TRUNG TM NGHIN CU V O TO CHNG KHON

PHN TCH V U T TRI PHIU (Bi 1)

ThS. Nguyn Thy Hon Tel: (84 4) 553 5876 Email: hoan_nguyen@srtc.org.vn
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NI DUNG:
Kin thc c bn Li ch v Ri ro trong u t tri phiu Li sut tri phiu, ng cong li sut/cu trc k hn nh gi tri phiu

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A KIN THC C BN
1-Khi nim
Li thng k (li coupon) Mnh gi (Face value) Thi gian o hn (maturity)

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A KIN THC C BN
2 Phn loi tri phiu
K hn Nh pht hnh nh mc tn nhim Hnh thc thanh ton...

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A KIN THC C BN
2 Phn loi tri phiu K hn
Tri phiu ngn hn Tri phiu di hn Ch : K hn nh hng n bin ng gi ca tri phiu
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A KIN THC C BN
2 Phn loi tri phiu Nh pht hnh
Chnh ph Chnh quyn a phng Cng ty (trong nc, quc t)

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A KIN THC C BN
2 Phn loi tri phiu nh mc tn nhim/mc m bo
Tri phiu hng u t/TP hng u c Tri phiu c m bo bng ti sn Tri phiu khng c m bo ti sn

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A KIN THC C BN
2 Phn loi tri phiu Hnh thc thanh ton
Tri phiu khng tr li nh k (tri phiu Zero-coupon) Tri phiu tr li coupon nh k

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B LI CH V RI RO TRONG U T TRI PHIU

Li ch i vi cc ch th pht hnh Li ch i vi cc nh u t Li ch trong iu tit kinh t v m

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B LI CH V RI RO TRONG U T TRI PHIU

Ri ro li sut Ri ro ti u t Ri ro thanh ton Ri ro lm pht Ri ro t gi hi oi Ri ro thanh khon
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C LI SUT TRI PHIU

1 Li coupon (li sut danh ngha) 2 Li sut hin hnh 3 Li sut o hn (YTM) 4 Li sut mua li (YTC) 5 Li sut thc

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C LI SUT TRI PHIU

1 Li coupon (li sut danh ngha)
V d: Nu li coupon hng nm ca mt tri phiu c mnh gi 100.000 ng l 8.000 ng th li sut danh ngha ca tri phiu l bao nhiu?

8.000/100.000 = 0,08 (hay 8%)

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C LI SUT TRI PHIU

2 Li sut hin hnh
Li coupon so vi gi hin hnh ca tri phiu V d: Mt tri phiu mnh gi 100.000 ng, li sut danh ngha l 8%/nm hin ang c giao dch vi gi 103.000 ng, vy li sut hin hnh ca tri phiu ny l bao nhiu?

8.000/103.000 = 0,0777 (hay 7,77%)

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C LI SUT TRI PHIU

3 Li sut o hn (YTM)
Mc li sut m ti gi tr hin ti ca cc lung thu nhp t tri phiu ng bng vi gi ca tri phiu. V d: Mt tri phiu mnh gi 100.000 ng, thi gian o hn l 2 nm, li coupon 8%/nm, hin ang c bn vi gi 103.000 ng. Tnh li sut khi o hn ca tri phiu?
P =

t=1

C M 8 . 000 8 . 000 100 . 000 + = + + = 103 . 000 (1 + y ) t (1 + y ) n (1 + y ) (1 + y ) 2 (1 + y ) 2

y = 6,36% = YTM
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C LI SUT TRI PHIU

4 Li sut mua li (YTC)
Tng t nh YTM, ch khc, YTC c tnh vo thi im khi tri phiu c gi mua. V d:
Mt tri phiu mnh gi 100.000 ng, thi gian o hn l 2 nm, li coupon 8%/nm, hin ang c bn vi gi 103.000 ng. Gi s sau mt nm tri phiu c gi mua vi gi 105.000 ng (khng tnh li). Tnh li sut mua li ca tri phiu?

C gicall 8.000 105.000 P= + = + = 103.000 t nc (1 + y) (1 + y) (1 + y) t =1 (1 + y)

nc

YTC = 9,71%
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C LI SUT TRI PHIU

5 Li sut thc
V d: Tri phiu k hn 2 nm, mnh gi 100.000 ng, li coupon 8%/nm. Gi s sau mt nm t khi pht hnh, tri phiu c giao dch vi gi 101.000 ng, tnh li sut thc nu u t tri phiu v nm gi n khi o hn?

