公司理财第十版PPTChap007

Chapter7InterestRatesandBondValuation,McGraw-Hill/Irwin,Copyright2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved.,KeyConceptsandSkills,KnowtheimportantbondfeaturesandbondtypesUnderstandbondvaluesandwhytheyfluctuateUnderstandbondratingsandwhattheymeanUnderstandtheimpactofinflationoninterestratesUnderstandthetermstructureofinterestratesandthedeterminantsofbondyields,7-2,ChapterOutline,BondsandBondValuationMoreaboutBondFeaturesBondRatingsSomeDifferentTypesofBondsBondMarketsInflationandInterestRatesDeterminantsofBondYields,7-3,BondDefinitions,BondParvalue(facevalue)CouponrateCouponpaymentMaturitydateYieldorYieldtomaturity,7-4,PresentValueofCashFlowsasRatesChange,BondValue=PVofcoupons+PVofparBondValue=PVofannuity+PVoflumpsumAsinterestratesincrease,presentvaluesdecreaseSo,asinterestratesincrease,bondpricesdecreaseandviceversa,7-5,ValuingaDiscountBondwithAnnualCoupons,Considerabondwithacouponrateof10%andannualcoupons.Theparvalueis$1,000,andthebondhas5yearstomaturity.Theyieldtomaturityis11%.Whatisthevalueofthebond?Usingtheformula:B=PVofannuity+PVoflumpsumB=10011/(1.11)5/.11+1,000/(1.11)5B=369.59+593.45=963.04Usingthecalculator:N=5;I/Y=11;PMT=100;FV=1,000CPTPV=-963.04,7-6,ValuingaPremiumBondwithAnnualCoupons,Supposeyouarereviewingabondthathasa10%annualcouponandafacevalueof$1000.Thereare20yearstomaturity,andtheyieldtomaturityis8%.Whatisthepriceofthisbond?Usingtheformula:B=PVofannuity+PVoflumpsumB=10011/(1.08)20/.08+1000/(1.08)20B=981.81+214.55=1196.36Usingthecalculator:N=20;I/Y=8;PMT=100;FV=1000CPTPV=-1,196.36,7-7,GraphicalRelationshipBetweenPriceandYield-to-maturity(YTM),BondPrice,Yield-to-maturity(YTM),7-8,BondPrices:RelationshipBetweenCouponandYield,IfYTM=couponrate,thenparvalue=bondpriceIfYTMcouponrate,thenparvaluebondpriceWhy?ThediscountprovidesyieldabovecouponratePricebelowparvalue,calledadiscountbondIfYTMcouponrate,thenparvaluebondpriceWhy?HighercouponratecausesvalueaboveparPriceaboveparvalue,calledapremiumbond,7-9,TheBondPricingEquation,7-10,Example7.1,FindpresentvaluesbasedonthepaymentperiodHowmanycouponpaymentsarethere?Whatisthesemiannualcouponpayment?Whatisthesemiannualyield?B=7011/(1.08)14/.08+1,000/(1.08)14=917.56OrPMT=70;N=14;I/Y=8;FV=1,000;CPTPV=-917.56,7-11,InterestRateRisk,PriceRiskChangeinpriceduetochangesininterestratesLong-termbondshavemorepriceriskthanshort-termbondsLowcouponratebondshavemorepriceriskthanhighcouponratebondsReinvestmentRateRiskUncertaintyconcerningratesatwhichcashflowscanbereinvestedShort-termbondshavemorereinvestmentrateriskthanlong-termbondsHighcouponratebondshavemorereinvestmentrateriskthanlowcouponratebonds,7-12,Figure7.2,7-13,ComputingYieldtoMaturity,YieldtoMaturity(YTM)istherateimpliedbythecurrentbondpriceFindingtheYTMrequirestrialanderrorifyoudonothaveafinancialcalculatorandissimilartotheprocessforfindingrwithanannuityIfyouhaveafinancialcalculator,enterN,PV,PMT,andFV,rememberingthesignconvention(PMTandFVneedtohavethesamesign,PVtheoppositesign),7-14,YTMwithAnnualCoupons,Considerabondwitha10%annualcouponrate,15yearstomaturityandaparvalueof$1,000.Thecurrentpriceis$928.09.Willtheyieldbemoreorlessthan10%?N=15;PV=-928.09;FV=1,000;PMT=100CPTI/Y=11%,7-15,YTMwithSemiannualCoupons,Supposeabondwitha10%couponrateandsemiannualcoupons,hasafacevalueof$1,000,20yearstomaturityandissellingfor$1,197.93.IstheYTMmoreorlessthan10%?Whatisthesemiannualcouponpayment?Howmanyperiodsarethere?N=40;PV=-1,197.93;PMT=50;FV=1,000;CPTI/Y=4%(IsthistheYTM?)YTM=4%*2=8%,7-16,Table7.1,7-17,CurrentYieldvs.YieldtoMaturity,CurrentYield=annualcoupon/priceYieldtomaturity=currentyield+capitalgainsyieldExample:10%couponbond,withsemiannualcoupons,facevalueof1,000,20yearstomaturity,$1,197.93priceCurrentyield=100/1,197.93=.0835=8.35%Priceinoneyear,assumingnochangeinYTM=1,193.68Capitalgainyield=(1,193.681,197.93)/1,197.93=-.0035=-.35%YTM=8.35-.35=8%,whichisthesameYTMcomputedearlier,7-18,BondPricingTheorems,Bondsofsimilarrisk(andmaturity)willbepricedtoyieldaboutthesamereturn,regardlessofthecouponrateIfyouknowthepriceofonebond,youcanestimateitsYTMandusethattofindthepriceofthesecondbondThisisausefulconceptthatcanbetransferredtovaluingassetsotherthanbonds,7-19,BondPriceswithaSpreadsheet,ThereisaspecificformulaforfindingbondpricesonaspreadsheetPRICE(Settlement,Maturity,Rate,Yld,Redemption,Frequency,Basis)YIELD(Settlement,Maturity,Rate,Pr,Redemption,Frequency,Basis)SettlementandmaturityneedtobeactualdatesTheredemptionandPrneedtobeinputas%ofparvalueClickontheExceliconforanexample,7-20,DifferencesBetweenDebtandEquity,DebtNotanownershipinterestCreditorsdonothavevotingrightsInterestisconsideredacostofdoingbusinessandistaxdeductibleCreditorshavelegalrecourseifinterestorprincipalpaymentsaremissedExcessdebtcanleadtofinancialdistressandbankruptcy,EquityOwnershipinterestCommonstockholdersvotefortheboardofdirectorsandotherissuesDividendsarenotconsideredacostofdoingbusinessandarenottaxdeductibleDividendsarenotaliabilityofthefirm,andstockholdershavenolegalrecourseifdividendsarenotpaidAnallequityfirmcannotgobankruptmerelyduetodebtsinceithasnodebt,7-21,TheBondIndenture,ContractbetweenthecompanyandthebondholdersthatincludesThebasictermsofthebondsThetotalamountofbondsissuedAdescriptionofpropertyusedassecurity,ifapplicableSinkingfundprovisionsCallprovisionsDetailsofprotectivecovenants,7-22,BondClassifications,Registeredvs.BearerFormsSecurityCollateralsecuredbyfinancialsecuritiesMortgagesecuredbyrealproperty,normallylandorbuildingsDebenturesunsecuredNotesunsecureddebtwithoriginalmaturitylessthan10yearsSeniority,7-23,BondCharacteristicsandRequiredReturns,ThecouponratedependsontheriskcharacteristicsofthebondwhenissuedWhichbondswillhavethehighercoupon,allelseequal?SecureddebtversusadebentureSubordinateddebentureversusseniordebtAbondwithasinkingfundversusonewithoutAcallablebondversusanon-callablebond,7-24,BondRatingsInvestmentQuality,HighGradeMoodysAaaandSlong-termyieldsarehigherthanshort-termyieldsInverteddownward-sloping;long-termyieldsarelowerthanshort-termyields,7-40,Figure7.6Upward-SlopingYieldCurve,7-41,Figure7.6Downward-SlopingYieldCurve,7-42,Figure7.7,InsertnewFigure7.7here,7-43,FactorsAffectingBondYields,RealrateofinterestExpectedfutureinflationpremiumInterestrateriskpremiumDefaultriskpremiumTaxabilitypremiumLiquiditypremium,7-44,QuickQuiz,Howdoyoufindthevalueofabond,andwhydobondpriceschange?Whatisabondindenture,andwhataresomeoftheimportantfeatures?Whatar