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