[精选]公司理财原版英文课件Chap008

InterestRatesandBondValuationChapter8Copyright©2010bytheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/IrwinKeyConceptsandSkillsKnowtheimportantbondfeaturesandbondtypesUnderstandbondvaluesandwhytheyfluctuateUnderstandbondratingsandwhattheymeanUnderstandtheimpactofinflationoninterestratesUnderstandthetermstructureofinterestratesandthedeterminantsofbondyieldsChapterOutline8.1BondsandBondValuation8.2GovernmentandCorporateBonds8.3BondMarkets8.4InflationandInterestRates8.5DeterminantsofBondYields8.1BondsandBondValuationAbondisalegallybindingagreementbetweenaborrowerandalenderthatspecifiesthe:Par(face)valueCouponrateCouponpaymentMaturityDateTheyieldtomaturityistherequiredmarketinterestrateonthebond.BondValuationPrimaryPrinciple:Valueoffinancialsecurities=PVofexpectedfuturecashflowsBondvalueis,therefore,determinedbythepresentvalueofthecouponpaymentsandparvalue.Interestratesareinverselyrelatedtopresent(i.e.,bond)values.TheBond-PricingEquationBondExampleConsideraU.S.governmentbondwithas63/8%couponthatexpiresinDecember2013.TheParValueofthebondis$1,000.Couponpaymentsaremadesemiannually(June30andDecember31forthisparticularbond).Sincethecouponrateis63/8%,thepaymentis$31.875.OnJanuary1,2009thesizeandtimingofcashflowsare:BondExampleOnJanuary1,2009,therequiredyieldis5%.Thecurrentvalueis:BondExample:CalculatorPMTI/YFVPVNPV31.875=2.51,000–1,060.17101,000×0.063752Findthepresentvalue(asofJanuary1,2009),ofa63/8%couponbondwithsemi-annualpayments,andamaturitydateofDecember2013iftheYTMis5%.BondExampleNowassumethattherequiredyieldis11%.Howdoesthischangethebond’sprice?YTMandBondValue800100011001200130000.010.020.030.040.050.060.070.080.090.1DiscountRateBondValue63/8WhentheYTM<coupon,thebondtradesatapremium.WhentheYTM=coupon,thebondtradesatpar.WhentheYTM>coupon,thebondtradesatadiscount.BondConceptsBondpricesandmarketinterestratesmoveinoppositedirections.Whencouponrate=YTM,price=parvalueWhencouponrate>YTM,price>parvalue(premiumbond)Whencouponrate<YTM,price<parvalue(discountbond)InterestRateRiskPriceRiskChangeinpriceduetochangesininterestratesLong-termbondshavemorepriceriskthanshort-termbondsLowcouponratebondshavemorepriceriskthanhighcouponratebonds.ReinvestmentRateRiskUncertaintyconcerningratesatwhichcashflowscanbereinvestedShort-termbondshavemorereinvestmentrateriskthanlong-termbonds.Highcouponratebondshavemorereinvestmentrateriskthanlowcouponratebonds.MaturityandBondPriceVolatilityCConsidertwootherwiseidenticalbonds.Thelong-maturitybondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrate.DiscountRateBondValueParShortMaturityBondLongMaturityBondCouponRatesandBondPricesConsidertwootherwiseidenticalbonds.Thelow-couponbondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrate.DiscountRateBondValueHighCouponBondLowCouponBondParCComputingYieldtoMaturityYieldtomaturityistherateimpliedbythecurrentbondprice.FindingtheYTMrequirestrialanderrorifyoudonothaveafinancialcalculatorandissimilartotheprocessforfindingrwithanannuity.Ifyouhaveafinancialcalculator,enterN,PV,PMT,andFV,rememberingthesignconvention(PMTandFVneedtohavethesamesign,PVtheoppositesign).YTMwithAnnualCouponsConsiderabondwitha10%annualcouponrate,15yearstomaturity,andaparvalueof$1,000.Thecurrentpriceis$928.09.Willtheyieldbemoreorlessthan10%?N=15;PV=-928.09;FV=1,000;PMT=100CPTI/Y=11%YTMwithSemiannualCouponsSupposeabondwitha10%couponrateandsemiannualcouponshasafacevalueof$1,000,20yearstomaturity,andissellingfor$1,197.93.IstheYTMmoreorlessthan10%?Whatisthesemi-annualcouponpayment?Howmanyperiodsarethere?N=40;PV=-1,197.93;PMT=50;FV=1,000;CPTI/Y=4%(IsthistheYTM?)YTM=4%*2=8%CurrentYieldvs.YieldtoMaturityCurrentYield=annualcoupon/priceYieldtomaturity=currentyield+capitalgainsyieldExample:10%couponbond,withsemi-annualcoupons,facevalueof1,000,20yearstomaturity,$1,197.93priceCurrentyield=100/1197.93=.0835=8.35%Priceinoneyear,assumingnochangeinYTM=1,193.68Capitalgainyield=(1193.68–1197.93)/1197.93=-.0035=-.35%YTM=8.35-.35=8%,whichisthesameYTMcomputedearlierBondPricingTheoremsBondsofsimilarrisk(andmaturity)willbepricedtoyieldaboutthesamereturn,regardlessofthecouponrate.Ifyouknowthepriceofonebond,youcanestimateitsYTMandusethattofindthepriceofthesecondbond.Thisisausefulconceptthatcanbetransferredtovaluingassetsotherthanbonds.ZeroCouponBondsMakenoperiodicinterestpayments(couponrate=0%)TheentireyieldtomaturitycomesfromthedifferencebetweenthepurchasepriceandtheparvalueCannotsellformorethanparvalueSometimescalledzeroes,deepdiscountbonds,ororiginalissuediscountbonds(OIDs)TreasuryBillsandprincipal-onlyTreasurystripsaregoodexamplesofzeroesPureDiscountBondsInformationneededforvaluingpurediscountbonds:Timetomaturity(T)=Maturitydate-today’sdateFacevalue(F)Discountrate(r)Presentvalueofapurediscountbondattime0:PureDiscountBonds:ExampleFindthevalueofa15-yearzero-couponbondwitha$1,000parvalueandaYTMof12%.BondPricingwithaSpreadsheetTherearespecificformulasforfindingbondpricesandyieldsonaspreadsheet.PRICE(Settlement,Maturity,Rate,Yld,Redemption,Frequency,Basis)YIELD(Settlement,Maturity,Rate,Pr,Redemption,Frequency,Basis)SettlementandmaturityneedtobeactualdatesTheredemptionandPrneedtogivenas%ofparvalueClickontheExceliconforanexample.8.2GovernmentandCorporateBondsTreasurySecuritiesFederalgovernmentdebtT-bills–purediscountbondswithoriginalmaturitylessthanoneyearT-notes–coupondebtwithoriginalmaturitybetweenoneandtenyearsT-bonds–coupondebtwithoriginalmaturitygreaterthantenyearsMunicipalSecuritiesDebtofstateandlocalgovernmentsVaryingdegreesofdefaultrisk,ratedsimilartocorporatedebtInterestreceivedistax-exemptatthefederallevelAfter-taxYieldsAtaxablebondhasayieldof8%,andamunicipalbondhasayieldof6%.Ifyouareina40%taxbracket,whichbonddoyouprefer?8%(1-.4)=4.8%Theafter-taxreturnonthecorporatebondis4.8%,comparedtoa6%returnonthemunicipalAtwhattaxratewouldyoubeindifferentbetweenthetwobonds?8%(1–T)=6%T=25%CorporateBondsGreaterdefaultriskrelativetogovernmentbondsThepromisedyield(YTM)maybehigherthantheexpectedreturnduetothisaddeddefaultriskBondRatings–InvestmentQualityHighGradeMoody’sAaaandS&PAAA–capacitytopayisextremelystrongMoody’sAaandS&PAA–capacitytopayisverystrongMediumGradeMoody’sAandS&PA–capacitytopayisstrong,butmoresusceptibletochangesincircumstancesMoody’sBaaandS&PBBB–capacitytopayisadequate,adverseconditionswillhavemoreimpactonthefirm’sabilitytopayBondRatings-SpeculativeLowGradeMoody’sBaandBS&PBBandBConsideredspeculativewithrespecttocapacitytopay.VeryLowGradeMoody’sCS&PC&DHighlyuncertainrepaymentand,inmanycases,alreadyindefault,withprincipalandinterestinarrears.8.3BondMarketsPrimarilyover-the-countertransactionswithdealersconnectedelectronicallyExtremelylargenumberofbondissues,butgenerallylowdailyvolumeinsingleissuesMakesgettingup-to-datepricesdifficult,particularlyonasmallcompanyormunicipalissuesTreasurysecuritiesareanexceptionTreasuryQuotations8Nov25132:23132:24-125.14Whatisthecouponrateonthebond?Whendoesthebondmature?Whatisthebidprice?Whatdoesthismean?Whatistheaskprice?Whatdoesthismean?Howmuchdidthepricechangefromthepreviousday?Whatistheyieldbasedontheaskprice?CleanversusDirtyPricesCleanprice:quotedpriceDirtyprice:priceactuallypaid=quotedpriceplusaccruedinterestExample:ConsiderT-bondinpreviousslide,assumetodayisJuly15,2009Numberofdayssincelastcoupon=61Numberofdaysinthecouponperiod=184Accruedinterest=(61/184)(.04*1,000)=13.26Prices(basedonask):Cleanprice=1,327.50Dirtyprice=1,327.50+13.26=1,340.76So,youwouldactuallypay$1,340.76forthebond.8.4InflationandInterestRatesRealrateofinterest–changeinpurchasingpowerNominalrateofinterest–quotedrateofinterest,changeinpurchasingpowerandinflationTheexantenominalrateofinterestincludesourdesiredrealrateofreturnplusanadjustmentforexpectedinflation.RealversusNominalRates(1+R)=(1+r)(1+h),whereR=nominalrater=realrateh=expectedinflationrateApproximationR=r+hInflation-LinkedBondsMostgovernmentbondsfaceinflationriskTIPS(TreasuryInflation-ProtectedSecurities),however,eliminatethisriskbyprovidingpromisedpaymentsspecifiedinreal,ratherthannominal,termsTheFisherEffect:ExampleIfwerequirea10%realreturnandweexpectinflationtobe8%,whatisthenominalrate?R=(1.1)(1.08)–1=.188=18.8%Approximation:R=10%+8%=18%Becausetherealreturnandexpectedinflationarerelativelyhigh,thereisasignificantdifferencebetweentheactualFisherEffectandtheapproximation.8.5DeterminantsofBondYieldsTermstructureistherelationshipbetweentimetomaturityandyields,allelseequal.Itisimportanttorecognizethatwepullouttheeffectofdefaultrisk,differentcoupons,etc.Yieldcurve–graphicalrepresentationofthetermstructureNormal–upward-sloping,long-termyieldsarehigherthanshort-termyieldsInverted–downward-sloping,long-termyieldsarelowerthanshort-termyieldsFactorsAffectingRequiredReturnDefaultriskpremium–rememberbondratingsTaxabilitypremium–remembermunicipalversustaxableLiquiditypremium–bondsthathavemorefrequenttradingwillgenerallyhavelowerrequiredreturns(rememberbid-askspreads)Anythingelsethataffectstheriskofthecashflowstothebondholderswillaffecttherequiredreturns.QuickQuizHowdoyoufindthevalueofabond,andwhydobondpriceschange?Whatarebondratings,andwhyaretheyimportant?Howdoesinflationaffectinterestrates?Whatisthetermstructureofinterestrates?Whatfactorsdeterminetherequiredreturnonbonds?