percent due June 1, 2020. For purposes of illustration, we will assume a principal value of $100,000. In other words, $100,000 is the amount that the lender will receive back at maturity. I will use this bond in different chapters of the book. This is a benchmark issue, with $13.1 billion outstanding. This bond pays interest semi-annually, so we may display the internal workings of this bond as follows: the interest payments are the principal value ($100,000) times the coupon rate (3.50 percent) divided by 2, since the interest is paid twice a year. Therefore, each payment is $1,750.
| DATE | INTEREST | FACE VALUE |
|---|---|---|
| December 1, 2011 | $1,750 | |
| June 1, 2012 | $1,750 | |
| December 1, 2012 | $1,750 | |
| June 1, 2013 | $1,750 | |
| December 1, 2013 | $1,750 | |
| June 1, 2014 | $1,750 | |
| December 1, 2014 | $1,750 | |
| June 1, 2015 | $1,750 | |
| December 1, 2015 | $1,750 | |
| June 1, 2016 | $1,750 | |
| December 1, 2016 | $1,750 | |
| June 1, 2017 | $1,750 | |
| December 1, 2017 | $1,750 | |
| June 1, 2018 | $1,750 | |
| December 1, 2018 | $1,750 | |
| June 1, 2019 | $1,750 | |
| December 1, 2019 | $1,750 | |
| June 1, 2020 | $1,750 | |
| June 1, 2020 | $100,000 | |
| $31,500 | ||
| Total | $131,500 | |
下面展示的是一只真实债券——加拿大3.5%债券，到期日为2020年6月1日。为便于说明，我们假设本金为100,000加元。换句话说，到了到期日，债权人将收回100,000加元的本金。我将在本书的不同章节中使用这只债券。这是一只基准债券，总发行量为131亿加元。这只债券每半年支付一次利息，因此我们可以这样显示债券的运作机制：利息支付额 = 本金（100,000加元）× 票面利率（3.50%）÷ 2，因为一年支付两次利息。所以，每次支付为1,750加元。
BENCHMARK BONDS
A benchmark bond is an actively traded bond that is used to determine the prices of less actively traded bonds. The media report benchmark prices so that the investing public can see the direction of bond prices. As well, issuers of new bonds use them as reference points to price their issues. The Bank of Canada regularly adds to existing benchmark issues at the key maturity dates: two, five, ten, and thirty years. This contributes to a smoothly functioning marketplace. Investment dealers also use these benchmark bonds to hedge market risk.
基准债券
基准债券是在市场上活跃交易的债券，用以确定其他较不活跃交易债券的价格。媒体会报道基准价格，使投资公众可以了解债券价格的走势。同时，新债券的发行者也以其作为定价的参照点。加拿大央行定期在关键到期期限（两年、五年、十年和三十年）增加现有基准债券的发行，这有助于市场的平稳运作。投资经纪商也利用这些基准债券来对冲市场风险。
So, an investor who bought and held this bond until maturity, without reinvesting any of the interest payments, would have received a total of $131,500.
因此，如果一位投资者购买该债券并持有至到期，且不再将任何利息进行再投资，那么他所收到的总额将达到131,500加元。
If the investor held this bond inside an RRSP or held it in a taxable account but did not need the interest, each of these interest payments would need to be reinvested. I am introducing the concept of reinvestment at this stage, as it is a very important component of bond yields. Bond yield calculators assume that each interest payment will be reinvested at the purchase yield, clearly not a real world assumption, but it does provide consistency, as all bonds are measured the same way. Don't worry; we will examine all of this later in more detail.
如果该投资者将债券放在注册退休储蓄计划（RRSP）中，或者在应税账户中持有但不需要利息收入，则每笔利息支付必须再进行再投资。我在此阶段引入再投资的概念，因为它是债券收益中非常重要的组成部分。债券收益计算器假定每笔利息支付都会以购买时的收益率再投资，虽然这在现实中并不完全成立，但它为所有债券采用相同的衡量标准提供了连贯性。别担心，后面我们会详细讨论这些内容。
At one time, investors in bonds received beautiful lithographed letter-sized pieces of paper as evidence that they had made this loan. Today, most of these physical pieces of paper have disappeared, replaced by the "book-based" system, whereby the Central Depository for Securities (CDS) maintains the records of who owns what. Your evidence of ownership is the contract you receive from your financial institution and your monthly statements.
曾几何时，债券投资者会收到一张漂亮的石印信纸，作为他们出借资金的证明。如今，大部分的这种实体票据已经消失，取而代之的是“簿记式”系统，由中央证券托管机构（CDS）记录所有权信息。您持有的所有权凭证是您从金融机构那里收到的合约以及每月的对账单。
Most bonds are issued with a coupon rate, which is the rate of interest investors will be paid. How is this rate determined? It is a product of the length of time to the maturity date, the general level of interest rates, and the creditworthiness of the borrower. Unlike a mortgage, which is a specific relationship between an individual and a lender, there may be hundreds of holders of the same bond, as individual bond issues may range from $15 million to $20 billion.
大多数债券在发行时附带票面利率，即投资者将获得的利息率。这一利率是如何确定的呢？它由到期时间的长短、利率的总体水平以及借款人的信用状况决定。不同于抵押贷款（这是个人与贷款人之间的特定关系），同一债券可能由数百个持有人持有，因为单个债券发行额可能从1500万加元到200亿加元不等。
WHAT IS THE FIXED-INCOME MARKET, AND HOW DOES IT OPERATE?
什么是固定收益市场，它又是如何运作的？
The fixed-income market, or bond market, operates in what we call an "over-the-counter" manner. To understand what this means, let us first examine how the equity market functions. When investors purchase, say, one hundred shares of TransCanada PipeLines, they purchase them from other investors who are selling the shares at the same price. These trades take place on a public stock exchange, where prices are clearly visible. Both the buyers and the sellers pay a fee (or commission) to their respective IAs. The financial institutions (for example, investment dealers or brokers), hereafter called FIs, merely facilitate this transfer from the buyer to the seller; they do not assume any principal position and thus do not risk their principal or capital. Therefore, retail equity transactions are called agency transactions, since the FIs merely act as agents.
固定收益市场，也称为债券市场，其运作方式为“场外交易”。要理解这一点，首先让我们看看股票市场的运作方式。当投资者购买比如说TransCanada PipeLines的100股股票时，他们是从以相同价格出售股票的其他投资者那里购买。这些交易在公开的股票交易所进行，价格清晰可见。买卖双方各自都要向他们的投资顾问支付手续费（或佣金）。金融机构（例如投资经纪商或券商，以下简称“FI”）仅仅是促成买卖双方之间的转移；他们不承担本金风险，因此不承担风险。所以零售股票交易被称为代理交易，因为FI仅充当代理人。
The bond market functions in an entirely different fashion. There is no visible public market, and almost every trade is done on a principal basis and is quote-driven. That is, the FIs bond traders are using the firms' capital to maintain inventories and make markets in the broad spectrum of fixed-income securities.
债券市场的运作方式则完全不同。没有公开透明的公共市场，几乎所有交易都是以自营方式进行、基于报价的。也就是说，FI的债券交易员利用公司的资本维持库存，并在广泛的固定收益证券中创造市场。
Consider TransCanada PipeLines for a moment. It has one class of common shares with 699 million shares outstanding as of March 14, 2011, with a market capitalization of $27 billion. At the same time, it had 62 bond issues outstanding, of all different sizes, maturities, and characteristics, ranging in maturity from 2011 to 2067 and in coupon from 3.40 to 12.20 percent, having a combined face value of $16.9 billion. Many of them are held in large percentages by the investing institutions, rendering them illiquid. Very few of these issues trade every day, so if you are interested in investing in one of them, your IA will ask the retail bond-trading desk, which will likely not have them and will turn to the wholesale bond-trading group, which will then attempt to make a market for that particular bond.
