(债券及固定收益证券的评价).ppt

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1、Chapter 4 Valuing Bonds(債券及固定收益證券的評價債券及固定收益證券的評價)1 1Topics CoveredBond Characteristics(Bond Characteristics(債券的特性債券的特性)Reading the financial pagesReading the financial pagesBond Prices and YieldsBond Prices and Yields Bond prices and interest rates(Bond prices and interest rates(債券的價格與利率之關債券的價格與利率之關

2、係係)YTM vs.current yield(YTM vs.current yield(債券殖利率與當期收益率債券殖利率與當期收益率)Rate of Return(Rate of Return(債券的報酬債券的報酬)Interest Rate Risk(Interest Rate Risk(利率風險利率風險)The Yield Curve(The Yield Curve(收益線收益線)Nominal and Real Rates of Interest(Nominal and Real Rates of Interest(名目與實質利率名目與實質利率)Default Risk(Default

3、 Risk(違約風險違約風險)2 2BondsTerminologyTerminologyBond Bond-Security that obligates the issuer to-Security that obligates the issuer to make specified payments to the bondholder.make specified payments to the bondholder.Coupon(Coupon(票息票息 or or 票面利息票面利息)-The interest The interest payments made to the bon

4、dholder.payments made to the bondholder.Face Value(Face Value(面額面額)(Par Value or Maturity Value)Par Value or Maturity Value)-Payment at the maturity of the bond.Payment at the maturity of the bond.Coupon Rate(Coupon Rate(票面利率票面利率)-Annual interest -Annual interest payment,as a percentage of face valu

5、e.payment,as a percentage of face value.3 3BondsWARNINGThe coupon rate IS NOT the discount rate used in the Present Value calculations.The coupon rate merely tells us what cash flow The coupon rate merely tells us what cash flow the bond will produce.the bond will produce.Since the coupon rate is li

6、sted as a%,this Since the coupon rate is listed as a%,this misconception is quite common.misconception is quite common.4 4Bond PricingThe price of a bond is the Present Value of all cash flows generated by the bond(i.e.coupons and face value)discounted at the required rate of return.5 5Bond PricingT

7、he price of a bond is the Present Value of all cash flows generated by the bond(i.e.coupons and face value)discounted at the required rate of return.6 6Bond PricingExample 1Example 1 (溢價債券溢價債券溢價債券溢價債券:債券價格高於面值債券價格高於面值債券價格高於面值債券價格高於面值)What is the price of a 6%annual coupon bond,with What is the price

8、 of a 6%annual coupon bond,with a$1,000 face value,which matures in 3 years?a$1,000 face value,which matures in 3 years?Assume a required return of 5.6%.Assume a required return of 5.6%.7 7What is the price for the 3 year bonds with 10%coupon interest and the market interest rate is 5%?When interest

9、 rates,bond prices will Always go up.Note:the equationfor calculating price is=PV(rate,nper,pmt,fv)Bonds with Maturity DatesAnnual Compounding Using Excel8 8Bond PricingExample 2Example 2 (平價債券平價債券平價債券平價債券:債券價格等於面值債券價格等於面值債券價格等於面值債券價格等於面值)What is the price of the bond if the required rate of What is

10、 the price of the bond if the required rate of return is 6%?return is 6%?9 9Using ExcelFor example,find the price of a 10%coupon bond with three years to maturity if market interest rates are currently 10%.Note:the equationfor calculating price is=PV(rate,nper,pmt,fv)Bonds with Maturity DatesAnnual

11、Compounding 1010Bond PricingExample 3Example 3 (折價債券折價債券折價債券折價債券:債券價格低於面值債券價格低於面值債券價格低於面值債券價格低於面值)What is the price of the bond if the required rate of What is the price of the bond if the required rate of return is 15%?return is 15%?1111What is the price for the 3 year bonds with 10%coupon interest

12、 and the market interest rate is 15%?When the interestrate goes up,the bond price will always go down.Bonds with Maturity DatesAnnual Compounding Using Excel1212Bond PricingExample 4Example 4 (半年計息債券半年計息債券半年計息債券半年計息債券)What is the price of the bond if the required rate of What is the price of the bon

13、d if the required rate of return is 5.6%AND the coupons are paid semi-return is 5.6%AND the coupons are paid semi-annually?annually?1313Thus,the value isslightly larger than theprice of the annual coupon bond(1,136.16)because the investorreceives paymentssooner.If we had the same bond,but with semi-

14、annual coupon payments,we would have to divide the 10%coupon rate by two,divided the discount rate by two,and multiply n by two.Bonds with Maturity DatesSemi-Annual Compounding Using Excel1414Bond PricingExample(continued)Example(continued)Q:How did the calculation change,given semi-annual Q:How did

15、 the calculation change,given semi-annual coupons versus annual coupon payments?coupons versus annual coupon payments?Time PeriodsPaying coupons twice a year,instead of once doubles the total number of cash flows to be discounted in the PV formula.Discount RateSince the time periods are now half yea

16、rs,the discount rate is also changed from the annual rate to the half year rate.1515Graphically:價格與利率成反比As interest rates go upBond prices go down1616Bond YieldsCurrent YieldCurrent Yield(當期收益率當期收益率=票息票息/債券價格債券價格)-)-Annual coupon payments divided by bond Annual coupon payments divided by bond price.price.Note:Note:溢價債券溢價債券:當期收益率當期收益率 殖利率殖利率 平價債券平價債券:當期收益率當期收益率=殖利率殖利率 折價債券折價債券:當期收益率當期收益率 R;Interest,YTM 0).5454Other Factors that Influence Interest Rate LevelsFederal reserve policyFederal budget surplus or deficitLevel of business activityInternational factors5555