公司理财原版英文课件Chap008

InterestRatesandBondValuation,Chapter8,Copyright2010bytheMcGraw-HillCompanies,Inc.Allrightsreserved.,McGraw-Hill/Irwin,KeyConceptsandSkills,KnowtheimportantbondfeaturesandbondtypesUnderstandbondvaluesandwhytheyfluctuateUnderstandbondratingsandwhattheymeanUnderstandtheimpactofinflationoninterestratesUnderstandthetermstructureofinterestratesandthedeterminantsofbondyields,ChapterOutline,8.1BondsandBondValuation8.2GovernmentandCorporateBonds8.3BondMarkets8.4InflationandInterestRates8.5DeterminantsofBondYields,8.1BondsandBondValuation,Abondisalegallybindingagreementbetweenaborrowerandalenderthatspecifiesthe:Par(face)valueCouponrateCouponpaymentMaturityDateTheyieldtomaturityistherequiredmarketinterestrateonthebond.,BondValuation,PrimaryPrinciple:Valueoffinancialsecurities=PVofexpectedfuturecashflowsBondvalueis,therefore,determinedbythepresentvalueofthecouponpaymentsandparvalue.Interestratesareinverselyrelatedtopresent(i.e.,bond)values.,TheBond-PricingEquation,BondExample,ConsideraU.S.governmentbondwithas63/8%couponthatexpiresinDecember2013.TheParValueofthebondis$1,000.Couponpaymentsaremadesemiannually(June30andDecember31forthisparticularbond).Sincethecouponrateis63/8%,thepaymentis$31.875.OnJanuary1,2009thesizeandtimingofcashflowsare:,BondExample,OnJanuary1,2009,therequiredyieldis5%.Thecurrentvalueis:,BondExample:Calculator,PMT,I/Y,FV,PV,N,PV,31.875=,2.5,1,000,1,060.17,10,Findthepresentvalue(asofJanuary1,2009),ofa63/8%couponbondwithsemi-annualpayments,andamaturitydateofDecember2013iftheYTMis5%.,BondExample,Nowassumethattherequiredyieldis11%.Howdoesthischangethebondsprice?,YTMandBondValue,800,1000,1100,1200,1300,0,0.01,0.02,0.03,0.04,0.05,0.06,0.07,0.08,0.09,0.1,DiscountRate,BondValue,WhentheYTMcoupon,thebondtradesatadiscount.,BondConcepts,Bondpricesandmarketinterestratesmoveinoppositedirections.Whencouponrate=YTM,price=parvalueWhencouponrateYTM,priceparvalue(premiumbond)WhencouponrateYTM,priceparvalue(discountbond),InterestRateRisk,PriceRiskChangeinpriceduetochangesininterestratesLong-termbondshavemorepriceriskthanshort-termbondsLowcouponratebondshavemorepriceriskthanhighcouponratebonds.ReinvestmentRateRiskUncertaintyconcerningratesatwhichcashflowscanbereinvestedShort-termbondshavemorereinvestmentrateriskthanlong-termbonds.Highcouponratebondshavemorereinvestmentrateriskthanlowcouponratebonds.,MaturityandBondPriceVolatility,Considertwootherwiseidenticalbonds.Thelong-maturitybondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrate.,CouponRatesandBondPrices,Considertwootherwiseidenticalbonds.Thelow-couponbondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrate.,HighCouponBond,LowCouponBond,ComputingYieldtoMaturity,Yieldtomaturityistherateimpliedbythecurrentbondprice.FindingtheYTMrequirestrialanderrorifyoudonothaveafinancialcalculatorandissimilartotheprocessforfindingrwithanannuity.Ifyouhaveafinancialcalculator,enterN,PV,PMT,andFV,rememberingthesignconvention(PMTandFVneedtohavethesamesign,PVtheoppositesign).,YTMwithAnnualCoupons,Considerabondwitha10%annualcouponrate,15yearstomaturity,andaparvalueof$1,000.Thecurrentpriceis$928.09.Willtheyieldbemoreorlessthan10%?N=15;PV=-928.09;FV=1,000;PMT=100CPTI/Y=11%,YTMwithSemiannualCoupons,Supposeabondwitha10%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.YieldtoMaturity,CurrentYield=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=(1193.681197.93)/1197.93=-.0035=-.35%YTM=8.35-.35=8%,whichisthesameYTMcomputedearlier,BondPricingTheorems,Bondsofsimilarrisk(andmaturity)willbepricedtoyieldaboutthesamereturn,regardlessofthecouponrate.Ifyouknowthepriceofonebond,youcanestimateitsYTMandusethattofindthepriceofthesecondbond.Thisisausefulconceptthatcanbetransferredtovaluingassetsotherthanbonds.,ZeroCouponBonds,Makenoperiodicinterestpayments(couponrate=0%)TheentireyieldtomaturitycomesfromthedifferencebetweenthepurchasepriceandtheparvalueCannotsellformorethanparvalueSometimescalledzeroes,deepdiscountbonds,ororiginalissuediscountbonds(OIDs)TreasuryBillsandprincipal-onlyTreasurystripsaregoodexamplesofzeroes,PureDiscountBonds,Informationneededforvaluingpurediscountbonds:Timetomaturity(T)=Maturitydate-todaysdateFacevalue(F)Discountrate(r),Presentvalueofapurediscountbondattime0:,PureDiscountBonds:Example,Findthevalueofa15-yearzero-couponbondwitha$1,000parvalueandaYTMof12%.,BondPricingwithaSpreadsheet,Therearespecificformulasforfindingbondpricesandyieldsonaspreadsheet.PRICE(Settlement,Maturity,Rate,Yld,Redemption,Frequency,Basis)YIELD(Settlement,Maturity,Rate,Pr,Redemption,Frequency,Basis)SettlementandmaturityneedtobeactualdatesTheredemptionandPrneedtogivenas%ofparvalueClickontheExceliconforanexample.,8.2GovernmentandCorporateBonds,TreasurySecuritiesFederalgovernmentdebtT-billspurediscountbondswithoriginalmaturitylessthanoneyearT-notescoupondebtwithoriginalmaturitybetweenoneandtenyearsT-bondscoupondebtwithoriginalmaturitygreaterthantenyearsMunicipalSecuritiesDebtofstateandlocalgovernmentsVaryingdegreesofdefaultrisk,ratedsimilartocorporatedebtInterestreceivedistax-exemptatthefederallevel,After-taxYields,Ataxablebondhasayieldof8%,andamunicipalbondhasayieldof6%.Ifyouareina40%taxbracket,whichbonddoyouprefer?8%(1-.4)=4.8%Theafter-taxreturnonthecorporatebondis4.8%,comparedtoa6%returnonthemunicipalAtwhattaxratewouldyoubeindifferentbetweenthetwobonds?8%(1T)=6%T=25%,CorporateBonds,GreaterdefaultriskrelativetogovernmentbondsThepromisedyield(YTM)maybehigherthantheexpectedreturnduetothisaddeddefaultrisk,BondRatingsInvestmentQuality,HighGradeMoodysAaaandS&PAAAcapacitytopayisextremelystrongMoodysAaandS&PAAcapacitytopayisverystrongMediumGradeMoodysAandS&PAcapacitytopayisstrong,butmoresusceptibletochangesincircumstancesMoodysBaaandS&PBBBcapacitytopayisadequate,adverseconditionswillhavemoreimpactonthefirmsabilitytopay,BondRatings-Speculative,LowGradeMoodysBaandBS&PBBandBConsideredspeculativewithrespecttocapacitytopay.VeryLowGradeMoodysCS&PC&DHighlyuncertainrepaymentand,inmanycases,alreadyindefault,withprincipalandinterestinarrears.,8.3BondMarkets,Primarilyover-the-countertransactionswithdealersconnectedelectronicallyExtremelylargenumberofbondissues,butgenerallylowdailyvolumeinsingleissuesMakesgettingup-to-datepricesdifficult,particularlyonasmallcompanyormunicipalissuesTreasurysecuritiesareanexception,TreasuryQuotations,8Nov25132:23132:24-125.14Whatisthecouponrateonthebond?Whendoesthebondmature?Whatisthebidprice?Whatdoesthismean?Whatistheaskprice?Whatdoesthismean?Howmuchdidthepricechangefromthepreviousday?Whatistheyieldbasedontheaskprice?,CleanversusDirtyPrices,Cleanprice: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.,8.4InflationandInterestRates,RealrateofinterestchangeinpurchasingpowerNominalrateofinterestquotedrateofinterest,changeinpurchasingpowerandinflationTheexantenominalrateofinterestincludesourdesiredrealrateofreturnplusanadjustmentforexpectedinflation.,RealversusNominalRates,(1+R)=(1+r)(1+h),whereR=nominalrater=realrateh=expectedinflationrateApproximationR=r+h,Inflation-LinkedBonds,MostgovernmentbondsfaceinflationriskTIPS(TreasuryInflation-ProtectedSecurities),however,eliminatethisriskbyprovidingpromisedpaymentsspecifiedinreal,ratherthannominal,terms,TheFisherEffect:Example,Ifwerequirea10%realreturnandweexpectinflationtobe8%,whatisthenominalrate?R=(1.1)(1.08)1=.188=18.8%Approximation:R=10%+8%=18%Becausetherealreturnandexpectedinflationarerelativelyhigh,thereisasignificantdifferencebetweentheactualFisherEffectandtheapproximation.,8.5De