暂且以TransCanada PipeLines为例。该公司有一种普通股，截至2011年3月14日，其流通股为6.99亿股，市值为270亿加元。同时，它有62个不同规模、到期日和特征各异的债券发行，从2011年到2067年不等，票面利率从3.40%到12.20%不等，总面值达169亿加元。其中许多债券由投资机构持有很高的比例，使其流动性较差。大部分这些债券并不是每天都有交易，所以如果您有兴趣投资其中一只债券，您的投资顾问会先询问零售债券交易部门，但该部门可能没有库存，随后会联系批发债券交易团队，后者再试图为该特定债券创造一个市场。
It is somewhat like a grocery store or convenience store. To help individual investors, retail fixed-income departments stock their shelves with inventories of the various bond and money market products. There are special sales at times, and of course the investment dealers will showcase the products that they want you to buy. When inventories run out or become low, the retailers go to the institutional department to get restocked. As retailers have all kinds of costs - communications, technology, salaries, rent, and financing the inventories, to name a few — prices are marked up from the institutional price. I can tell you that the price markups are very small at most investment dealers. As with grocery stores, you can comparison shop by opening accounts at different investment dealers or discount brokers. Recently, I conducted a survey of online bond trading at the five major dealers to further assist you in your do-it-yourself dealings. You will find the details on page 58.
这有点像杂货店或便利店的运作。为了方便个人投资者，零售固定收益部门会将各种债券和货币市场产品的库存陈列在货架上。有时会有特价促销活动，当然，投资经纪商也会推荐他们希望您购买的产品。当库存售罄或低于一定水平时，零售商会从机构部门补货。由于零售商要承担各种成本——比如通讯、技术、薪资、租金以及库存融资等——所以价格比机构价格略有加价。我可以告诉您，大多数投资经纪商的加价都非常小。就像在杂货店购物一样，您可以通过在不同的投资经纪商或折扣券商开户进行比较购物。最近，我对五大券商的在线债券交易进行了调查，以进一步帮助您自行操作。详细内容见第58页。
Quotations for bonds often confuse investors. The base denomination for bonds (other than stripped bonds) is $1,000. This is called the "face", "book", or "par" value. It is the principal amount that you invest and will receive back at maturity. We quote bonds on a percentage of face value. When you see a bond quotation, it may be, for example, $98. This means that the bond is trading at 98 percent of the face value. In other words, the $1,000 bond is worth $980.
债券报价常常让投资者感到困惑。除去拆分债券外，债券的基本计价单位是1,000加元，这称为“面值”、“簿记价值”或“票面价值”。这就是您所投资的本金，同时也是到期时将返还给您的金额。债券的报价通常以面值的百分比表示。例如，如果您看到债券报价为98，这意味着债券以面值的98%进行交易。换言之，1,000加元的债券价值980加元。
As well, bonds (except for stripped bonds) trade with accrued interest attached. The value of that accrued interest is not included in the price. The seller of the bond that you are buying expects, and deserves, to receive the interest accruing from the last interest payment. The buyer pays that accrued interest in addition to the purchase price. This is because the new owner of the bond will receive the full interest payment when it is eventually paid, even though he or she is entitled to only the interest accruing from the date of purchase to the settlement date of the sale.
另外，债券（除剥离债券外）的交易都是附带应计利息的，而价格中并不包含应计利息。卖出债券的一方期望并应获得自上次利息支付之后累计的利息。买方除了支付购买价格外，还要支付这笔应计利息。这是因为债券的新持有人最终将收到完整的利息支付，即使他或她只拥有从购买日期到结算日期之间应计的利息。
Assume, for example, that you sold a bond, there were three months before the next payment, and you did not receive the accrued interest. The next owner of the bond would then receive the full six months' interest payment when it came due. Therefore, the next owner's money earned double for that period and yours earned nothing! Since it is impractical and inconvenient to wait until the payment is received before selling the bond, the interest owing to the seller is calculated and paid by the new owner on the settlement date.
例如，假设您出售了一只债券，而距下一次支付还有三个月时间，您没有获得应计利息。此时，下一个债券持有人在利息支付时将收到完整的六个月利息。因此，下一个债券持有人的资金在这段期间“赚取”了双倍的利息，而您的却一分未得！由于等待支付日后再出售债券既不切实际也不方便，因此在结算日由新买家计算并支付应计利息给卖家。
Let us re-examine the above example: a bond paying 4 percent semiannually with a face value of $10,000 is sold at 98 percent of face value with 90 days of accrued interest owing to the vendor. The seller of the bond receives $9,800 of the original principal plus the accrued interest owed from the last payment date. If this bond had been held for a full year, the investor would have received $400 in interest (4 percent of $10,000). We divide $400 by the number of days in a year to calculate how much interest accrues daily: $1.09589 accrued per day. Now we take this number and multiply by 90 to arrive at how much accrued interest is owed to the seller: $98.63 of accrued interest. Therefore the seller receives the $9,800 plus the $98.63 of accrued interest for a total of $9,898.63.
让我们再看一下上面的例子：一只票面价值为10,000加元、半年付息、票面利率为4%的债券以面值98%的价格出售，同时距上次利息支付日累计了90天的利息。债券卖家收到原始本金9,800加元，加上上一次支付后累计应付的利息。如果这只债券持有了一整年，投资者将收到400加元的利息（10,000加元×4%）。我们将400加元除以一年中的天数，计算出每日累计利息约为1.09589加元。现在将这个数字乘以90天，就得出应付给卖家的累计利息为98.63加元。因此，卖家实际收到总额为9,800加元加上98.63加元，即9,898.63加元。
BID, ASK, OFFER
The terms bid, ask, and offer create some confusion. When you are selling a bond, the investment dealer provides you with a bid. If you are buying, you need to know what the dealer is asking for the bonds or where he offers it. It becomes confusing when you say that you want an offer for these bonds. That could mean that you want a bid. Stick to bid and ask.
买价、卖价与报价
“买价”、“卖价”和“报价”这些术语容易让人混淆。当您卖出债券时，投资经纪商会给出买入报价。如果您正在购买债券，则需要知道经纪商开出的卖出价格。称自己需要债券的“报价”容易让人混淆，因为这可能让人以为您需要的是买价。请坚持使用“买价”和“卖价”这两个术语。
So, what happens to the buyer? Assuming the buyer pays the same percentage of face value, he or she pays exactly the same as the vendor receives. In the real world, the two prices will not be the same as a result of commissions being charged. The accrued interest will be the same. As we recall, the bond market functions as a principal market where the investment dealers make markets in bonds using their firm's capital. Thus, there will be a difference in the "bid," what a trader is willing to pay for a bond, and the "ask," which is the price at which a trader is willing to sell. As well, the IA needs to make a living, so he or she takes the bid or ask price from the trader (depending on whether the client is selling or buying), subtracts or adds the commission, and then gives the client a net price. Note that no commission is added or deducted in a fee-based account.
那么，买方到底会发生什么情况呢？假设买方支付与卖方相同比例的面值，那么买方支付的金额与卖方所获得的金额完全相同。在现实中，由于还会产生佣金，因此买卖双方的实际价格会有细微差异。应计利息是相同的。如我们所知，债券市场作为自营市场运行，投资经纪商利用自己的资金在债券市场中进行买卖，从而产生“买入价”，即交易员愿意购买债券的价格；以及“卖出价”，即交易员愿意出售债券的价格。此外，投资经纪商为了生计，会在交易员的买入或卖出价上加减佣金后，向客户提供净成交价。值得注意的是，在收费账户中不会额外加减佣金。
Getting back to the buyer: when the next interest payment is due, the buyer will receive the full six-month payment ($200). Subtracting the $98.63 interest previously paid, the buyer has netted $101.37 of accrued interest for the period that he or she has owned the bond. Should this new owner keep the bond through successive payment dates, he or she would receive the full $200 each six months until the bond is sold or it matures.
