DERIVADOS 05

RENTA FIJA
¿Qué es?
Un tipo de inversión formada por todos los activos financieros en los que el emisor está obligado a realizar pagos
en una cantidad y en un período de tiempo previamente establecidos.

Fixed income broadly refers to those types of investment security that pay investors fixed interest or dividend
payments until their maturity date. At maturity, investors are repaid the principal amount they had invested.
Government and corporate bonds are the most common types of fixed-income products.

Retornos más bajos

Riesgos de inflación

Riesgos de reinversión
Bonos
Instrumento de deuda.

Acuerdo contractual

Issuer & Bondholder ( Emisor & Tenedor)

Fecha de vencimiento: Cuando issuer está obligado pagar el saldo total del principal.

Principal: Cantidad que el issuer acuerda re-pagar al bondholder.

Cupón=Es la tasa de interés. -> El issuer acuerda paga al bondholder periódicamente -> Hasta fecha de
vencimiento.
Algunos tipos de cupón
Fijo: El pago del cupón es fijo y nunca cambia durante la vida del bono. (5% ETV)

Flotante: indexada tasa de referencia + spread (UVR + 5%)

Cero-cupón: No hay cupones durante la vida del bono (No hay flujos)
Tipos de bono por estructura de pago
Bullet bond: El principal se paga únicamente en la fecha de maturity del bono. Pueden ser redimidos por el
issuer -> Riesgo de reinversión.

Balloon bond: Los pagos fijos (del principal) son mucho mas bajos pero al final se requiere un “Baloon
payment” que es el valor del principal que resulta mucho más alto.

Amortized bonds: El interés se va pagando con los cupones.

Ejemplos
Balloon Loan: A person takes out a $200,000 mortgage with a seven-year term and a 4.5% interest rate. Their monthly
payment for seven years is $1,013. At the end of the seven-year term, they owe a $175,066 balloon payment. -> 87. 533%
del loan se paga al final.

Amortized bond: 30-year fixed-rate mortgages are amortized so that each monthly payment goes towards interest and
principal. Say you purchase a home with a $400,000 30-year fixed-rate mortgage with a 5% interest rate. The monthly
payment is $2,147.29, or $25,767.48 per year.

At the end of year one, you have made 12 payments, most of the payments have been towards interest, and only $3,406 of
the principal is paid off, leaving a loan balance of $396,593. The next year, the monthly payment amount remains the same,
but the principal paid grows to $6,075. Now fast forward to year 29 when $24,566 (almost all of the $25,767.48 annual
payments) will go towards principal.
 Ejemplos
Bullet bond:

For example, imagine a bond with a par value of $1,000. Its yield is 5%, its coupon rate is 1.5% , and the bond pays the
coupon twice per year over a period of five years.

Given this information, there are nine periods for which a $15 coupon payment is made, and one period (the last one) for
which a $15 coupon payment is made and the $1,000 principal is repaid.

Period 1: PV = $15 / (1 + (5% / 2)) ^ (1) = $14.63 / Period 2: PV = $15 / (1 + (5% / 2)) ^ (2) = $14.28 / Period 3: PV = $15 / (1 +
(5% / 2)) ^ (3) = $13.93 / Period 4: PV = $15 / (1 + (5% / 2)) ^ (4) = $13.59 / Period 5: PV = $15 / (1 + (5% / 2)) ^ (5) = $13.26 /
Period 6: PV = $15 / (1 + (5% / 2)) ^ (6) = $12.93 / Period 7: PV = $15 / (1 + (5% / 2)) ^ (7) = $12.62 / Period 8: PV = $15 / (1 + (5%
/ 2)) ^ (8) = $12.31 / Period 9: PV = $15 / (1 + (5% / 2)) ^ (9) = $12.01 / Period 10: PV = $1,015 / (1 + (5% / 2)) ^ (10) = $792.92

These 10 present values equal $912.48, which is the price of the bond.
Valor del bono y valor comprado
PRECIO LIMPIO Y
PRECIO SUCIO
Precio limpio
Valor que se paga por un título sin tener en cuenta los intereses acumulados desde la última fecha de pago
de intereses.

Precio limpio = Precio sucio – Intereses acumulados

Precio sucio
Valor real de un bono incluyendo el valor de los intereses acumulados , valor que debe girar un comprador de
un título valor.

Precio limpio + IC= Precio sucio

Ejemplo precio sucio
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