Y=

100 .000 101 .000 + 8.000 = 0,0693 101 .000

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C LI SUT TRI PHIU

Cu trc k hn ca li sut
Mi quan h gia li sut o hn v thi gian n khi o hn ca tri phiu th hin thng qua ng cong li sut (yield curve) Ch : thng thng li sut ngn hn bin ng mnh hn li sut di hn ng cong li sut dc ln

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D NH GI TRI PHIU
c tnh cc dng tin s nhn c trong tng lai c tnh li sut i hi ph hp

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D NH GI TRI PHIU
1 NH GI TRI PHIU THNG THNG Gi tr ng tin theo thi gian:
FV PV= (1+ r)n
PV = gi tr hin ti FV = gi tr tng lai n = s k r = li sut nh k (yu cu) t = s k cho ti khi nhn li A = dng tin u mi k

FV = PV (1 + r ) n
Gi tr ca cc dng tin u
n

At A 1 = 1 PVA = t (1 + r ) r (1 + r )n t =1
n

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(1 + r )n 1 FVA = A t (1 + r )t = A r t =1
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D NH GI TRI PHIU
Cng thc tnh gi tri phiu:
Gi tr TP = Gtr hin ti ca
cc khon coupon

+ Gtr hin ti ca

mnh gi TP

C3 C1 C2 Cn M P= + + + ....+ + 2 3 n 1 + r (1 + r) (1 + r) (1 + r) (1 + r)n

hay

Ct M P= + t (1 + r ) (1 + r )n t =1
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P = gi tri phiu n = s k C = li coupon r = li sut nh k (yu cu) M = gi tr mnh gi t = s k cho ti khi nhn li

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D NH GI TRI PHIU
Nu cc khon li coupon bng nhau
1 1 (1 + r ) n PVC = C r

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D NH GI TRI PHIU
nh gi tri phiu Zero-coupon c k hn 5 nm, mnh gi 1 triu ng. Li sut yu cu ca th trng l 7,5%/nm?
M 1 . 000 . 000 P = = = 696 . 558 n 5 (1 + r ) ( 1 + 0 , 075 )

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D NH GI TRI PHIU
Gi s bn d nh mua tri phiu mnh gi 1 triu ng, tri phiu s o hn trong 10 nm na, li coupon l 9%/nm, tr li theo nm. Tnh gi ca tri phiu nu:
Li sut yu cu ca th trng l 8%/nm Li sut yu cu ca th trng l 12%/nm Li sut yu cu ca th trng l 9%/nm

Nhn xt kt qu tnh c?
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D NH GI TRI PHIU
Gi ca tri phiu nu:
Li sut yu cu ca th trng l 8%/nm

Ct M P= + t (1 + r )n t =1 (1 + r )

Ct M 1 1 M P0 = + + = C 1 10 10 t (1 + r ) (1 + r ) r (1 + r ) (1 + r )10 t =1
10

P0 = 1,0671 tr
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D NH GI TRI PHIU
Gi ca tri phiu nu:
Li sut yu cu ca th trng l 12%/nm

Ct M P= + t (1 + r )n t =1 (1 + r )

Ct M 1 1 M P0 = + + = C 1 10 10 t (1 + r ) (1 + r ) r (1 + r ) (1 + r )10 t =1
10

P0 = 0,83049 tr
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D NH GI TRI PHIU
Mi quan h gia li coupon, li sut yu cu v gi:
Li sut coupon < li sut theo yu cu : gi < mnh gi Li sut coupon > li sut theo yu cu : gi > mnh gi Li sut coupon = li sut theo yu cu: gi = mnh gi

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D NH GI TRI PHIU
Mi quan h gia li sut yu cu v gi:
Gi v li sut yu cu ca th trng c quan h ngc chiu

Mi quan h gia gi tri phiu v thi gian khi li sut khng thay i:
Cng gn thi gian o hn, gi tri phiu cng tin v mnh gi

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PHN TCH & U T TP (Bi 2)

nh gi tri phiu chuyn i o lng tnh bin ng gi ca tri phiu Chin lc trung ha ri ro li sut Bi tp ng dng

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BI TP
Bi tp n cui chng Gi s bn ang s hu mt loi tri phiu c mnh gi 1triu ng, c pht hnh t nm 2002, thi gian o hn l 10 nm (31/12/2012), li coupon tr cui hng nm l 8,5%/nm. Li sut yu cu ca th trng l 10%/nm. Hy xc nh gi tr hin ti ca tri phiu ny? (vit cc cch nh gi tri phiu)
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