回到买方：当下一次支付日到来时，买方将收到完整的六个月利息（200加元）。扣除之前支付的98.63加元应计利息，买方在该期间净赚101.37加元的累计利息。如果这位新持有人持续持有债券，他或她每隔六个月将收到全额200加元的利息，直到债券出售或到期。
Also, you will notice that prices for bonds range from discounts, say $90 (or 90 percent of face value), to premiums, such as $110 (or 110 percent of face value). Why is this? Interest rates move up and down, and bond prices move inversely to yields. (Not a week goes by without someone asking me which way bond prices go when yields go up. They go down. Bond prices and yields move in opposite directions, and you will understand why when you read the chapter Basic Math.)
另外，您会注意到，债券价格可能从折价（例如90，即面值的90%）到溢价（例如110，即面值的110%）不等。这是为什么呢？因为利率上下波动，而债券价格与收益率成反比波动。（每隔一周就有人问我，当收益率上升时债券价格如何变化？答案是价格下降。债券价格与收益率成反向关系，后续章节《基础数学》会解释其中原因。）
This is to put them in line with currently issued bonds. If the price on our Canada 3.5 percent bond due June 1, 2020, was exactly $100, then its yield to maturity would be 3.5 percent. If market yields moved to 6 percent, no one would buy this bond at 3.5 percent, so we adjust its market price to $83, which equates to a yield to maturity of 6 percent. Conversely, if yields fell to 2 percent for this maturity, this bond would be re-priced to $112.13. We will examine in detail how these prices are actually calculated in the chapter Basic Math. Don't worry.
这使得债券价格与当前发行的债券保持一致。如果我们的加拿大3.5%债券到期日为2020年6月1日的价格正好是100加元，则其到期收益率为3.5%。如果市场收益率上升到6%，没有人会以3.5%的利率购买债券，因此我们将其市场价格调整为83加元，此时其到期收益率便是6%。反之，如果该到期收益率下降到2%，那么该债券的重新定价将为112.13加元。我们将在《基础数学》章节详细介绍这些价格如何计算。请放心。
Individual quotations on bonds (bids and asks) are not readily visible, although there are determined attempts underway to increase the transparency of the bond market. Online or discount brokers have offerings of fixed-income securities, while in the case of FIs, the IAs can see their firms' inventories displayed electronically from their internal systems and can relay these to their customers. In addition, there are three public sites with up-to-date bond prices on a reasonable cross-section of the bond market:
- www.canadianfixedincome.ca provides free access to a broad list of bond prices, Further, individual investors may subscribe to Bondview, which offers a more complete view of the marketplace, for $19.95 per month.
- www.canpxonline.ca offers hourly updates on benchmark Government of Canada bonds. Eventually, they plan to introduce Canada's equivalent to the U.S. Trace system whereby all corporate bond trades will be displayed with a time delay.
- www.canadianbendindices.com offers a plethora of information on fixed-income markets, including live updates, some trading volume statistics, as well as performance numbers.
个别债券的报价（买价和卖价）并不容易看到，尽管目前已有努力提高债券市场透明度的举措。在线或折扣券商提供固定收益产品，而对于金融机构来说，其投资顾问可以通过内部系统以电子方式查看其公司的库存，并将其传递给客户。此外，有三个公开网站提供涵盖较大范围的债券市场的最新价格：
- www.canadianfixedincome.ca 提供一份广泛的债券价格列表，此外，个人投资者可以订阅Bondview（每月19.95加元），获取更全面的市场视图。
- www.canpxonline.ca 每小时更新基准加拿大政府债券的价格。最终，他们计划引入加拿大版的美国TRACE系统，届时所有公司债交易将以一定延时公布。
- www.canadianbendindices.com 提供大量有关固定收益市场的信息，包括实时更新、部分交易量统计数据及业绩数据。
There are daily quotations in newspapers and more extensive lists in the weekend press, but they are not all-inclusive; they typically represent institutional pricing (greater than $1 million in size), and they are just a snapshot at a certain point in time. While they are useful indicators of where bond prices were, bond prices will be different when you attempt to buy or sell, since they fluctuate far more than investors (and IAs) realize. In any event, retail investors will not be able to transact at these prices for two basic reasons: first, they are dealing in retail quantities; second, since the bond market is a principal market, as we now know, a bond trades on a net basis (that is, with no visible commission added).
报纸上每日会有报价，周末的报刊中也会有较为详尽的列表，但这些并不全面；它们通常代表机构定价（交易额大于100万加元），且只是某一时刻的快照。虽然这些报价是了解债券价格走势的有用指标，但当您真正尝试买卖时，价格会与这些报价有所不同，因为实际波动远超投资者（以及投资顾问）的预期。无论如何，零售投资者由于两大基本原因无法按照这些价格成交：第一，他们涉及的是零售数量；第二，正如我们之前所知，债券市场是一个自营市场，债券是在净价基础上交易（即不另加佣金）。
Let us consider that there might be a different (i.e., higher) price for a retail fixed-income transaction by individual investors than for a wholesale purchase by a giant financial institution. Returning to our grocery shopping analogy, individuals normally find the shelves adequately stocked for their relatively small purchases. If the store did not maintain adequate inventories, the management would have to shuttle back and forth from the wholesale warehouse. The warehouse sells in bulk quantities, so the store manager must decide how much to buy, balancing the needs of the customers with the prices for different quantities of merchandise. After adding the merchandise to the shelves, the manager now raises the wholesale price to retail to account for various factors such as heat, lighting, salaries, insurance, spoilage, and taxes.
考虑到零售固定收益交易的价格可能高于机构大额交易的价格。回到之前的杂货店的类比，个人通常会发现货架上已经存有足够满足其相对较小购买需求的商品。如果商店没有足够的库存，管理层就必须来回奔波于批发仓库。仓库以批量销售，店长必须在满足客户需求和不同数量货物价格之间进行权衡。将商品补充到货架后，店长便会将批发价格提高至零售价格，以弥补如保温、照明、薪资、保险、货物损耗和税收等成本。
A retail fixed-income department operates in a similar fashion. I do not run to the wholesale, or institutional, market for every $10,000 worth of bonds that I sell. Instead, I will sell them "short" (that is, sell now and buy later), or I might suggest another bond that I do have in inventory. In practice, I buy in bulk various fixed-income products from the wholesale market and add them to my "shelves" which I call my inventory. Once I do that, I incur market risk, which I offset by hedging. Hedging involves neutralizing market risk so that I do not incur capital gains or losses as the market prices change. I also incur yield-curve risk and credit risk. I also maintain state-of-the-art computer and communication equipment. As well, there are the other basic costs, such as remuneration! Also, since most bonds do not trade every day, I resort to "matrix" pricing to at least provide a quotation. How do I do that? I do that by comparing one of those bonds to an actively traded benchmark issue, such as a Government of Canada bond of similar maturity, and adding a yield spread to that bond based on where I know or believe that they have been trading recently. I then compute a price. It is as if I know there are some TransCanada PipeLines (TRP) bonds down in the factory, but rather than keep you waiting, I price them and sell them to you now and go buy them later because I know what my relative cost will be. If I know that the "factory" contains none of what I am asked to sell, I will search everywhere for them or, more likely, suggest a similar bond
零售固定收益部门的运作方式与此类似。我不会为了每笔1万加元的债券交易都向批发或机构市场跑一趟，而是会选择“先卖后买”（即先出售后回购），或建议客户购买我手中已有库存的其他债券。实际上，我会从批发市场大量购入各种固定收益产品，将它们添加到被称为库存的“货架”上。一旦这样做，我就会面临市场风险，我通过对冲来抵消这种风险。对冲的目的是中性化市场风险，这样市场价格变动时，我就不会产生资本利得或亏损。此外，我还会承担收益率曲线风险和信用风险。我还需要维持最先进的计算机和通讯设备。当然，还有其他基本费用，比如薪酬！另外，由于大多数债券并非每天都有交易，我只能通过“矩阵定价”至少提供一个报价。我是怎样做到的？我是通过将这些债券与一个活跃交易的基准债券（例如，类似到期日的加拿大政府债券）进行比较，再根据最近这些债券的交易情况加上一个收益率利差，进而计算出价格。就好像我知道工厂里存有一些TransCanada PipeLines（TRP）债券，但为了不让您久等，我先给它们定价出售，然后再去回购，因为我清楚我的相对成本。如果我知道“工厂”里根本没有我被要求出售的债券，我就会到处搜寻，或者更可能地推荐一只相似的债券。
Even given all this, the markups from the wholesale fixed-income market to the retail market are amazingly small, meaning that individual investors can be well served by the fixed-income market.
