Microsoft Power Point - Phan Tich Trai Phieu

8/8/2019 Microsoft Power Point - Phan Tich Trai Phieu

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CHUYN

PH N T CH L A CHN TR I PHI U

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I. Li tc v ri ro ca u t tri phiu

II. nh i tri hiu

III. o lng li sut tri phiu

IV. Thi gian o hn bnh qun (Duration)

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I. Li tc v ri ro ca u t tri phiu

II. nh gi tri phiu

1.1. Li tc:

I. Li

tc v + Tin li nh kIII. o lng li sut tri phiu

IV. Thi gian o hn bnh qun (Duration)

ri rotri

phiu

+ Chnh lch gi

+ Li ca li

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+ Ri ro li sut

+ Ri ro ti u t

1.2. Ri ro:

I. Li

+ Ri ro thanh ton

+ Ri ro lm pht

+ Ri ro t gi hi oi

+ Ri ro thanh khon

ri rotri

phiu

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1.3. Cc nhn t nh hng gi tri phiu

1.3.1. Kh nng ti chnh ca ngi cung

cp tri phiu1.3.2. Thi gian o hn

1.3.3. D kin v lm pht

1.3.4. Bin ng li sut th trng

1.3.5. Thay i t gi hi oi

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2.1. nh gi tri phiu thng thng

II. nh gi tri phiu

2.2. nh gi tri phi u khng tr li nh k

2.3. nh gi tri phiu chuyn i

2.4. nh gi tri phiu c li sut th ni

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Xc nh gi tr l thuyt ca tri phiu mt cch

II. nh gi tri phiu

c n x c v c ng ng.

Gi tr ca tri phiu c nh gi bng cch xc

nh hin gi ca ton b thu nhp nhn c trongthi gian hiu lc ca tri phiu.

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2.1. nh gi tri phiu thng thng

(Straight Bond)

( ) ( ) ( )nn2 r1

F

r1

C

r1

C

r1

CP

++

+++

++

+=

Trong :P: gi tri phiu

n: s nm cn li cho n khi o hnC: s tin li couponr: li sut chit khuF: mnh gi tri phiu

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Cng thc tng qut:

+=

n

nt

FC

P =

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Trng hp 1: tr li nh k mt nm mt ln

-nn1 - (1 r) +

r

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VD: Cng ty A pht hnh tri phiu li sut

15%/nm, mnh gi 1.000.000 , 15 nm o hn.

Li sut ang lu hnh 10%/nm. Tr li nh k

n m n. y t n n g c a tr p u

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-2n2nC 1 - (1 r/2) +

Trng hp 2: tr li nh k 6 thng mt ln

r2 r/2

=

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VD: Cng ty A pht hnh tri phiu li sut

12%/nm, mnh gi 500.000 , 10 nm o hn.

Li sut ang lu hnh 10%/nm. Tr li nh k

.

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2.2. nh gi tri phiu khng tr li nh k

(Zero coupon bond)

Fn(1 r)

=+

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VD: mt tri phiu c thi gian o hn l 20nm, nhng khng tr li nh k m ch tr vn

gc l 1.000.000 vo cui nm th 20. Nu hin

nay, li sut trn th trng l 10% th ngimua tri phiu phi tr bao nhiu tin mua

tri phiu ny?

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Gi tri phiu c quan h nghch bin vi li sut

K o hn cng xa th gi tri phiu cng nhy cm

Quan h gia tri phiu v li sut

vi bin i li sut

Vi mt mc bin i li sut nht nh, mc bin

ng gi tri phiu (tnh bng %) gim dn nu kodi k o hn.

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Vi cng 1 k o hn, cng mc bin ng li sut,

% Lndo gim li sut cao hn % l do tng li sut

Quan h gia tri phiu v li sut

Li sut danh ngha cng nh, nh hng ca bin

ng li sut th trng cng ln.

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D on li sut gim mua tri phiu c li sut

danh ngha thp v k o hn xa.

Chin lc:

D on li sut tng bn khng tri phiu c

li sut danh ngha thp v k o hn xa.

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- Gi chuyn i (Conversion Price):

2.3. nh gi tri phiu chuyn i

(Convertible Bond)

Mnh gi ca tri phiu chuyn i

- T l chuyn i (Conversion Ratio):

T l chuyn i =Mnh gi ca tri phiu chuyn i

Gi chuyn i

T l chuyn i

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- Gi tr tri phiu khng thc hin chuyn i = gi

tr tri phiu thng thng

=

- Gi tr li ch chuyn i = Max (gi tr chuyn

i, gi tr tri phiu khng thc hin chuyn i)

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VD: Cui nm 2005, cng ty ABC pht hnh mt loitri phiu chuyn i vi li coupon 2,5%/nm,

mnh gi 1 triu ng, o hn ngy 1/1/2011.

