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Bond Valuation
Bond Valuation
K hiu s dng
F mnh gi tri phiu P gi tri phiu C tin li nh k RC li sut tri phiu R li sut chit khu n s k tr li
C C C F P= + + ... + + 2 n n 1 + R (1+ R) (1 + R) (1 + R)
Hoc di dng rt gn
F C n P = 1 (1 + R) + n R (1 + R)
C C n PVC = = 1 (1 + R) i R i =1 (1 + R )
F PVF = n (1 + R)
V d minh ho
V d 1: tri phiu mnh gi 1 triu ng, k hn 10 nm, li sut 10,5%/nm, tr li 6 thng/ln, pht hnh vo ngy 1/7/2009. Vo ngy 1/1/2010, li sut th trng l 12,5%, gi tri phiu ny l bao nhiu? V d 2: Cng tri gio dc c mnh gi 200.000 ng, thi gian o hn l 5 nm, c li sut gp l 40%/5 nm, cn 3 nm na o hn, hin ang rao bn gi 190.000 ng. Vi li sut tit kim 3 nm ang l 12,5%/nm, v trn quan im li sut u t tri phiu v gi tit kim l nh nhau, c mua c tri phiu ny khng, v sao?
Tcs f = D
PV = (1 + R ) ( PVC + PVF )
f
P = (1 + R ) ( PVC + PVF ) Cf
f
V d minh ha
V d 3: Gi s ngn hng bn ang s hu mt lng tri phiu chnh ph pht hnh ngy 25/01/2007, gim c ca bn ang nh bn chng vo ngy hm nay. Bit rng mnh gi tri phiu l 100.000 ng, li sut tri phiu l 8,2%/nm, tr li hng nm, thi gian o hn tri phiu l 5 nm v li sut dng chit khu l 12,5%/nm. Bn hy gip gim c ca mnh nh gi tri phiu trn.
V d minh ha
V d 4: Cng ty CP ABC va pht hnh tri phiu c F=1 tr., k hn 5 nm, tr li hng nm, li sut bng bnh qun LS tin gi tit kim 12 thng tr sau ca VCB, BIDV, ICB, VBARD cng thm 4%/nm. Vi li sut th trng khi u t tri phiu ny l LS bnh qun (Hin l 12,5%/nm) cng 1,5%/nm, hy nh gi tri phiu trn.
Li sut o hn YTM
L mc li sut chit khu cho tng gi tr hin ti ca cc dng tin thu c trong tng lai bng vi gi th trng ca tri phiu. Ni mt cch khc, y chnh l t sut hon vn ni b (Internal Rate of Return IRR) ca hot ng u t vo tri phiu theo gi quan st. Do , YTM y l nghim phng trnh:
C C C F + + ... + + P= 2 n n (1 + y ) (1 + y ) (1 + y ) (1 + y )
V d minh ha
V d 5: Tri phiu quc t do Chnh ph Vit Nam pht hnh vo thng 10/2005 vi mnh gi l 100 USD, li sut l 7,125%/nm, tr li hng nm, thi gian o hn l 10 nm. Vo thng 10/2009, gi tri phiu ny l 104,125 USD. Hy xc nh li sut o hn ca tri phiu ny. V d 6: cho tri phiu zero coupon c mnh gi 1 triu ng, thi gian o hn l 10 nm. Tri phiu lu hnh c 2 nm. Hy xc nh gi tri phiu ny, nu li sut yu cu ca bn l 9,5%/nm. Trng hp bn mua c tri phiu ny vi gi 450.000 ng th li sut o hn ca bn l bao nhiu?
Cu trc ca li sut
Cu trc ri ro ca li sut. Cu trc k hn ca li sut
Cu trc ri ro ca li sut
Ri ro v n (default risk): Khong chnh lch gia li sut tri phiu phi ri ro v tri phiu c ri ro c gi l mc b ri ro (risk premium). Mt tri phiu c ri ro v n lun c mc b ri ro dng, v vic ri ro v n gia tng s lm gia tng mc b ri ro ny. Thanh khon (liquidity): Mt ti sn c thanh khon cao s c a chung hn, lng cu cao s dn n gim li sut. Thu thu nhp (income tax): mt s tri phiu chnh ph cho ngi nm gi quyn min thu thu nhp i vi tin li tri phiu, lm li sut tri phiu gim i, so vi cc loi tri phiu khng c hng u i v thu.