即便如此，从批发固定收益市场到零售市场的加价依然十分微小，这意味着零售投资者在固定收益市场中也能够获得不错的服务。
This type of pricing is necessary since, and returning to the TRP example, there may be just one class of common shares outstanding, but there could be sixty or so different bond issues of different maturities, sizes, and features. There is just not enough liquidity to display a bid and an ask all the time in the same fashion as the equity market. The FI "makes a market" in the various instruments, willing to be long or short to accommodate investor interest. In addition, governments of all types borrow money in the bond market, and, of course, they do not have any common shares to trade!
这种定价方式是必要的，因为回到TRP的例子，虽然只有一类普通股，但可能存在大约六十种不同到期日、规模和特征各异的债券。市场流动性不足，无法像股票市场那样持续显示买入价和卖出价。金融机构“创造市场”时会根据投资者的需求，既可做多也可做空。此外，各级政府都要在债券市场融资，而且他们没有普通股可以交易！
TRANSFER PRICE
The transfer price is the price at which the fixed-income trading department transfers it to the lAs. To get paid, they must add a commission to this price in the case of an investor purchase, unless the transaction is in a fee-based account.
转让价格
转让价格是指固定收益交易部门将债券转交给投资顾问（IA）的价格。为了获得报酬，在投资者购买时，IA必须在该价格上加上佣金，除非交易是在收费账户中进行。
The bottom line is that the bond market functions as a clearing house between borrowers and lenders. For IAs to earn a living, in the case of client purchases, they raise the ask price received from the bond department and get paid the differential as a commission. Again, this does not occur in the case of fee-based accounts. This is not visible to the investor, although this may soon change. I will talk about initiatives in this area in the transparency discussion. The opposite occurs when clients sell, with IAs deducting from the bond desk's bid to create a commission. This is referred to as a "haircut" in the business, as you've just had a trimming!
总而言之，债券市场作为借款人和贷款人之间的“清算所”运作。为了赚取收入，在客户购买情况下，投资顾问会将固定收益部门的卖出价提高，加上差价作为佣金。这一过程在收费账户中并不存在，投资者看不见这一部分，虽然未来可能会有所改变。我将在有关透明度的讨论中提及相关举措。在客户出售时则相反，IA会从固定收益部门的买入价中扣除相应差额，作为佣金，这在行业中也被称为“扣发”，就像刚给您修剪了一下一样！
Furthermore, the less-liquid bonds, such as corporates and zero coupons, are most frequently quoted on a matrix basis. Since many of these instruments do not trade every day, they are priced in reference to an instrument that does. For the most part, Government of Canada bonds of different key maturities constitute the benchmarks by which other securities are priced. While I have included more on benchmarks later, I think it is important to mention them now, as the majority of fixed-income securities offered to investors are priced in relation to them.
此外，流动性较差的债券，如公司债和零息债券，通常采用矩阵报价。由于这些工具中很多并非每天都有交易，因此它们的定价参照的是交易活跃的债券。总体上，加拿大政府债券的关键到期期限构成了其他证券定价的基准。虽然后面我会更多地讨论基准债券，但我认为现在有必要提一下，因为大多数固定收益产品都是相对于它们来定价的。
The Bank of Canada is committed to building up very large and therefore liquid benchmark issues at the key maturities: two, three, five, ten, and thirty years. They are vital not only in pricing bids and offerings, but also in pricing new provincial and corporate issues when they come to market. The benchmarks form a valuable base level from which other bonds may be valued. For example, let us take a provincial bond: the Province of British Columbia 3.70 percent due December 18, 2020. It is valued by the market at 74 basis points above the relevant benchmark, the Canada 3.5 percent due June 1, 2020. (1 percent is divided into 100 pieces, each of which is called a basis point. In this case, the B.C. bonds at 74 basis points higher in yield than the Canadas are 74/100 of 1 percent higher. You will encounter the term "basis points" frequently throughout the book.) To trade these, a trader will observe where the Canadas are trading, add the 74 basis points to the benchmark yield, and then calculate the price for the B.C. bond. Let us say that the Canada 3.5 percent June 1, 2020, is trading at $102.49 to yield 3.1 percent. Now we add the 74 basis point spread and arrive at a yield of 3.84 percent for the B.C.s, which produces a price of $98.87.
加拿大央行致力于在关键到期期限（两年、三年、五年、十年和三十年）上建立规模庞大、流动性良好的基准债券。这些基准不仅在确定买入价和卖出价时至关重要，同时也作为新发行省债和公司债定价的参照。基准形成了其他债券估值的有价值基准。例如，考虑一只省债：不列颠哥伦比亚省3.70%债券，到期日为2020年12月18日。市场将其定价为比相关基准——加拿大3.5%债券（到期日为2020年6月1日）高74个基点。（1%可细分为100个基点，每个基点就是0.01%。在这个例子中，不列颠哥伦比亚省债券的收益率比加拿大政府债券高74/100，即0.74%。您在书中会经常遇到“基点”这一术语。）在交易这只省债时，交易员会查看加拿大政府债券的交易情况，加上74个基点的利差，从而计算出省债的价格。假设加拿大3.5%债券（2020年6月1日到期）以102.49加元交易，其到期收益率为3.1%。现在加上74个基点后的收益率为3.84%，从而得出不列颠哥伦比亚省债券的价格为98.87加元。
Thus, as the liquid, actively traded benchmark issues change in price and yield, so do all the matrixed bonds. The yield spread between the benchmarks and these bonds fluctuates in reaction to supply and demand factors, changes in the yield curve, and changing credit risk perceptions.