Coupon c tr vo u mi nm, bt u t nm2007, bit t l chuyn i l 10. Vo 1/1/2006, cp

c giao dch vi gi 81.000 vi mc li sut yu

cu 5%/nm.Nh u t c nn thc hin quyn chuyn i vo

ngy 1/1/2006 khng?21


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Dng tin ca tri phiu th ni:

Dng tin c li sut th ni nhn c t li sut

th trn khn c hn chnh l ch. Dn tin n

2.4. nh gi tri phiu c li sut th ni

(Floating rate Bond)

bao gm c khon thanh ton mnh gi vo lc o

hn. l dng tin ca ck tham chiu.

Dng tin bit da trn khon chnh lch giacc khon thanh ton ca tri phiu. Dng tin ny

c nh gi theo cc k thut v gi tr hin ti.22


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Gi ca tri phiu l tng hai mc gi trn.

Cng c tham chiu lun c nh gi theo mnh gi.

Gi ca cng c th ni li sut s bng gi ca chngkhon tham chiu cng vi dng tin ca khon chnh

lch c nh.

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VD: cng ty X pht hnh tri phiu c mnh gi500.000 , k hn 7 nm, vi li sut bng bnh qun li

sut tin gi tit kim 12 thng tr sau ca VCB, ACB,

STB, OCB, MHB cng thm 4,5%/nm. Hy nh gitr p u tr n t r ng su t t tr ng u t

tri phiu ny l li sut bnh qun cng 2,5%/nm, li

sut bnh qun ca 5 ngn hng trn ang l 11,5%.

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III. o lng li sut tri phiu

3.1. Thc o li sut hin hnh (Current Yield)

3.2. Thc o li sut o hn (Yield to Maturity)

3.3. Thc o li sut chuc li (Yield to Call)

3.4. Thc o li sut chnh lch gi (Capital Gain Yield)

3.5. Li ca li

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Li sut hin hnh (CY) l t l gia li coupon hng

nm vi gi th trng.


CY = C / P

ngha: mt ng vn u t b ra cho tri phiu th

hng nm thu c bao nhiu ng tin li.

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Vd: mt tri phiu c mnh gi 1.000.000 , li sut

coupon 10% hin ang c bn trn th trng vi


g . . . u mua r p u n y

sut sinh li hin hnh l bao nhiu ?

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Li sut o hn l mc li sut s lm cho gi tr hin

ti ca cc dng tin m ngi u t nhn c t tri

phiu bng vi gi tri phiu.

3.2. Thc o li sut o hn (Yield to Maturity)

( ) ( )

n

t nt 1

C FP

1 y 1 y== +

+ +

ngha: mc li sut tng hp m NT nhn c

trn tri phiu t khi mua nm gi n cho n khi

o hn. 28


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3.3. Thc o li sut chuc li (Yield to Call)

Li sut chuc li l li sut hon vn lm cho gi tr

hin ti ca cc dng tin trn tri phiu c mua li

( ) ( )

m

t mt 1

C FP 1 y 1 y=

= + + +

trc khi o hn b ng vi gi ca tri phi u hin nay.

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1 0

0

P PCG

P

=Li tc do chnh lch gi:

3.4. Thc o li sut chnh lch gi

(Capital Gain Yield)

Total Yield = CY + CG

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VD: ng A mua tri phiu c mnh gi 1.000.000 ,vi gi 990.000 , tri phiu ny tr li 9% cho tri ch.

D kin cui nm gi tri phiu tng ln l 1.080.000 .

Gi s ng A bn tri phiu vo cui nm sau khi nhn li tri phiu. Vy cc mc li tc ng nhn c

sau 1 nm nm gi l bao nhiu?

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Tng li tc tim nng ca 1 tri phiu bng tng hai

khon l li coupon v li ca li:

3.5. Li trn li

n(1 r) 1C x

r

+

n(1 r) 1

C x nCr

+

Li coupon + Li trn li =

Li trn li =

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VD: tri phiu c li sut danh ngha 14%, k hn 5

nm, mnh gi 100.000. Gi s nh u t lnh licoupon hng nm v u t ngay vo tin gi tit kim

ngn hng vi li sut 12%. Hi cho n khi o hn

tng li tc tim nng l bao nhiu? Li trn li l bao

8.940812%

112%)(1

x100.00014%

5

=

+

nhiu?

Li trn li = 88.940 14.000 x 5 = 18.940 33


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IV. Thi gian o hn bnh qun (DURATION)

Duration l thi gian o hn bnh qun gia quyn

ca cc dng tin ca tri phiu.

( ) ( ) ( )nn2 y1y1y1y1P

++

+++

++

+=

Trong :F: gi tr hon tr khi o hny: li sut cho ti khi o hn hay li sut theo yu cu

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( ) ( ) ( )

++

+++

++

++= nn2

1nF

y1nC

12C

y11C

11dP

yyydy

Thi gian o hn bnh qun Macaulay:

( ) ( )1 1 1

n

t nt

tC nF

y yMacaulayDurationP

=

+

+ +=

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MDyPdy

dP

+=

1

11

dP 1= - MD dy

P 1+y

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( )1

acaulayDurationModifiedDuration

y=

+

dP= -ModifiedD dy

P

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VD: Tri phiu mnh gi 100.000 c pht hnh vo

1/3/2005, k hn 10 nm, li sut 7,5%/nm, tr li 6

thng/ln. Hin nay (1/3/2010) tri phiu c bn vi gi

bng mnh gi. Tnh thi gian o hn bnh qun ca triphiu trn.