Cc ng cong li sut
1C nC nF 2C (1 + R ) + (1 + R) 2 + ... + (1 + R ) n + (1 + R ) n D= P
Bin ng gi v Duration
Ta c: dP/P = -DdR/(1+R) Li t thi gian o hn bnh qun iu chnh (Modified Duration) l MD = D/(1+R), ta c: dP/P = -MDdR Ngoi ra, ta c thm Dollar Duration $D = MD.P, khi : dP = - $DdR
V d minh ha
V d 7: Tri phiu quc t do Chnh ph Vit Nam pht hnh vo thng 10/2005 vi mnh gi l 100 USD, li sut l 7,125%/nm, tr li hng nm, thi gian o hn l 10 nm. Vo thng 10/2009, li sut th trng dng chit khu i vi tri phiu ny l 6,875%/nm. Hy xc nh thi gian o hn bnh qun ca tri phiu ny. Nu bt ng vo thi im , do thng tin cng b nh mc xp hng ca Vit Nam tng ln, lm cho li sut chit khu t ngt gim cn 6,5%/nm, th gi tri phiu ny s bin ng bao nhiu?
Mt ngn hng c tng ti sn l 200 t ng, trong c 30 t ng l vn t c. Vn i vay c thi gian o hn bnh qun l 6 thng. Tng ti sn c thi gian o hn bnh qun l 10 nm. Bit li sut chit khu l 7%/nm, hy xc nh im v ca ngn hng.
li (Convexity)
li bng o hm bc 2 ca P theo R, chia cho P: 2
d P K= 2 P.dR
Cng thc
V d minh ha
V d 8: Tri phiu chnh ph pht hnh vo thng 3/2008, thi hn 5 nm, mnh gi 1 tr.., li sut 10%/nm, tr li hng nm. Vi li sut th trng vo thng 3/2010 l 12,5%/nm, hy tnh li ca tri phiu ny.
Mt s trng hp c bit
Tri phiu khng c li nh k (zero coupon):
n(n + 1) K= 2 (1 + R)
Tri phiu vnh cu
2 K= 2 R
f ( x) f ( x0 ) =
k =1
f ( k ) ( x0 ) ( x x0 ) k + Rn ( x) k!
2
V d minh ha
V d 9: Tri phiu zero coupon A c: n=4; F=100.000; li sut yu cu R=9%. Hy xc nh:
Gi tri phiu ny Thi gian o hn bnh qun D Thi gian o hn bnh qun iu chnh MD li K
V d 1: C
1/1/10 1/7/10
C
1/1/11
C F
1/7/19
= 890.567,34 890.567
V d 2:
F C
0 1 2 3 RC=40%/5 nm, F= 200.000, R=12,5%/nm, s k tr li n = 3 C = Mnh gi x li sut tri phiu x thi gian = 200.000 x 0,4 x 1 = 80.000
F +C P= (1 + R ) n
V d 3: C
25/1/10 22/3/10 25/1/11
F C
25/1/12
Thi gian k lnh li D = 365 Thi gian t u k n hin ti TCS=56 T l thi gian f = TCS/D 0,1534 Hin gi tri phiu: PV = (1+R)f(PVC+PVF)
PV = (1 + R ) f ( C C F + + ) 2 2 1 + R (1 + R ) (1 + R )
Li thuc v ngi bn = Cf Gi tri phiu P = PV - Cf C=8.200, R=12,5%, F=100.000 PV = 94.471,83 v Cf = 1.257,88 Vy P = 93.213,95
V d 4: Gi tri phiu = gi tham chiu + Tng hin gi dng tin chnh lch = F + PVC RC = 4%-1,5%=2,5% C = 1.000.000 x 2,5%= 25.000 R = 12,5% + 1,5% = 14% C C C C C 2 3 4 5 C PVC = 1 (1 + R) 5 R PVC=271.315,83 Gi tri phiu = 1.271.315,83 1
V d 5: C C C F C
10/15
]
]
F F 1 = P P
1/ n
R = 10,5%/nm
V d 7:
F=100$; RC=7,125%pa; n=6; R=6,875%pa
PVCF DP 6.6667 6.6667 6.2378 12.4756 5.8366 17.5097 5.4611 21.8444 5.1098 25.5490 4.7811 28.6866 67.1032 402.6192 101.1962 515.3512
V d 9: F=100.000; n=4; R=9% P=F(1+R)-n=70.842,52 D=n=4 MD=D/(1+R)=3,67 K=n(n+1)/(1+R)2= 16,83 P K (R) 2 MDR P 2 = - 0,036 P -0,036 x 70.842,52 = - 2.550,33 PP-P => P= P+P=68.292,19