NH GI TRI PHIU

Trnh by: ThS. Phm Quc Vit

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

Ri ro trong u t tri phiu

Ri Ri Ri Ri Ri ro ro ro ro ro thanh ton (Default Risk) li sut (Interest Rate Risk) lm pht (Inflation Risk) thanh khon (Liquidity Risk) t gi hi oi (Exchange Rate Risk)

Ri ro thanh ton (Default Risk)

L ri ro thua l ca ngi nm gi tri phiu khi t chc pht hnh khng thanh ton y , ng hn n gc hoc/v tin li theo nh k. Phng chng:
Xp hng tn nhim (credit rating) m bo bng ti sn hoc bo lnh ca bn th ba Nghin cu tnh hnh hot ng ca t chc pht hnh: thng qua phn tch c bn

Xp hng tn nhim (Credit rating)

Moodys Aaa Aa A Baa Ba B Caa Ca C S&P AAA AA A BBB BB B CCC CC C D M t Cht lng cao nht (ri ro v n thp nht) Cht lng cao Trn trung bnh Trung bnh Di trung bnh u c Nhiu ri ro v n u c cao Cht lng thp nht

Ri ro li sut (Interest Rate Risk)

L ri ro b gim gi cc tri phiu ang nm gi khi li sut th trng tng. Ch bo: bin ng li sut trn th trng tin t. Nguyn nhn chnh: chnh sch tin t ca NHNN. Tc ng n tri phiu li sut c nh: Thc o ri ro li sut l thi gian o hn bnh qun (Duration D). Nu D cng ln th ri ro li sut ca tri phiu cng ln. Biu hin c th:
Thi gian o hn cng di th nh hng ca li sut cng ln. Li sut cung phiu (li sut danh ngha) cng thp th nh hng ca li sut cng ln.

t tc ng n tri phiu li sut th ni.

Ri ro lm pht (Inflation Risk)

Lm pht lm xi mn sc mua ca ng tin, gy tc ng ln li sut chit khu k vng. Lm pht tng lm gi tri phiu c xu hng gim. Li sut danh ngha = li sut thc + t l lm pht V mi ngi u k vng mc li sut thc dng, nn nhn chung li sut danh ngha c xu hng bin ng t l vi lm pht. Tc ng tng t nh li sut th trng.

Ri ro thanh khon (Liquidity Risk)

L ri ro khng bn li c chng khon, hoc bn li vi chi ph cao. Lin quan n mc hot ng ca th trng tri phiu th cp. Tc ng n nh u t t chc mnh hn n nh u t c nhn (vn c xu hng nm gi tri phiu n ngy o hn).

Ri ro t gi hi oi (Exchange Rate Risk)

Nh u t dng ng tin ny u t vo tri phiu pht hnh bng ng tin khc. Ri ro hi oi xy ra khi t gi hi oi gia hai thi im u t v rt vn l khc nhau, lm gim gi tr ca vn u t ban u. V mt l thuyt, t gi s vn ng theo hng b chnh lch li sut gia hai ng tin. Trong thc t, hot ng kinh doanh chnh lch (arbitrage) li sut vn xy ra do chnh sch iu hnh t gi ca mt s quc gia, do ro cn i vi dng tin vo v dng tin ra (i vi cc ng tin cha t do chuyn i). Ri ro ny nh hng n u t qua bin gii.

nh gi tri phiu (Bond Valuation)

V nguyn tc, nh gi tri phiu l qu trnh xc nh gi tr cng bng (fair price) ca tri phiu. Gi tr ny bng vi gi tr hin ti ca cc dng tin thu c trong tng lai, c chit khu theo mt li sut ph hp. Li sut dng chit khu (cn c gi l li sut th trng khi u t vo mt tri phiu c th) c th c tnh da trn li sut ca tri phiu chnh ph cng k hn v thi im o hn, cng thm phn b ri ro.

nh gi tri phiu li sut c nh

nh gi ti k lnh 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)

PV = PVC + PVF Trong

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?

nh gi tri phiu gia hai k lnh li

Gi tri phiu = gi tr hin ti ca tri phiu ti thi im nh gi li thuc v ngi bn Nu gi:
D thi gian ca mt k lnh li Tcs thi gian t u k lnh li n thi im nh gi v

Tcs f = D

Hin gi tri phiu:

PV = (1 + R ) ( PVC + PVF )
f

Li thuc v ngi bn: Cf Gi tri phiu:

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.

nh gi tri phiu li sut th ni

Li sut tri phiu = li sut th trng + khon chnh lch li sut c nh Do :
Gi tri phiu = gi chng khon tham chiu + dng tin chnh lch Gi chng khon tham chiu = mnh gi (do li sut tri phiu bng li sut th trng) Dng tin chnh lch c nh gi tng t nh PVC

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.

nh gi tri phiu chuyn i

V bn cht, tri phiu chuyn i l mt quyn la chn kiu chu u (European Option). mua tri phiu chuyn i, nh u t b qua chi ph c hi l mua tri phiu cng cng mc ri ro v cng k hn, nhng li khng c kh nng chuyn i. Ph quyn la chn trong trng hp ny chnh l chnh lch gi tr hin ti cc khon li m nh u t thu c khi mua 2 loi tri phiu trn. Gi chuyn i = mnh gi tri phiu : t l chuyn i V vy, cng thc nh gi tri phiu chuyn i c xc lp theo m hnh Black Scholes dng nh gi quyn la chn.

o lng li sut (yield) ca tri phiu

Li sut ca tri phiu l mt s tng i (thng tnh bng phn trm), o lng mc sinh li bng tin ca ngi s hu chng khon. Thng thng li sut khng bao gm bin ng gi chng khon gia hai thi k, nh khi tnh mc sinh li (return). C nhiu loi li sut khc nhau
Li sut coupon (cn c gi l li sut danh ngha nominal yield), c tnh bng t l phn trm tin li coupon so vi mnh gi tri phiu. Li sut hin hnh (current yield) c tnh bng t l phn trm tin li coupon so vi hin gi tri phiu. Li sut o hn (yield to maturity YTM)

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 )

iu kin c c li sut o hn YTM

Cc khon li nh k phi c ti u t theo ng li sut ny Nh u t phi gi tri phiu cho n ngy o hn Nh u t c thanh ton n gc theo mnh gi khi o hn

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?

