财务管理Chap008

InterestRatesandBondValuationChapter88-1KeyConceptsandSkillsKnowtheimportantbondfeaturesandbondtypesUnderstandbondvaluesandwhytheyfluctuateUnderstandbondratingsandwhattheymeanUnderstandtheimpactofinflationoninterestratesUnderstandthetermstructureofinterestratesandthedeterminantsofbondyields8-2ChapterOutline8.1BondsandBondValuation8.2GovernmentandCorporateBonds8.3BondMarkets8.4InflationandInterestRates8.5DeterminantsofBondYields8-38.1BondsandBondValuationAbondisalegallybindingagreementbetweenaborrowerandalenderthatspecifiesthe:Par(face)valueCouponrateCouponpaymentMaturityDateTheyieldtomaturityistherequiredmarketinterestrateonthebond.8-4BondValuationPrimaryPrinciple:Valueoffinancialsecurities=PVofexpectedfuturecashflowsBondvalueis,therefore,determinedbythepresentvalueofthecouponpaymentsandparvalue.Interestratesareinverselyrelatedtopresent(i.e.,bond)values.8-5TheBond-PricingEquationTTr)(1Frr)(11-1CValueBond8-6BondExampleConsideraU.S.governmentbondwithas63/8%couponthatexpiresinDecember2013.TheParValueofthebondis$1,000.Couponpaymentsaremadesemiannually(June30andDecember31forthisparticularbond).Sincethecouponrateis63/8%,thepaymentis$31.875.OnJanuary1,2009thesizeandtimingofcashflowsare:09/1/1875.31$09/30/6875.31$09/31/12875.31$13/30/6875.031,1$13/31/128-7BondExampleOnJanuary1,2009,therequiredyieldis5%.Thecurrentvalueis:17.060,1$)025.1(000,1$)025.1(11205.875.31$1010PV8-8BondExample:CalculatorPMTI/YFVPVNPV31.875=2.51,000–1,060.17101,000×0.063752Findthepresentvalue(asofJanuary1,2009),ofa63/8%couponbondwithsemi-annualpayments,andamaturitydateofDecember2013iftheYTMis5%.8-9BondExampleNowassumethattherequiredyieldis11%.Howdoesthischangethebond’sprice?69.825$)055.1(000,1$)055.1(11211.875.31$1010PV8-10YTMandBondValue800100011001200130000.010.020.030.040.050.060.070.080.090.1DiscountRateBondValue63/8WhentheYTMcoupon,thebondtradesatapremium.WhentheYTM=coupon,thebondtradesatpar.WhentheYTMcoupon,thebondtradesatadiscount.8-11BondConceptsBondpricesandmarketinterestratesmoveinoppositedirections.Whencouponrate=YTM,price=parvalueWhencouponrateYTM,priceparvalue(premiumbond)WhencouponrateYTM,priceparvalue(discountbond)8-12InterestRateRiskPriceRiskChangeinpriceduetochangesininterestratesLong-termbondshavemorepriceriskthanshort-termbondsLowcouponratebondshavemorepriceriskthanhighcouponratebonds.ReinvestmentRateRiskUncertaintyconcerningratesatwhichcashflowscanbereinvestedShort-termbondshavemorereinvestmentrateriskthanlong-termbonds.Highcouponratebondshavemorereinvestmentrateriskthanlowcouponratebonds.8-13MaturityandBondPriceVolatilityCConsidertwootherwiseidenticalbonds.Thelong-maturitybondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrate.DiscountRateBondValueParShortMaturityBondLongMaturityBond8-14CouponRatesandBondPricesConsidertwootherwiseidenticalbonds.Thelow-couponbondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrate.DiscountRateBondValueHighCouponBondLowCouponBondParC8-15ComputingYieldtoMaturityYieldtomaturityistherateimpliedbythecurrentbondprice.FindingtheYTMrequirestrialanderrorifyoudonothaveafinancialcalculatorandissimilartotheprocessforfindingrwithanannuity.Ifyouhaveafinancialcalculator,enterN,PV,PMT,andFV,rememberingthesignconvention(PMTandFVneedtohavethesamesign,PVtheoppositesign).8-16YTMwithAnnualCouponsConsiderabondwitha10%annualcouponrate,15yearstomaturity,andaparvalueof$1,000.Thecurrentpriceis$928.09.Willtheyieldbemoreorlessthan10%?N=15;PV=-928.09;FV=1,000;PMT=100CPTI/Y=11%8-17YTMwithSemiannualCoupons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%8-18CurrentYieldvs.YieldtoMaturityCurrentYield=annualcoupon/priceYieldtomaturity=currentyield+capitalgainsyieldExample:10%couponbond,withsemi-annualcoupons,facevalueof1,000,20yearstomaturity,$1,197.93priceCurrentyield=100/1197.93=.0835=8.35%Priceinoneyear,assumingnochangeinYTM=1,193.68Capitalgainyield=(1193.68–1197.93)/1197.93=-.0035=-.35%YTM=8.35-.35=8%,whichisthesameYTMcomputedearlier8-19BondPricingTheoremsBondsofsimilarrisk(andmaturity)willbepricedtoyieldaboutthesamereturn,regardlessofthecouponrate.Ifyouknowthepriceofonebond,youcanestimateitsYTMandusethattofindthepriceofthesecondbond.Thisisausefulconceptthatcanbetransferredtovaluingassetsotherthanbonds.8-20ZeroCouponBondsMakenoperiodicinterestpayments(couponrate=0%)TheentireyieldtomaturitycomesfromthedifferencebetweenthepurchasepriceandtheparvalueCannotsellformorethanparvalueSometimescalledzeroes,deepdiscountbonds,ororiginalissuediscountbonds(OIDs)TreasuryBillsandprincipal-onlyTreasurystripsaregoodexamplesofzeroes8-21PureDiscountBondsInformationneededforvaluingpurediscountbonds:Timetomaturity(T)=Maturitydate-today’sdateFacevalue(F)Discountrate(r)TrFPV)1(Presentvalueofapured