因此，随着活跃交易的基准债券在价格和收益率上发生变化，所有采用矩阵定价的债券也会随之波动。基准与这些债券之间的收益率利差因供需、收益率曲线变化以及信用风险认知改变而波动。
The role of investment dealers, then, is to make markets in a wide-ranging list of bonds, bidding for bonds for which there are no apparent buyers or short-selling bonds where they are not sure there are sellers. FIs sell bonds short all the time, either to accommodate demand when they know there will be a seller of the same bond soon, or to hedge long positions (quantities of bonds that they already own). They may also short-sell bonds if they think they have become expensive compared with some other bond. Thus, they are a buffer between the differing needs of a cross-section of bond market participants. These longs and shorts are all held in the dealers' inventories, which are typically segregated by type (money market, short-term Canadas, mid-term Canadas, long-term Canadas, provincials, strips, and corporates). The dealers hedge these inventories with offsetting transactions in the benchmark issues (or in the futures market) to eliminate or reduce market risk. Bond trading volumes are enormous, averaging approximately five times the daily amount of equity trading (approximately $38.4 billion). Why is this? First of all, the amount of bonds outstanding is huge, exceeding $1.9 trillion in Canada.
| Money Market (less than one year) | ||
|---|---|---|
| Treasury Bills | Federal | $ 174.90 |
| Provincial | $ 41.70 | |
| Bankers' Acceptances | $ 45.80 | |
| Commercial Paper | $ 53.20 | |
| Total Money Market | $ 315.60 | |
| Bond Market | ||
| Federal Government Bonds | Domestic | $ 404.30 |
| Foreign | $ 5.70 | |
| Provincial and Municipal Bonds | Domestic | $ 406.20 |
| Foreign | $ 118.30 | |
| Corporate Bonds | Domestic | $ 797.50 |
| Foreign | $ 247.60 | |
| Total Bonds | $ 1978.60 | |
| Grand Total Source: Bank of Canada |
$ 2,294.20 | |
| Money Market | |
|---|---|
| Government Treasury Bills | $ 7.33 |
| Bankers' Acceptances | $ 5.74 |
| Commercial Paper | $ 8.28 |
| Total Money Market | $ 21.35 |
| Bond Market | |
| Canadas | $ 29.36 |
| Crown Corporates, Provincials, and Municipals | $ 6.78 |
| Corporates | $ 1.99 |
| Strip Bonds | $ 0.29 |
| Total Bonds | $ 38.42 |
| Grand Total Source: Bank of Canada, IIAC |
$ 59.81 |
由此可见，投资经纪商的角色是为各类债券创造市场，即在没有明显买家时买入债券，或在不确定有卖家时先卖出债券。金融机构始终在做空债券，以满足如下需求：当他们知道很快会有相同债券的卖家出现，或为了对冲已有的多头头寸（即他们已经持有的债券数量）；亦或当他们认为某只债券相比于其他债券价格过高时进行做空。因此，他们在债券市场参与者各种需求之间起到了缓冲作用。这些多头和空头都计入经纪商的库存，这些库存通常按类别进行划分（货币市场、短期加拿大债券、中期加拿大债券、长期加拿大债券、省债、拆分债券和公司债）。经纪商通过在基准债券（或期货市场）上进行对冲交易来消除或减少市场风险。债券交易量非常庞大，平均大约是股票每日交易量的五倍（约384亿加元）。这是为什么呢？首先，加拿大未偿债券总额巨大，超过1.9万亿加元。
Corporations and governments issue bonds all the time for various reasons, such as rolling over maturing debt, paying off bank lines, funding deficits, and building new factories. Investors of all kinds (governments, pension funds, mutual funds, trust companies, life insurance companies, foreign investors, and individual investors) all have varying fixed-income needs, and these needs change over time. Some of these investors trade for speculative reasons; others think they can outsmart their peers by aggressive trading; while still others merely match the term of their assets and liabilities. In addition, new issues come to market that may be more attractive than bonds already owned As well, bonds mature, making money available for reinvestment, or as they shorten in term over time, investors may wish to sell them in order to buy ones with a longer term to maturity.
公司和各级政府不断发行债券，其原因包括：展期到期债务、偿还银行透支额度、填补预算赤字以及新工厂建设等。各种类型的投资者（政府、退休基金、共同基金、信托公司、人寿保险公司、外国投资者和个人投资者）都有不同的固定收益需求，而这些需求随时间变化。有些投资者出于投机目的进行交易；另一些则试图通过积极交易来超越同行；还有一些仅仅是为了匹配资产与负债的期限。此外，新债券不断进入市场，可能比已有债券更具吸引力；债券到期使资金可用于再投资，或者随着到期时间的缩短，投资者可能希望出售原有债券，转而购买期限更长的债券。
WHAT DOES THE BOND MARKET LOOK LIKE?
债券市场是什么样子的？
The bond market is largely invisible, being decentralized, over-the-counter, and with no post-trade disclosure in Canada yet. The United States has its Trade Reporting and Compliance Engine (TRACE) system and we are studying this approach now. I discuss this in more detail in the section on transparency beginning on page 51. It resembles an onion with a series of layers. At the heart of the Canadian bond market is the Bank of Canada, which is in charge of monetary policy and open-market operations in the foreign exchange, money market, and bond markets.
由于加拿大债券市场是分散的、场外交易且目前尚未有交易后披露，它大部分是“隐形的”。美国有其交易报告与合规引擎（TRACE）系统，加拿大目前正在研究这种模式。关于透明度的内容将在第51页开始的部分详细讨论。加拿大债券市场就像一层层洋葱。其核心是加拿大央行，负责货币政策以及外汇、货币市场和债券市场的公开市场操作。
Next come the money market "jobbers", whose role is to ensure the orderly maintenance of the money market, including the issuance of Government of Canada treasury bills. The money market is defined as securities issued with a term to maturity of one year or less. Treasury bills are obligations issued by the various governments. They are issued at a discount from their face value and mature at their face value so all the yield is in the amortization from that discounted amount.
接下来是货币市场“做市商”，他们的角色是确保货币市场的有序运作，包括加拿大政府国库券的发行。货币市场定义为到期日在一年或以内的证券。国库券是各级政府发行的票据，它们以低于面值的价格发行，到期时按面值赎回，因此所有收益均体现为贴现金额的摊销。
Then we have the primary dealers, many of whom are also jobbers. Among other things, they are required to bid for the auction of the Government of Canadas primary bond issues. They do the bulk of the underwriting of new provincial and corporate debt, make markets in the complete array of fixed-income products, and service the fixed-income needs of the various institutional and retail investors by maintaining extensive inventories and bidding and offering on all sizes of blocks of bonds. Individual trades can be in the hundreds of millions or as little as $5,000. The lion's share of the daily $38.42 billion trading volume takes place among the Big Six investment dealers (at the time of writing, they were RBC Dominion Securities, TD Securities, CIBC World Markets, BMO Nesbit Burns, Scotia Capital, and National Bank Financial) and their institutional and global customers, The market for individual investors is approximately 2 to 3 percent of this total. The other 97 to 98 percent is in the institutional area, where the bank-owned dealers (plus a few non-bank-owned dealers, such as Merrill Lynch Canada, Desjardins Securities, Casgrain and Co., Laurentian Securities, Penson, and HSBC) make wholesale markets in all the various fixed-income products to serve the investment needs of their institutional customers. These customers include life insurance companies, chartered banks, pension funds, mutual funds, investment counsellors, governments, and foreign investors.
然后是主要交易商，其中许多同时兼任做市商。除了其他职责外，他们还必须为加拿大政府主要债券发行的拍卖投标。他们承销大部分新发行的省债和公司债，在各种固定收益产品中创造市场，并通过维持庞大库存以及对各类规模债券进行买卖来满足机构和零售投资者的固定收益需求。单笔交易可能高达几亿加元，也可能只有5,000加元。日均384.2亿加元的交易量中，大部分发生在六大投资经纪商之间（截至撰写时，这六家为：RBC Dominion Securities、TD Securities、CIBC World Markets、BMO Nesbitt Burns、Scotia Capital和National Bank Financial）以及他们的机构和全球客户之间；而面向个人投资者的市场大约只占其中的2%至3%。其余97%至98%属于机构领域，由银行所有的经纪商（外加一些非银行拥有的经纪商，如Merrill Lynch Canada、Desjardins Securities、Casgrain and Co.、Laurentian Securities、Penson和HSBC）在批发市场上为其机构客户做市，交易各种固定收益产品。这些机构客户包括人寿保险公司、商业银行、退休基金、共同基金、投资顾问、各级政府和外国投资者。
PRIMARY DEALERS FOR BONDS
BMO Nesbitt Burns, Inc.
