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 ro thanh ton (Default Risk)
Ri ro li sut (Interest Rate Risk)
Ri ro lm pht (Inflation Risk)
Ri ro thanh khon (Liquidity Risk)
Ri ro 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 S&P M t
Aaa AAA Cht lng cao nht (ri ro v
n thp nht)
Aa AA Cht lng cao
A A Trn trung bnh
Baa BBB Trung bnh
Ba BB Di trung bnh
B B u c
Caa CCC CC Nhiu ri ro v n
Ca C u c cao
C D 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= + + ... + +
1 + R (1+ R) (1 + R) (1 + R)
2 n n

Hoc di dng rt gn

C
R
[ n
P = 1 (1 + R) + ]
F
(1 + R) n
 PV = PVC + PVF
Trong

[ ]
n
C C
PVC = = 1 (1 + R) n

i =1 (1 + R )
i
R
F
PVF =
(1 + R) n
 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= + + ... + +
(1 + y ) (1 + y ) 2
(1 + y ) n
(1 + y ) n
 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 2C nC nF
(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

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

Tri phiu vnh cu

2
K= 2
R
 c lng bin ng gi tri
phiu khi li sut bin ng ln
n
f ( k ) ( x0 )
Theo Taylor: f ( x) f ( x0 ) = ( x x0 ) k + Rn ( x)
k =1 k!

P 1 R 2
R 2
( P ' R + P" ) = MD.R + K
P P 2 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 C C F
1/1/10 1/7/10 1/1/11 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:
F
C C

25/1/10 22/3/10 25/1/11 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)
C C F
PV = (1 + R ) f ( + + )
1 + R (1 + R ) 2
(1 + R ) 2

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

1 2 3 4 5
C
[
PVC = 1 (1 + R) 5
R
]
PVC=271.315,83
Gi tri phiu = 1.271.315,83
V d 5:
F
C C C C

10/09 10/10 10/11 10/12 . 10/15

F = 100, RC= 7,125%/nm, P = 104,125

C = 7,125, n = 6
Gi y = YTM
P =
C
y
[
1 (1 + y ) n
+ ] F
(1 + y ) n

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

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=
(1 + R ) n

P= 483.823,60
b) nu P = 450.000 , tm R
1/ n
F F
R= n 1 = 1
P P
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 CF (1+R)^(-n) PVCF DP
1 7.125 0.9357 6.6667 6.6667
2 7.125 0.8755 6.2378 12.4756
3 7.125 0.8192 5.8366 17.5097
4 7.125 0.7665 5.4611 21.8444
5 7.125 0.7172 5.1098 25.5490
6 7.125 0.6710 4.7811 28.6866
6 100 0.6710 67.1032 402.6192
Tng 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
+ + +
(1 + R ) 3
(1 + R ) 4
(1 + R) 5
(1 + R ) 5
K=
P
Vi P= [ C
R
]
1 (1 + R ) 3 + F (1 + R ) 3

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