公司理财chap5

InterestRatesandBondValuation,Chapter5,KeyConceptsandSkills,UnderstandbondvaluesandwhytheyfluctuateUnderstandbondratingsandwhattheymeanUnderstandtheimpactofinflationoninterestratesUnderstandthetermstructureofinterestratesandthedeterminantsofbondyields,ChapterOutline,5.1BondsandBondValuation5.2MoreonBondFeatures5.3InflationandInterestRates5.4DeterminantsofBondYields,5.1BondsandBondValuation,Abondisalegallybindingagreementbetweenaborrowerandalenderthatspecifiesthe:Par(face)value(面值)Couponrate(票面利率)Couponpayment(票面利息)MaturityDate(到期日)Theyieldtomaturity(到期收益率)istherequiredmarketinterestrateonthebond.,BondValuation,PrimaryPrinciple:Valueoffinancialsecurities=PVofexpectedfuturecashflowsBondvalueis,therefore,determinedbythepresentvalueofthecouponpaymentsandparvalue.Interestratesareinverselyrelatedtopresent(i.e.,bond)values.,TheBondPricingEquation,Supposeacorporateissueda5-yearbondwith8%coupononJanuary1of2013.TheParValueofthebondis$1,000.Couponpaymentsaremadesemi-annually(June30andDecember31forthisparticularbond).Sincethecouponrateis8%,thepaymentis$40.OnJanuary1of2013thesizeandtimingofcashflowswillbe:,BondExample,OnJanuary1,2013,therequiredyieldis6%.Howcanwecalculatethebondvalue?,Nowassumethattherequiredyieldis12%.Whatisthebondsvaluenow?,Nowassumethattherequiredyieldisalso8%.Whatisthebondsvaluenow?,BondConcepts,Bondpricesandmarketinterestratesmoveinoppositedirections.Whencouponrate=YTM,price=parvalue(parbond)WhencouponrateYTM,priceparvalue(premiumbond)WhencouponrateYTM,priceparvalue(discountbond),Supposeafirmweretoissueabondwith10yearstomaturity.Thefacevalueofthebondis$1,000andtheannualcouponis$100.Whatisthevalueofthebondiftherequiredmarketinterestrateis8%/10%/12%?,Whatisthevalueofthebond2yearsafterissuing?,Whentherequiredmarketinterestrateisconstant:Thevalueofparbondwillmaintainunchanged.Thevalueofpremiumbondwillgraduallydecreasewiththecomingofmaturitydate.It=parvalueatmaturitydate.Thevalueofdiscountbondwillgraduallyincreasewiththecomingofmaturitydate.It=parvalueatmaturitydate.,InterestRateRisk,Changeinpriceduetochangesininterestrates:Allotherthingsbeingequal,thelongerthetimetomaturity,thegreatertheinterestraterisk.Allotherthingsbeingequal,thelowerthecouponrate,thegreatertheinterestraterisk.,Haveatry!,Supposeafirmhasabondwith20yearstomaturity.Thefacevalueofthebondis$20,000.Thebondmakesnopaymentsforthefirstsixyears,thenpays$800everysixmonthsoverthesubsequenteightyears,andfinallypays$1,000everysixmonthsoverthelast6years.Iftherequiredreturnonthebondis8%compoundedsemiannually,Whatisthecurrentpriceofthebond?,ComputingYieldtoMaturity,Yieldtomaturityistherateimpliedbythecurrentbondprice.FindingtheYTMrequirestrialanderrorandissimilartotheprocessforfindingRwithanannuity.,Supposeweareinterestedina6-year,8%couponbond.Thefacevalueofthebondis$1000andthepriceofthebondis$1115.WhatistheYTMofthisbond?,CurrentYieldvs.YieldtoMaturity,CurrentYield=annualcoupon/priceYieldtomaturity=Currentyield+CapitalgainsyieldExample:10%couponbond,withannualcoupons,facevalueof1,000,20yearstomaturity,$1,196.31priceCurrentyield=100/1196.31=8.36%Priceinoneyear(assumingnochangeinYTM)=1,192.06Capitalgainsyield=(1192.061196.31)/1196.31=-.36%YTM=8.36-.36=8%,PureDiscountBonds(纯贴现债券),Makenoperiodicinterestpayments(couponrate=0%)Theentireyieldtomaturitycomesfromthedifferencebetweenthepurchasepriceandtheparvalue.CannotsellformorethanparvalueSometimescalledzeroes,deepdiscountbonds,ororiginalissuediscountbonds(OIDs),Informationneededforvaluingpurediscountbonds:Timetomaturity(T)Facevalue(F)Discountrate(r),Presentvalueofapurediscountbondattime0:,PureDiscountBonds:Example,Findthevalueofa30-yearzero-couponbondwitha$1,000parvalueandaYTMof6%.,Consols(金边债券),Notallbondshaveafinalmaturity.Britishconsolspayasetamount(i.e.,coupon)everyperiodforever.Theseareexamplesofaperpetuity.,5.2MoreonBondFeatures,BondRatings:InvestmentQuality,HighGradeMoodysAaaandS&PAAAcapacitytopayinterestandprincipalisextremelystrongMoodysAaandS&PAAcapacitytopayisverystrongMediumGradeMoodysAandS&PAcapacitytopayisstrong,butmoresusceptibletotheadverseeffectsofchangesincircumstancesandeconomicconditionsMoodysBaaandS&PBBBcapacitytopayisadequate,adverseconditionswillhavemoreimpactonthefirmsabilitytopay,BondRatings:Speculative,LowGradeMoodysBaandBS&PBBandBConsideredspeculativewithrespecttocapacitytopayVeryLowGradeMoodysCandS&PCincomebondswithnointerestbeingpaidS&PDindefaultwithprincipalandinterestinarrears,GovernmentBonds,TreasurySecurities国库券FederalgovernmentdebtT-billspurediscountbondswithoriginalmaturitylessthanoneyearT-notescoupondebtwithoriginalmaturitybetweenoneandtenyearsT-bondscoupondebtwithoriginalmaturitygreaterthantenyearsMunicipalSecurities市政证券DebtofstateandlocalgovernmentsVaryingdegreesofdefaultrisk,ratedsimilartocorporatedebtInterestreceivedistax-exemptatthefederallevel,After-taxYields,Ataxablebondhasayieldof8%,andamunicipalbondhasayieldof6%.Ifyouareina40%taxbracket,whichbonddoyouprefer?8%(1-.4)=4.8%Theafter-taxreturnonthecorporatebondis4.8%,comparedtoa6%returnonthemunicipalAtwhattaxratewouldyoubeindifferentbetweenthetwobonds?8%(1T)=6%T=25%,5.3InflationandInterestRates,Supposetheone-yearinterestrateis15.5%.Imagineapizzacosts$5today.Assumetheinflationrateis5%.Ifyouhave$100today,howmanypizzascanyoubuytoday?Ifyoudeposit$100inabank,howmanypizzascanyoubuynextyear?,RealrateofinterestchangeinpurchasingpowerNominalrateofinterestquotedrateofinterest,changeinpurchasingpowerandinflationTheexantenominalrateofinterestincludesourdesiredrealrateofreturnplusanadjustmentforexpectedinflation.,TheFisherEffect,TheFisherEffectdefinestherelationshipbetweenrealrates,nominalrates,andinflation.1+R=(1+r)(1+h),whereR=nominalrater=realrateh=expectedinflationrateApproximationR=r+h,TheFisherEffect:Example,Ifwerequirea10%realreturnandweexpectinflationtobe8%,whatisthenominalrate?R=(1.1)(1.08)1=.188=18.8%Approximation:R=10%+8%=18%Becausetherealreturnandexpectedinflationarerelativelyhigh,thereisasignificantdifferencebetweentheactualFisherEffectandtheapproximation.,5.4DeterminantsofBondYields,Termstructureofinterestratesistherelationshipbetweentimetomaturityandyields,allelseequal.Itisimportanttorecognizethatwepullouttheeffectofdefaultrisk,differentcoupons,etc.YieldcurvegraphicalrepresentationofthetermstructureNormalupward-sloping,long-termyieldsarehigherthanshort-termyieldsInverteddownward-sloping,long-termyieldsarelowerthanshort-termyields,FactorsAffectingRequiredReturn,DefaultriskpremiumrememberbondratingsTax