Hy xem xt s bin ng gi tri phiu trn nu li sut

o hn tng hay gim 2,5%?

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F () C YTM P ()

100000 7.50% 7.50% 100000

K tr li C PV PV *t

t ()

1 3750 3614.458 3614.458

2 3750 3483.815 6967.63

3 3750 3357.894 10073.68

1/3/2011

1/9/2011

1/9/2010

Thi gian o hn

1/3/2015

Ngy tr li

4 3750 3236.524 12946.1

5 3750 3119.541 15597.71

6 3750 3006.787 18040.72

7 3750 2898.108 20286.75

8 3750 2793.357 22346.86

9 3750 2692.392 24231.53

10 103750 71797.12 717971.2

100000 852076.7

MD = 4.26

1/3/2014

1/9/2014

1/3/2015

1/3/2012

1/9/2012

1/3/2013

1/9/2013

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F () C YTM P ()

100000 7.50% 5.00% ?

K tr li C PV

t ()

1 3750 3658.537

2 3750 3569.304

3 3750 3482.248

1/9/2010

Thi gian o hn

1/3/2015

Ngy tr li

1/3/2011

1/9/2011

4 3750 3397.315

5 3750 3314.454

6 3750 3233.613

7 3750 3154.745

8 3750 3077.8

9 3750 3002.731

10 103750 81049.33

PV = 110940

1/3/2014

1/9/2014

1/3/2015

1/3/2012

1/9/2012

1/3/2013

1/9/2013

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F () C YTM P ()

100000 7.50% 10.00% ?

K tr li C PV

t ()

1 3750 3571.429

2 3750 3401.361

3 3750 3239.391

1/3/2011

1/9/2011

1/9/2010

Thi gian o hn

1/3/2015

Ngy tr li

4 3750 3085.134

5 3750 2938.223

6 3750 2798.308

7 3750 2665.055

8 3750 2538.148

9 3750 2417.283

10 103750 63693.5

PV = 90348

1/3/2014

1/9/2014

1/3/2015

1/3/2012

1/9/2012

1/3/2013

1/9/2013

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VD: Tri phiu quc t do VN pht hnh vo 10/2005 c

thi gian o hn l 10 nm, mnh gi $100, tr li hng

nm vi li sut l 7,125%/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 trn.

Cng vo thi im trn, thng tin cng b nh mc tn

nhim ca VN gim xung, iu ny lm cho li sut chitkhu tng ln 7%/nm, theo bn gi tri phiu trn s

bin ng nh th no?42


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Gi

Mi quan h gia gi tri phiu v li sut

Li sut

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V. li (Convexity)

2 n

d P 1 t(t+1)C n(n+1)F 1= = li( ) ( )

t+2 n+22t=1dy P P1+y 1+y

2dP 1= Convexity (dy)P 2

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2dP 1= - ModifiedD x dy + Convexity (dy)P 2

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Cng thc tnh gn ng Duration v Convexity

Effective Duration (ED)

ED =

Gi khi ls gim x% - Gi khi ls tng x%

Effective Convexity (EC)

.

ED =Gi khi ls gim x% + Gi khi ls tng x% - 2 . Gi ban u

2 . Gi ban u . x246


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Cc thuc tnh ca li

+ Khi y tng (gim) li gim (tng)

+ Khi v n l xc nh, li sut cou on cn

thp li ca tri phiu cng ln

+ Khi y v ModifiedD l xc nh, li sut coupon

cng thp li cng nh

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Gi A B

B c li ln hn A

Li sut

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F () C YTM P ()

100000 7.50% 7.50% 100000

K tr li C PV V *t*(t+1t ()

1 3750 3358 6716

2 3750 3237 19422

3 3750 3120 37440

4 3750 3007 60140

1/9/2010

Thi gian o hn

1/3/2015

Ngy tr li

1/3/2011

1/9/2011

1/3/20125 3750 2898 86940

6 3750 2793 117306

7 3750 2692 150752

8 3750 2595 186840

9 3750 2501 225090

10 103750 66701 7337110

= 8227756

Convexity (na nm) 82.28

Convexity (nm) = 20.57

1/3/2014

1/9/2014

1/3/2015

1/9/2012

1/3/2013

1/9/2013

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VD: Tri phiu pht hnh vo thng 9/2005 c thi hn 7nm, mnh gi 100.000 , li sut 10%/nm. Vi li sut

th trng vo 9/2010 l 12%/nm, hy tnh li ca

tri phiu trn bit rng tri phiu tr li mt nm 2 ln

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