Casgrain and Co., Ltd.
CIBC World Markets Inc.
Desjardins Securities
Deutsche Bank Securities Ltd
HSBC Securities (Canada)
Merrill Lynch Canada Inc.
Laurentian Bank Securities Inc.
National Bank Financial Inc.
RBC Dominion Securities Inc.
Scotia Capital Inc.
The Toronto Dominion Bank
债券主要交易商
BMO Nesbitt Burns, Inc.
Casgrain and Co., Ltd.
CIBC World Markets Inc.
Desjardins Securities
Deutsche Bank Securities Ltd
HSBC Securities (Canada)
Merrill Lynch Canada Inc.
Laurentian Bank Securities Inc.
National Bank Financial Inc.
RBC Dominion Securities Inc.
Scotia Capital Inc.
The Toronto Dominion Bank
It is worth pausing to note that the money that these institutions have for investment represents the aggregate savings of individuals like you! Your money is mixed in with everyone else's, thus giving the institutions very large sums of money to invest and trade. A large percentage of this money is invested in fixed-income securities to satisfy actuarial requirements, match liabilities, and guarantee fixed returns. With large blocks of money to invest, these institutions command and receive the best prices. The investment dealers vie for this business: competitive tendering for bids and offerings is the norm, and individual trades exceeding $100 million are commonplace.
值得停下来思考的是，这些机构用于投资的钱代表了像您这样的个人储蓄的总和！您的资金与其他人的混合在一起，使得这些机构拥有巨额资金用于投资和交易。大量资金投资于固定收益证券以满足精算要求、匹配负债和保证固定回报。凭借着巨额资金的投资，这些机构能获得最优的价格。投资经纪商之间竞争十分激烈：竞标和报价通常成为常态，单笔超过1亿加元的交易也很常见。
Naturally, all of the bank-owned dealers serve individual investors, since they all have national sales forces of IAs. There are another 210 members of the self-regulatory body which goes by the unwieldy title of Investment Industry Regulatory Organization of Canada (IROC), who transact fixed-income securities. There are large, independent firms such as Blackmont Capital (now MacQuarie Private Wealth), Canaccord, and GMP Capital, as well as a host of small- and medium-sized investment dealers such as Odlum Brown, Haywood Securities, and Dundee Securities.
当然，所有银行所有的经纪商都服务于个人投资者，因为他们都拥有覆盖全国的销售团队。另有210个会员隶属于自律监管机构——加拿大投资行业监管组织（IROC），他们也进行固定收益证券的交易。还有大型独立公司，如Blackmont Capital（现为MacQuarie Private Wealth）、Canaccord和GMP Capital，以及许多中小型投资经纪商，如Odlum Brown、Haywood Securities和Dundee Securities。
Each of these firms has to find fixed-income products somewhere in order to satisfy their customers' needs, The bank-owned dealers help to meet these needs. They offer, via electronic delivery, retail quantities and prices of the various fixed-income products, TD Securities, Merrill Lynch, and RBC Dominion Securities are prominent in this area. In addition, Penson, Laurentian Securities, and HSBC also contribute to market making in this space. As well, a company called Perimeter CBID aggregates prices and offerings from a number of contributors and makes them available to all these same small dealers and entities. Several of the larger independents, such as MacQuarie, Dundee, Canaccord, and Odlum Brown, have their own specific fixed-income trading departments staffed by experienced personnel. They have sufficient capital and technology resources to assemble, maintain, and offer a wide range of fixed-income securities to meet the needs of their IAs customers.
这些公司都必须找到固定收益产品来满足客户的需求，银行所有的经纪商则帮助满足这些需求。他们通过电子传递的方式提供零售数量和价格的各类固定收益产品，TD Securities、Merrill Lynch和RBC Dominion Securities在这一领域中占有突出的地位。此外，Penson、Laurentian Securities和HSBC也在这方面做市。还有一家公司叫Perimeter CBID，汇总了许多小型经纪商和机构提供的价格和报价，并向所有这些小型经纪商公开。几家较大的独立机构，如MacQuarie、Dundee、Canaccord和Odlum Brown，都拥有专门的固定收益交易部门，由经验丰富的专业人员组成。他们拥有足够的资本和技术资源来搜集、维持并提供广泛的固定收益证券，以满足其投资顾问客户的需要。
My former firm, Blackmont Capital, for example, has a department of four professionals who have enough capital to maintain inventories of sufficient size to adequately serve the needs of their entire sales force. They manage these aggregates on a fully hedged basis to eliminate market risk for the firm and to offer competitive prices at all times. With an online, real-time trading system at their disposal, they can offer their own inventory plus fixed-income securities that they do not own. This is possible owing to the presence of actively traded, large bond issues for which there exists a known market.
例如，我之前所在的Blackmont Capital就设有一个由四位专业人士组成的部门，他们拥有足够的资本来维持足够规模的库存，以充分服务于其整个销售团队。他们对这些集合进行全对冲管理，以消除公司的市场风险，同时始终提供竞争性的价格。借助在线实时交易系统，他们不仅可以报价自己现有的库存，还可以对那些自己不持有的固定收益证券进行报价。这要归功于活跃交易的大型债券发行，市场对此有明确认知。
Knowing what spread they trade at in relation to one of the benchmark issues makes it easy to offer a security without owning it. In fact, the benchmark prices are fed electronically into this system as they change, ensuring that the IAs' customers are always seeing live prices. Also, in a typical sales force, some clients are selling securities that others will be buying. Knowing this, the trading department will keep and hedge the sold securities for later resale to its own sales force rather than to "the street," the large market-making investment dealers mentioned earlier. This is an efficient way to do business, and customers benefit through better prices. Running to and from the wholesale market for every small transaction is very expensive. Yet, that is what the smaller dealers must do, as they do not have the personnel, capital, or the inclination to keep an inventory themselves.
知道这些债券相对于基准发行的交易利差，就可以不必持有实物证券而报价出售。实际上，这些基准价格会实时通过电子系统传输，确保投资顾问的客户总是看到最新价格。此外，在典型销售团队中，一些客户正在出售证券，而其他客户则在购买。意识到这一点后，交易部门会保留并对冲已售出的证券，待后期转售给自己的销售团队，而非卖给“外部市场”上的大型做市投资经纪商。这是一种高效的业务方式，而客户也能因此享受更优的价格。对于每笔小额交易都跑去批发市场的费用非常高昂，而小型经纪商通常没有足够的人力、资本或意愿自建库存，因此不得不如此运作。
It is also worthwhile pointing out the different philosophies of the various investment dealers with respect to how they treat individual fixed-income investors. Most of the bank-owned dealers treat their retail customer base as a captive audience and therefore charge more for individual bonds than the smaller, more focused firms. What you need to know is whether the FI you are dealing with treats the retail fixed-income market as a profit centre or not. The best ones work at growing the business through value-added service and competitive prices. Make a point of ascertaining what approach your FI uses.
还值得指出的是，各投资经纪商对待个人固定收益投资者的理念不同。大多数银行所有的经纪商把零售客户视为“固定顾客”，因此对个人债券收取较高费用，而一些专注于这一领域的小型机构则不然。您需要了解的是，您所接触的金融机构是否将零售固定收益市场视为盈利中心。最优秀的机构致力于通过增值服务和竞争性的价格来扩大业务。务必弄清楚您所使用的金融机构采用哪种方式。
Also, there are interdealer brokers (IDBs) whose role is to act as middlemen, facilitating anonymous trades among the jobbers, primary dealers, and investment dealers. The most prominent ones in Canada are Shorcan (owned by the TMX) and Freedom (owned by Cantor Fitzgerald and the Canadian banks). The trades are done anonymously so that the dealer in question does not give up any trade secrets to his counterparties (read competitors). Also, it means that each dealer does not have to make multiple phone calls to attempt a transaction. The IDB displays everyone's bids and offerings electronically and pockets a brokerage fee on each transaction. These parties trade among themselves to offset transactions done with clients.
