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định giá trái phiếu (bond) PDF
định giá trái phiếu (bond) PDF
+
=
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=
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+ +
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=
) 1 (
1 1
) 1 ( ) 1 (
....
) 1 ( ) 1 (
1
2 1
) ( ) (
) 1 ( ) 1 (
....
) 1 ( ) 1 (
, ,
2 1
n k n k
n
d
n
d d d
d d
PVIF MV PVIFA I
k
MV
k
I
k
I
k
I
V + =
+
+
+
+ +
+
+
+
=
Chng trnh Giang day Kinh te Fulbright
Nien khoa 2006-2007
Phan tch Tai chnh
Bai oc
nh gi tri phiu
6
Gi s bn cn quyt nh gi ca mt tri phiu c mnh gi l 1 triu ng hay 1000 nghn
ng, c hng li sut 10% trong thi hn 9 nm trong khi nh u t i hi t sut li
nhun l 12%/nm. Gi ca tri phiu ny xc nh nh sau:
Trong li ca tri phiu l I = MV(k
c
) = 1000(10%) = 100, t sut li nhun nh u t
yu cu l k
d
= 12% v thi hn ca tri phiu l n = 9 nm. S dng cng thc tnh hin gi
ca mt s tin v cng thc tnh hin gi ca dng tin u ( hc trong bi 2), bn xc
nh c:
T xc nh V= 100(5,328) + 1000(0,361) = 893,8 nghn ng. S dng m hnh DCF
trn y bn nh gi tri phiu, vi nhng tnh cht nh va m t, l 893.800 ng. y
l gi tr l thuyt ca tri phiu, tc l gi tr m bn c c khi p dng m hnh nh gi.
Nu trn th trng, tri phiu c giao dch mc gi trn mc gi ny, iu c ngha
l tri phiu ang giao dch trn mc gi tr l thuyt ca n, bn nn bn tri phiu. Ngc
li, nu trn th trng tri phiu ang giao dch di mc gi bn nh ra, c ngha l tri
phiu ang giao dch di mc gi tr l thuyt ca n, bn nn mua tri phiu ny. Nhiu
ngi cng nh gi v quyt nh nh bn, kt qu l tri phiu s ln gi v khi bn li
bn tri phiu ra v kim li nhun nh k vng.
3.3 nh gi tri phiu c k hn khng hng li nh k
Tri phiu k hn khng hng li nh k (zero-coupon bond) l loi tri phiu khng c tr
li nh k m c bn vi gi thp hn nhiu so vi mnh gi. Ti sao nh u t li mua
tri phiu khng c hng li? L do l khi mua loi tri phiu ny h vn nhn c li
tc, chnh l phn chnh lch gia gi mua gc ca tri phiu vi mnh gi ca n.
Phng php nh gi loi tri phiu ny cng tng t nh cch nh gi loi tri
phiu k hn c hng li, ch khc ch li sut y bng khng nn ton b hin gi
ca phn li nh k bng khng. Do vy, gi c ca tri phiu khng hng li c nh
gi nh l hin gi ca mnh gi khi tri phiu o hn.
) ( 1000 ) ( 100
) 12 , 0 1 (
1000
) 12 , 0 1 (
100
....
) 12 , 0 1 (
100
) 12 , 0 1 (
100
9 , 12 9 , 12
9 9 2 1
PVIF PVIFA V + =
+
+
+
+ +
+
+
+
=
) (
) 1 (
,n k
n
d
d
PVIF MV
k
MV
V =
+
=
328 , 5
) 12 , 0 1 ( 12 , 0
1
12 , 0
1
) 12 , 0 1 (
1
....