Mi quan h gia cc mc li sut

Khi mt tri phiu c bn vi gi chit khu (at discount - thp hn mnh gi) th li sut o hn > li sut hin hnh > li sut danh ngha Khi mt tri phiu c bn vi gi bng mnh gi (at par) th li sut o hn = li sut hin hnh = li sut danh ngha Khi mt tri phiu c bn theo gi ph tri (at premium - cao hn mnh gi) th li sut o hn < li sut hin hnh < li sut danh ngha

O LNG BIN NG GI TRI PHIU

Trnh by: ThS. Phm Quc Vit

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.

Cu trc k hn (yield curve) ca li sut

Nhng tri phiu c cng tnh trng v ri ro v n, thanh khon v thu thu nhp, nhng nu c k hn thanh ton khc nhau, s c cc li sut khc nhau. y gi l cu trc k hn ca li sut. Tp hp li sut ca cc tri phiu c k hn thanh ton khc nhau (nhng cng tnh trng v ri ro, thanh khon v thu thu nhp) c gi l ng cong li sut, m t cu trc k hn cho mt loi tri phiu ring bit. Do tnh cht phi ri ro, cc tri phiu kho bc thng c m t cu trc k hn, v lm ch bo cho bin ng li sut trong tng lai.

Cc ng cong li sut

Thi gian o hn bnh qun (Duration)

L thi gian o hn bnh qun gia quyn ca cc khon thu nhp bng tin t tri phiu, vi quyn s l hin gi ca chng. Dng o bin ng gi tri phiu khi li sut th trng thay i. C hai loi thi gian o hn bnh qun, nh Macaulays Duration (1938), Fisher-Weil Duration (1971). Nhng Macaulays duration c s dng ph bin hn v tnh n gin ca cng thc.

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.

Tnh Duration trong mt s trng hp c bit

Tri phiu khng c li nh k (zero coupon): D = n Tri phiu vnh cu: D = (1+R)/R

Hn ch ca Duration khi c lng bin ng gi tri phiu

 li (Convexity)
li bng o hm bc 2 ca P theo R, chia cho P: 2

d P K= 2 P.dR

Cng thc

n t (t + 1)C n(n + 1) F 1 + K = t +2 n+2 P t =1 (1 + R) (1 + R)

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

c lng bin ng gi tri phiu khi li sut bin ng ln

Theo Taylor:

f ( x) f ( x0 ) =
k =1

f ( k ) ( x0 ) ( x x0 ) k + Rn ( x) k!
2

P 1 R R ) = MD.R + K ( P ' R + P" 2 2 P P

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

Nu R tng 1% th gi tri phiu A bin i bao nhiu?

Hn ch ca s dng MD v K khi c lng bin ng gi

MD v K c s dng da trn mt s gi nh:
ng cong li sut l phng ng cong li sut dch chuyn song song khi li sut th trng bin ng Cc dng tin ca tri phiu khng thay i khi li sut th trng thay i

V d 1: C
1/1/10 1/7/10

C
1/1/11

C F
1/7/19

R = 12,5%/nm = 6,25%/na nm C = mnh gi x RC x thi gian = 1.000.000 x 10,5% x 0,5 = 52.500 S k tr li n = 19

C P = PVC + PVF = 1 (1 + R) n + F (1 + R) n R

= 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

= 196.652,95 196.653 > 190.000 Vy, nn mua tri phiu ny.

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

10/09 10/10 10/11 10/12 .

F = 100, RC= 7,125%/nm, P = 104,125 C = 7,125, n = 6 Gi y = YTM

C F n P = 1 (1 + y ) + y (1 + y ) n C F n K = 1 (1 + y ) + P n t y (1 + y )

]
]

Vi y1= 7,125%, K1 = 100 104,125 = -4,125<0 Vi y2= 6%, K2 = 1,4070>0 V vi y th K = 0, do :

y y1 y y K1 = 2 1 y = y1 ( y2 y1 ) 0 K1 K 2 K1 K 2 K1

Lu : y2 < y < y1 Kt qu y= 6,29%

V d 6: a) F=1.000.000 , R = 9,5%/nm, n = 8 F P= n (1 + R ) P= 483.823,60 b) nu P = 450.000 , tm R

R=
n

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

Hi D=? Tnh C=100 x 0,07125 = 7,125$

n 1 2 3 4 5 6 6 Tng CF (1+R)^(-n) 7.125 0.9357 7.125 0.8755 7.125 0.8192 7.125 0.7665 7.125 0.7172 7.125 0.6710 100 0.6710

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

Vy, D = DP/P= 5,0926 MD=D/(1+R) = 4,765 $D = MD x P = 482,20 P-$DR=-482,20 x (0,0650,06875) P1,81$

V d 8: F=1 tr..; RC=10%pa => C=100.000 R=12,5%pa; n=3 Tnh li K.

1x 2 xC 2 x3 xC 3 x 4 xC 3 x 4 xF + + + 3 4 5 (1 + R ) (1 + R ) (1 + R) (1 + R ) 5 K= P
P= C 1 (1 + R ) 3 + F (1 + R ) 3 R

[ ] Vi Vy P = 940.466,39, v K= 7.840.105,68/P = 8,3364

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