此外，还有交易商间经纪商（IDB），其作用是作为中间人，在做市商、主要交易商和投资经纪商之间促成匿名交易。加拿大较为知名的IDB有Shorcan（由TMX所有）和Freedom（由Cantor Fitzgerald及加拿大各大银行共同拥有）。这些交易是匿名进行的，这样交易方就不会将任何交易机密泄露给对手（即竞争者）。同时，也意味着每个经纪商无需打多个电话就可完成一笔交易。IDB会将所有人的买卖报价以电子方式显示，并从每笔交易中收取佣金。这些机构之间也会进行交易，以抵消与客户交易所产生的交易量。
Last, we come to the individual investor whose needs are served by the different FIs. Individuals have their own specific reasons for purchasing fixed-income products directly: to generate income, to plan for retirement, and to provide safety of principal. They may need income in a foreign currency, they may wish to speculate on the price movement of bonds, or they might want to invest some money for future educational needs. Direct investment by individuals in the bond market, including GICs and ETFs, totals several hundred billion dollars.
最后，我们回到个人投资者，他们的需求由上述不同的金融机构来满足。个人投资者购买固定收益产品的原因多种多样：生成收入、筹备退休以及保证本金安全。他们可能需要某种外币收入，可能希望押注债券价格走势，或者打算将资金投资用于未来的教育需求。个人直接投资债券市场（包括定期存款凭证和交易所交易基金）的规模达数千亿。
THE CASE FOR BONDS
支持选择债券的理由
Why go through the bother of purchasing individual fixed-income securities? Why not take the easy route and invest in a nice bond mutual fund or ETF? The answer to the second question is that it is not in your best interest to do so! Mutual bond funds and ETFs simply do not offer the certainty required in retirement planning; their performance is erratic, and the management fees are too high. I speak from experience. For five years I managed what is now the largest mutual bond fund in Canada.
为什么要麻烦去购买单只固定收益证券？何不选择方便的债券共同基金或交易所交易基金（ETF）呢？第二个问题的答案是否定的！债券共同基金和ETF根本无法提供退休规划所需的确定性；它们的表现波动较大，而且管理费用过高。我的经历可以证明这一点。曾有五年时间，我管理的是加拿大最大的债券共同基金。
Sadly, there are too few IAs with sound enough working knowledge of fixed-income markets. The line of least resistance for them is to recommend bond mutual funds because they are an easier sell and the fees are attractive. However, they are not the ideal choice for the individual investor. Here are five reasons to choose individual fixed-income products.
遗憾的是，具备扎实固定收益市场知识的投资顾问太少了。他们最省事的做法就是推荐债券共同基金，因为这更容易推销而且费用颇丰。然而，这并不是个人投资者的理想选择。以下是选择单只固定收益产品的五个理由：
Planning. Fixed-income products have specific maturity dates. That is, you know the exact date at which your principal will be returned to you and what your yield will be for the term that you hold this security. Contrast this with bond mutual funds: They do not have a specific maturity date, nor do they have a specified income level. Investors do not know what their investment will be worth at any moment or what it will be worth when they actually need their money back. Bond fund managers are constantly tinkering with their portfolios, shortening term, extending term, and trading for capital gains. This is not conducive to effective planning.
规划性。固定收益产品具有明确的到期日，也就是说，您清楚在何时能收到本金返还，并且知道在持有期间的收益率。而债券共同基金则没有具体的到期日，也没有明确的收入水平。投资者不知道在任何时刻投资值多少钱，更不用说在真正需要用钱的时候其价值是多少。债券基金经理常不断调整投资组合，缩短或延长期限，并通过交易赚取资本利得，而这并不利于有效规划。
Fees. Bond funds charge management fees averaging approximately 1.66 percent per annum! ETFs offer lower management expense ratios (MERs). This takes a serious bite out of an investor's income and return. Contrast that with individual products, where there is a one-time fee at the time of purchase (averaging 1/2 to 1 percent) with no further fees until they mature and the money is reinvested or if they are sold before maturity.
费用。债券基金的管理费平均大约为每年1.66%！ETF的管理费用比MER稍低，但仍然会严重影响投资者的收入和回报。相比之下，单只固定收益产品仅在购买时收取一次性费用（大约在0.5%至1%之间），之后直到债券到期或出售前都不会产生额外费用。
Performance. The long-term results of "professional" bond fund managers are not impressive, for a couple of reasons. First, it is a well-documented fact that no one is 100 percent sure of where interest rates are going. All forecasters, traders, and market commentators are right some of the time, but nobody is right all of the time. However, this does not stop portfolio managers from guessing using a technique with the more elegant name of "rate anticipation trading." It only takes a couple of bad guesses for performance to suffer. Second, there is indexing in the bond fund management business, too, as brave portfolio managers huddle around the different bond indices in order to look good in the performance game and earn those bonuses for their professional management. They strive to beat the index as well as more than half of their peers so they will be able to market above-average performance. Also, consider that bond funds are required to calculate an annual return since they do not have a fixed maturity date. Investors owning individual bonds do not have to worry about annual returns since their Yield and maturity date are known at the time of purchase. A good analogy is a baseball game. Individual investors in specific fixed-income securities know the outcome of the game before it starts even though the score (the annual return) may vary by inning. Bond fund holders have to worry every inning since they may have to leave the stadium before the end of the game without knowing the outcome.
表现。所谓“专业”债券基金经理的长期表现并不出色，这有两个主要原因：首先，众所周知没人能百分之百准确预测利率走向。所有预测者、交易员和市场评论员有时正确，但没人始终正确。然而，这并没有阻止投资组合经理用“预期利率交易”（听起来很高大上的说法）来进行押注，几次错误的猜测就会导致业绩下滑。其次，债券基金管理领域也存在追踪指数的情况，优秀的基金经理们忙于追赶各大债券指数，以期表现优异，从而获得丰厚奖金。他们努力要超越指数以及超过一半同行的表现，这就使得债券基金必须计算年度回报，因为其本身没有固定到期日。而单只债券的投资者则无需担心年度回报，因为购买时就已确定其收益率和到期日。可以类比为棒球比赛：单只固定收益证券的投资者在比赛开始前就知道最终结果，尽管各局的得分（年度回报）可能有所不同；而债券基金持有人则得每局都紧张，因为他们可能在比赛中途就不得不离场，却不知道最终结果如何。
It is difficult to have negative performance in the bond market.
在债券市场，很难出现负回报的情况。
Here are the annual performance results from 2002 for the broad Canadian Government Index and the Canadian Corporate Index as provided by Merrill Lynch Canada.
| |
2002 | 2003 | 2004 | 2005 | 2006 | 2007 |
|---|---|---|---|---|---|---|
| Government Index | 8.81% | 6.69% | 6.60% | 6.56% | 3.57% | 4.90% |
| Corporate Index | 8.66% | 8.52% | 7.32% | 6.04% | 4.35% | 1.35% |
| |
2008 | 2009 | 2010 | 2011 (to June 30) | ||
| Government Index | 11.31% | -1.31% | 5.76% | 1.69% | ||
| Corporate Index | 0.04% | 15.34% | 7.30% | 2.56% | ||
下面是2002年以来，加拿大政府债券指数和加拿大公司债券指数的年度表现数据（数据由Merrill Lynch Canada提供）。
Corporate bonds just barely turned in a positive return in 2008 while the only negative performance came from government bonds in 2009. The principal reason for bonds to return positive returns on a consistent basis is the interest paid on bonds and the reinvestment of that interest. Granted that bond yields fell on a net basis since 2002, nevertheless there were lots of negative months. The bond market is one market where investors are advised not to sell into weakness.