) 12 , 0 1 (
1
) 12 , 0 1 (
1
9 9 2 1
9 , 12
=
+
=
+
+ +
+
+
+
= PVIFA
361 , 0
) 12 , 0 1 (
1
9
9 , 12
=
+
= PVIF
Chng trnh Giang day Kinh te Fulbright
Nien khoa 2006-2007
Phan tch Tai chnh
Bai oc
nh gi tri phiu
7
Gi s NH u T v Pht Trin Vit Nam pht hnh tri phiu khng tr li c thi hn 10
nm v mnh gi l 1000 nghn ng. Nu t sut li nhun i hi ca nh u t l 12%,
gi bn ca tri phiu ny s l:
Nh u t b ra 322.000 ng mua tri phiu ny v khng c hng li nh k trong
sut 10 nm nhng b li khi o hn nh u t thu v c 1000 nghn ng hay 1 triu
ng.
3.4 nh gi tri phiu tr li theo nh k na nm
Thng thng tri phiu c tr li hng nm mt ln nhng i khi cng c loi tri phiu
tr li theo nh k na nm mt ln, tc l tr li mi nm hai ln. Kt qu l m hnh nh
gi tri phiu thng thng phi c mt s thay i thch hp nh gi trong trng hp
ny.
minh ha m hnh nh gi tri phiu tr li theo nh k na nm, chng ta xem v d
tri phiu c cng ty U.S.B Corporation pht hnh c mnh gi 1000 nghn ng, k hn
12 nm, tr li theo nh k na nm vi li sut 10% v nh u t mong c t sut li
nhun 14% khi mua tri phiu ny. p dng m hnh nh gi va nu trn, chng ta c gi
bn loi tri phiu ny l:
3.5 Phn tch s bin ng gi tri phiu
Trong cc m hnh nh gi tri phiu trnh by cc phn trc chng ta thy rng gi tri
phiu (V) l mt hm s ph thuc cc bin sau y:
I l li c nh c hng t tri phiu
k
d
l t sut li nhun yu cu ca nh u t
MV l mnh gi tri phiu
n l s nm cho n khi tri phiu o hn
Trong cc bin I v MV khng thay i sau khi tri phiu c pht hnh, trong khi cc
bin n v k
d
thng xuyn thay i theo thi gian v tnh hnh bin ng li sut trn th
trng. thy c s bin ng ca gi tri phiu khi li sut thay i, chng ta ly v d
phn tch nh sau:
ong 000 . 322 ) 322 , 0 ( 1000 ) ( 1000
) 12 , 0 1 (
1000
10 , 12
10
= = =
+
= PVIF V
) ( ) )( 2 / (
) 2 / 1 ( ) 2 / 1 (
2 /
2 , 2 / 2 , 2 /
2
2
1
n k n k
n
d
n
t
t
d
d d
PVIF MV PVIFA I
k
MV
k
I
V + =
+
+
+
=
=
ong 450 . 770 ) 197 , 0 ( 1000 ) 469 , 11 ( 50 ) ( 1000 ) )( 2 / 100 (
24 , 2 / 14 24 , 2 / 14
= + = + = PVIF PVIFA V
Chng trnh Giang day Kinh te Fulbright
Nien khoa 2006-2007
Phan tch Tai chnh
Bai oc
nh gi tri phiu
8
Gi s REE pht hnh tri phiu mnh gi 1000$ thi hn 15 nm vi mc li sut hng nm
l 10%. T sut li nhun nh u t i hi trn th trng lc pht hnh l 10%, bng vi
li sut ca tri phiu. Khi y gi bn tri phiu s l:
V = I(PVIFA
10,15
) + MV(PVIF
10,15
) = 100(7,6061) + 1000(0,2394) = 1000$
Trong trng hp ny tri phiu c bn mc gi bng mnh gi ca n. Gi s sau khi
pht hnh, li sut trn th trng gim t 10% xung cn 8%. C li sut tri phiu v mnh
gi vn khng i, nhng gi tri phiu by gi s l:
V = 100(PVIFA
8,15
) + 1000(PVIF
8,15
) = 100(8,5595) + 1000(0,3152) = 1171,15$
Trong trng hp ny tri phiu c bn mc gi cao hn mnh gi ca n. Gi s sau
khi pht hnh li sut trn th trng tng ln n 12%. C li sut tri phiu v mnh gi vn
khng i, nhng gi tri phiu by gi s l:
V = 100(PVIFA
12,15
) + 1000(PVIF
12,15
) = 100(6,8109) + 1000(0,1827) = 863,79$
Trong trng hp ny tri phiu c bn mc gi thp hn mnh gi ca n. T vic phn
tch ba trng hp trn y chng ta c th rt ra mt s nhn xt sau y:
1. Khi li sut trn th trng bng li sut tri phiu th gi tri phiu bng mnh gi
ca n.
