taiwan财务管理_lecture4(ch4)

©TheMcGraw-HillCompanies,Inc.,20014-1Irwin/McGraw-HillIrwin/McGraw-HillChapter4FundamentalsofCorporateFinanceThirdEditionValuingBondsBrealeyMyersMarcusslidesbyMatthewWillIrwin/McGraw-Hill©TheMcGraw-HillCompanies,Inc.,2001©TheMcGraw-HillCompanies,Inc.,20014-2Irwin/McGraw-HillIrwin/McGraw-HillTopicsCoveredBondCharacteristicsreadingthefinancialpagesBondPricesandYieldsBondpricesandinterestratesYTMvs.currentyieldRateofReturnInterestRateRiskTheYieldCurveNominalandRealRatesofInterestDefaultRisk©TheMcGraw-HillCompanies,Inc.,20014-3Irwin/McGraw-HillBondsTerminologyBond-Securitythatobligatestheissuertomakespecifiedpaymentstothebondholder.Coupon-Theinterestpaymentsmadetothebondholder.FaceValue(ParValueorMaturityValue)-Paymentatthematurityofthebond.CouponRate-Annualinterestpayment,asapercentageoffacevalue.©TheMcGraw-HillCompanies,Inc.,20014-4Irwin/McGraw-HillBondsWARNINGThecouponrateISNOTthediscountrateusedinthePresentValuecalculations.Thecouponratemerelytellsuswhatcashflowthebondwillproduce.Sincethecouponrateislistedasa%,thismisconceptionisquitecommon.©TheMcGraw-HillCompanies,Inc.,20014-5Irwin/McGraw-HillBondPricingThepriceofabondisthePresentValueofallcashflowsgeneratedbythebond(i.e.couponsandfacevalue)discountedattherequiredrateofreturn.PVcpnrcpnrcpnparrt()()....()()11112©TheMcGraw-HillCompanies,Inc.,20014-6Irwin/McGraw-HillBondPricingExampleWhatisthepriceofa6%annualcouponbond,witha$1,000facevalue,whichmaturesin3years?Assumearequiredreturnof5.6%.77.010,1$)056.1(060,1)056.1(60)056.1(60321PVPV©TheMcGraw-HillCompanies,Inc.,20014-7Irwin/McGraw-HillBondPricingExample(continued)Whatisthepriceofthebondiftherequiredrateofreturnis6%?000,1$)06.1(060,1)06.1(60)06.1(60321PVPV©TheMcGraw-HillCompanies,Inc.,20014-8Irwin/McGraw-HillBondPricingExample(continued)Whatisthepriceofthebondiftherequiredrateofreturnis15%?51.794$)15.1(060,1)15.1(60)15.1(60321PVPV©TheMcGraw-HillCompanies,Inc.,20014-9Irwin/McGraw-HillBondPricingExample(continued)Whatisthepriceofthebondiftherequiredrateofreturnis5.6%ANDthecouponsarepaidsemi-annually?91.010,1$)028.1(030,1)028.1(30...)028.1(30)028.1(306521PVPV©TheMcGraw-HillCompanies,Inc.,20014-10Irwin/McGraw-HillBondPricingExample(continued)Q:Howdidthecalculationchange,givensemi-annualcouponsversusannualcouponpayments?TimePeriodsPayingcouponstwiceayear,insteadofoncedoublesthetotalnumberofcashflowstobediscountedinthePVformula.DiscountRateSincethetimeperiodsarenowhalfyears,thediscountrateisalsochangedfromtheannualratetothehalfyearrate.©TheMcGraw-HillCompanies,Inc.,20014-11Irwin/McGraw-HillBondYieldsCurrentYield-Annualcouponpaymentsdividedbybondprice.YieldToMaturity-Interestrateforwhichthepresentvalueofthebond’spaymentsequaltheprice.©TheMcGraw-HillCompanies,Inc.,20014-12Irwin/McGraw-HillBondYieldsCalculatingYieldtoMaturity(YTM=r)Ifyouaregiventhepriceofabond(PV)andthecouponrate,theyieldtomaturitycanbefoundbysolvingforr.PVcpnrcpnrcpnparrt()()....()()11112©TheMcGraw-HillCompanies,Inc.,20014-13Irwin/McGraw-HillBondYieldsExampleWhatistheYTMofa6%annualcouponbond,witha$1,000facevalue,whichmaturesin3years?Themarketpriceofthebondis$1,010.7777.010,1$)1(060,1)1(60)1(60321PVrrrPV©TheMcGraw-HillCompanies,Inc.,20014-14Irwin/McGraw-HillBondYieldsWARNINGCalculatingYTMbyhandcanbeverytedious.Itishighlyrecommendedthatyoulearntousethe“IRR”or“YTM”or“i”functionsonafinancialcalculator.©TheMcGraw-HillCompanies,Inc.,20014-15Irwin/McGraw-HillBondYieldsRateofReturn-Earningsperperiodperdollarinvested.Rateofreturn=totalincomeinvestmentRateofreturn=Couponincome+pricechangeinvestment©TheMcGraw-HillCompanies,Inc.,20014-16Irwin/McGraw-HillInterestRateRisk8809009209409609801,0001,0201,0401,0601,080051015202530TimetoMaturityBondPricePremiumBondDiscountBond©TheMcGraw-HillCompanies,Inc.,20014-17Irwin/McGraw-HillInterestRateRisk-5001,0001,5002,0002,5003,0000246810YTM$BondPrice30yrbond3yrbond©TheMcGraw-HillCompanies,Inc.,20014-18Irwin/McGraw-HillNominalandRealrates0246810121416828588919497YearPercentYieldonUKnominalbondsYieldonUKindexedbonds©TheMcGraw-HillCompanies,Inc.,20014-19Irwin/McGraw-HillDefaultRiskCreditriskDefaultpremiumInvestmentgradeJunkbonds©TheMcGraw-HillCompanies,Inc.,20014-20Irwin/McGraw-HillDefaultRiskStandardMoody's&Poor'sSafetyAaaAAAThestrongestrating;abilitytorepayinterestandprincipalisverystrong.AaAAVerystronglikelihoodthatinterestandprincipalwillberepaidAAStrongabilitytorepay,butsomevulnerabilitytochangesincircumstancesBaaBBBAdequatecapacitytorepay;morevulnerabilitytochangesineconomiccircumstancesBaBBConsiderableuncertaintyaboutabilitytorepay.BBLikelihoodofinterestandprincipalpaymentsoversustainedperiodsisquestionable.CaaCCCBondsintheCaa/CCCandCa/CCclassesmayalreadybeCaCCindefaultorindangerofimminentdefaultCCC-ratedbondsofferlittleprospectforinterestorprincipalonthedebtevertoberepaid.©TheMcGraw-HillCompanies,Inc.,20014-21Irwin/McGraw-HillCorporateBondsZerocouponsFloatingratebondsConvertiblebonds©TheMcGraw-HillCompanies,Inc.,20014-22Irwin/McGraw-HillTheYieldCurveTermStru