2008年公司债券的回报刚好转正，而政府债券在2009年出现了唯一的负回报。债券能够持续产生正回报的主要原因在于债券支付的利息和对该利息进行再投资。虽然自2002年以来债券收益率总体下降，但仍有不少负收益的月份。债券市场正是一个建议投资者不在低迷时抛售的市场。
Following is a table showing a group of Canada and corporate bonds with three-, five-, seven-, and ten-year maturities. Using current market yields, I increased the yield by 100 basis points or one full percent for a one- and two-year period. For good measure, I increased the yield by 200 basis points for the two-year period.
| |
Yield (7/26/11) |
Plus 1% 1 year later |
Plus 1% 2 year later |
Plus 2% 2 year later |
|---|---|---|---|---|
| Canada 2.25% Aug. 1, 2014 | 1.70% | -0.20% | 1.23% | 0.76% |
| Canada 2.75% Sep. 1, 2016 | 2.14% | -1.56% | 0.75% | -0.62% |
| Canada 4.25% Jun. 1, 2018 | 2.45% | -2.51% | 0.45% | -1.53% |
| Canada 3.25% Jun. 1, 2021 | 2.88% | -4.41% | -0.33% | -3.45% |
| BNS 3.35% Nov. 18, 2014 | 2.32% | 0.17% | 1.70% | 1.12% |
| Bell 4.64% Feb. 22, 2016 | 3.10% | 0.01% | 2.01% | 0.92% |
| H&R 5.00% Dec. 1, 2018 | 4.57% | -0.56% | 2.45% | 0.38% |
| Enbridge 4.26% Feb. 1, 2021 | 4.00% | -2.78% | 1.05% | -1.80% |
下表显示了一组加拿大债券和公司债券，具有三年、五年、七年和十年不同到期日。在当前市场收益率下，我对一至两年的收益率分别增加了100个基点（即1%）。为便于对比，对于两年的期限，我也增加了200个基点。
A few things stand out. For one, the lower the starting yield, the more negative the return for a given increase in yield. This makes sense as the income to be reinvested is less than that of higher yielding bonds. Thus, the corporate bonds would outperform all the government bonds for these scenarios.
有几点值得注意。首先，起始收益率越低，当收益率上升时回报的负面影响就越大。这很合理，因为再投资的利息收入较低，高收益债券在此情景下会优于所有政府债券。
The two-year total returns exceed the one-year returns for the same yield movement because there is one more year of compounding and because the bonds are now shorter in maturity by two years and thus less volatile.
其次，同样的收益率变动下，两年的总回报比一年的高，这是因为多一年复利效果，同时债券到期时间也因两年缩短而波动性降低。
Maturity Selection. Bonds come in a wide range of maturities, from thirty days to more than thirty years, allowing for appropriate retirement planning and ladder building (more on this in Chapter 8). Bond funds and ETFs do not have maturity dates so investors do not know how much money they will have when they need to redeem their units.
到期日选择。债券有从30天到30年以上不等的各种到期日，便于进行适当的退休规划和阶梯式投资（更多内容将在第8章讨论）。而债券基金和ETF没有到期日，投资者无法准确预知在需要资金时到底能获得多少钱。
Liquidity. Bonds can be sold at any time, should raising money become important or should other opportunities present themselves. Daily trading volume averages over $38 billion, with the major investment dealers maintaining bids and asks on the complete array of fixed income products that have been issued. Mutual funds can only be redeemed daily.
流动性。债券可以在任何时间出售，无论是因为急需资金还是有其他投资机会出现。日均交易量超过384亿加元，主要投资经纪商在所有已发行的固定收益产品中提供买入与卖出报价。而共同基金只能每日赎回一次。
BOND INDICES
债券指数
There are several bond indices in the Canadian bond market. One of the most widely used for bonds in Canada is the DEX Universe Bond Index™ produced by PC Bond (www.canadianbondindices.com). This index encompasses some 1,103 different bond issues totalling some one trillion dollars and is constantly being rebalanced so that it fairly represents the overall bond market. As of December 31, 2010, it consisted of 46 percent in federal bonds and federal guaranteed bonds, 27 percent in provincials and municipals; and 27 percent in corporates. The corporates are further weighted by credit rating. The average duration was 6.27 years. Duration < is a term that refers to the average term of the bond, taking into account the weight of the interest payments. Thus, duration is shorter than the term to maturity and is a measurement of the volatility of a bond (More on this later.) This index is further divided into maturities with 45 percent being one to five years, 24.2 percent from five to ten years, and the balance of ten years and longer at 30.8 percent. There are many other sub-indices as well.
加拿大债券市场中存在多个债券指数。其中一个在加拿大最被广泛使用的是由PC Bond（网址：www.canadianbondindices.com）编制的DEX Universe Bond Index™。该指数涵盖大约1,103个不同的债券发行，总额约为1万亿加元，并不断地重新平衡，以公平地代表整个债券市场。截至2010年12月31日，该指数中联邦及联邦担保债券占46%，省债和市政债占27%，而公司债占27%。公司债又根据信用评级进行权重分配。平均久期为6.27年。这里的“久期”指的是考虑到各期利息支付权重的平均到期期限，因此久期一般短于债券到期日，同时也是衡量债券波动性的指标（后续会详细讨论）。该指数还按到期日划分：45%为一到五年期、24.2%为五到十年期，剩余30.8%为十年以上期。还有许多其他子指数。
For the twelve months ending August 31, 2011, this index returned 5.35 percent while Canadian-managed bond funds returned a median of 3.50 percent. This gap is partly explained by the fees charged to the fund by the manager. This is called the management expense ratio (MER), which averaged approximately 1,7 percent in this period (source: globefund.com).
截至2011年8月31日的十二个月内，该指数的回报率为5.35%，而加拿大管理的债券基金中值回报率为3.50%。这种差距部分可以用基金管理人收取的费用来解释。这些费用称为管理费用比率（MER），在此期间平均约为1.7%（数据来源：globefund.com）。
What to do then? I referred in the introduction to a strategy called laddering, which is fully explained later. Suffice it to say here that laddering takes the guesswork out of interest rates, reduces fees, and, over time, outperforms the majority of bond fund managers. This is done with individual fixed-income securities of staggered maturities. Basically, it is the most effective way of dealing with reinvestment risk, as your investments are spread out over regular intervals. This approach eliminates the need to guess which way interest rates are going, as investing in bonds of different maturities avoids the risk incurred if all your funds were invested in one maturity and interest rates were very low when that investment matured. There will be more on this important method in Chapter 8.
那么该怎么办呢？我在引言中曾提到一种叫做“阶梯投资”的策略，这一策略将在后面详细解释。在此只需说，阶梯投资消除了对利率走势的猜测，降低了费用，并且长远来看能够超越大多数债券基金经理的表现。这是通过购买不同到期日的单只固定收益证券来实现的。基本上，这是应对再投资风险最有效的方法，因为您的投资分布在不同的时间间隔内。这种方法消除了如果所有资金都集中在同一到期日，而到期时利率又十分低时可能带来的风险。关于这一重要方法的更多内容将在第8章讨论。
It is in your best interest to take control of your financial future by arming yourself with the knowledge of how to invest in individual fixed-income products. Doing this will offer you greater certainty as to the future value of your money and cost you less in fees.
掌握单只固定收益产品的投资知识，您就能更好地掌控自己的财务未来。这样不仅能使您对资金未来价值拥有更大确定性，还能减少因各类费用带来的成本。
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