2. Khi li sut trn th trng thp hn li sut tri phiu th gi tri phiu s cao hn
mnh gi ca n.
3. Khi li sut trn th trng cao hn li sut tri phiu th gi tri phiu s thp hn
mnh gi ca n.
4. Li sut gia tng lm cho gi tri phiu gim trong khi li sut gim s lm cho gi
tri phiu gia tng.
5. Th gi tri phiu tin dn n mnh gi ca n khi thi gian tin dn n ngy o
hn.
Chng trnh Giang day Kinh te Fulbright
Nien khoa 2006-2007
Phan tch Tai chnh
Bai oc
nh gi tri phiu
9
3.6 Li sut u t tri phiu
Trong cc phn trc chng ta bit cch nh gi tri phiu da trn c s bit trc li
c tr hng nm v t sut li nhun m nh u t i hi da trn li sut th trng,
mnh gi v thi hn ca tri phiu. Ngc li, nu bit trc gi tri phiu v cc yu t
khc nh li hng nm c hng, mnh gi hoc gi thu hi tri phiu trc hn v thi
hn ca tri phiu chng ta c th xc nh c t sut li nhun hay li sut u t tri
phiu.
Li sut u t lc tri phiu o hn (Yield to maturity)
Gi s bn mua mt tri phiu c mnh gi 1000$, thi hn 14 nm v c hng li sut
hng nm l 15% vi gi l 1368,31$. Bn gi tri phiu ny cho n khi o hn, li sut
u t tri phiu ny l bao nhiu? xc nh li sut u t khi tri phiu o hn, chng
ta c th gii phng trnh sau:
S dng my tnh ti chnh hoc Excel gii phng trnh trn, chng ta c c k
d
= 10%.
MV=1000
V=1171,15
V= 863,79
Gi tri phiu
Thi hn
0 5 10 15
k
d
= 10%
k
d
= 8%
k
d
= 12%
) ( 1000 ) ( 150
) 1 (
1000
) 1 (
150
...
) 1 (
150
) 1 (
150
31 , 1368
14 , 14 ,
14 14 2 1 d d
k k
d d d d
PVIF PVIFA
k k k k
+ =
+
+
+
+ +
+
+
+
=
Chng trnh Giang day Kinh te Fulbright
Nien khoa 2006-2007
Phan tch Tai chnh
Bai oc
nh gi tri phiu
10
Li sut u t lc tri phiu c thu hi (Yield to call)
i khi cng ty pht hnh tri phiu c km theo iu khon thu hi (mua li) tri phiu
trc hn. iu ny thng xy ra nu nh cng ty d bo li sut s gim sau khi pht hnh
tri phiu. Khi y cng ty s thu hi li tri phiu pht hnh vi li sut cao v pht hnh
tri phiu mi c li sut thp hn thay th v nh u t s nhn c li sut cho n
khi tri phiu c thu hi (YTC) thay v nhn li sut cho n khi tri phiu o hn
(YTM). Cng thc tnh li sut tri phiu lc thu hi nh sau:
Trong n l s nm cho n khi tri phiu c thu hi, Pc l gi thu hi tri phiu v k
d
l
li sut khi tri phiu c thu hi. Nu bit gi ca tri phiu (V) v gi khi thu hi tri
phiu (Pc) v li sut hng nm (I) chng ta c th gii phng trnh trn tm li sut khi
tri phiu c thu hi (k
d
= YTC).
) ( ) (
) 1 ( ) 1 (
....
) 1 ( ) 1 (
, ,
2 1
n k n k
n
d
n
d d d
d d
PVIF Pc PVIFA I
k
Pc
k
I
k
I
k
I
V + =
+
+
+
+ +
+
+
+
=