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CHNG 2

HNG HA TRN TH TRNG ClickCHNG KHON style to edit Master subtitle

Nhng im chnh
I.Chng khon vn (c phiu) II.Chng khon n ( tri phiu) III.Chng khon phi sinh

Chng khon

Chng khon l bng chng xc nhn quyn v li ch hp php ca ngi s hu i vi mt phn ti sn hoc phn vn ca t chc pht hnh. Chng khon c th hin di hnh thc chng ch, bt ton ghi s hoc d liu in t, bao gm cc loi: c phiu, tri phiu, chng ch qu, chng khon phi sinh (quyn mua c phn, chng quyn, quyn chn mua, quyn chn bn, hp ng tng lai, nhm chng khon hoc ch
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I. CHNG KHON VN
L

chng t xc nhn quyn v li ch hp php

ca ngi nm gi i vi mt phn thu nhp thun v ti sn (thun) ca doanh nghip. C phiu, chng ch qu
Ngi

nm gi cc chng khon vn (c phiu)

hng nm thng c nhn mt khon tin m ngi ta gi l c tc (dividends). Gi tr ca c tc ty thuc vo kt qu kinh doanh ca cng ty.
Cc

chng khon vn (c phiu) khng c thi

C phiu - Stocks
C phiu l mt chng khon xc nhn quyn v li ch hp php ca ngi s hu i vi mt phn vn c phn ca ch th pht hnh. (Lut chng khon 2006).

V d v vn c phn
TI SN
A.

NGUN VN
A.

TI SN NGN HN

N PHI TR Vn n N ngn hn N di hn (bao gm tri phiu) VN CH S HU Vn c phn Vn iu l Vn thng d Qu tch ly/ Li nhun gi li

B.TI SN DI HN

1.

2.

A.

1.

2.

3.

c im ca c phiu

Khi mua c phiu, nh u t tr thnh nhng ch s hu i vi cng ty, chu trch nhim hu hn trong phm vi vn gp ca mnh. Trong trng hp cng ty b ph sn, c ng ch nhn c nhng g sau khi cng ty trang tri xong cc khon ngha v khc nh thu, n ngn hng, tri phiu. C phiu l cng c khng c thi hn. C ngha l c ng s khng bao gi c cng ty tr li vn gp ging nh tri phiu, m ch c nhn c tc hng nm. Trong trng hp c ng mun thu hi vn, ch c cch l bn c phiu cho nh u t khc trn th trng th cp. C 2 loi c phiu: c phiu ph thng v c phiu u i

C phiu ph thng/ c phiu thng Common stocks


L C

loi c phiu ph bin nht. ng s hu c phiu thng l ngi ch s

hu ca cng ty, chu trch nhim hu hn trong phm vi vn gp.

C phiu ph thng/ c phiu thng Common stocks


v

C phiu thng l chng nhn gp vn khng c k hn v khng hon vn vo cng ty c phn. C tc ca c phiu thng khng c nh, ty thuc vo kt qu hot ng kinh doanh. Khi cng ty b ph sn, c ng thng l ngi cui cng c hng gi tr cn li ca ti sn thanh l.

C phiu ph thng/ c phiu thng Common stocks


Quyn li ca c ng thng:

Quyn hng c tc Quyn tin mi Quyn biu quyt Quyn c chia ti sn thanh l

10

C phiu ph thng/ c phiu thng Common stocks


Phn loi theo c im cng ty:

C phiu thng hng (Blue chip stocks) C phiu tng trng (Growth Stocks) C phiu thu nhp (income stocks): C phiu chu k C phiu theo ma

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C phiu blue chip


L

c phiu hng cao ca cc cng ty c lch s

pht trin lu i, vng mnh v kh nng sinh li v chi tr c tc.


y

l mt khi nim rt quen thuc trn TTCK

VN. Nhng c phiu blue chip nh VNM, STB, DHG, REE, FPT, DPM, l nhng c phiu ca cc cng ty ln, c mt qu trnh pht trin lu di v n nh.
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C phiu tng trng (Growth Stocks)


C

phiu c pht hnh bi nhng cng ty ang

trn tng trng nhanh. Cng ty ny thng quan tm n vic u t m rng sn xut, nghin cu ch to sn phm mi, thng gi li ht li nhun ti u t. Do c tc thng rt t hoc khng c.

13

C phiu thu nhp (income stocks):


L

c phiu m c tc thng c tr cao hn

so vi mc trung bnh trn th trng. Loi c phiu ny ph hp vi nhng ngi hu tr hoc ln tui.

14

C phiu chu k
L

nhng c phiu m thu nhp ca n dao ng

theo chu k kinh t.

Khi iu kin kinh t pht trin n nh, cng ty c thu nhp kh, tch ly nhiu, gi c phiu cng tng cao trn th trng. Ngc li khi kinh t kh khn, vic kinh doanh ca cng ty gim st v gi c phiu cng gim.

Nhng

ngnh mang tnh chu k nh: thp, xi


15

mng, xy dng, thit b my, ng c.

C phiu theo ma
L

nhng c phiu ca cc cng ty m thu nhp

tng cao vo nhng ma nht nh trong nm

16

C phiu u i - prefered stocks


v

Va c c im ging c phiu thng va c c im ging tri phiu. L loi giy chng nhn c ng c u tin so vi c ng thng v mt ti chnh nhng b hn ch v quyn hn i vi cng ty gp vn.

17

C phiu u i - prefered stocks


v

c im chng khon vn, c thi hn v hn c tc c nh s trng hp, ch s hu khng c quyn s hu c chia ti sn thanh l trc ch

L C a

biu quyt
Ch

s hu c phiu thng

18

C phiu u i - prefered stocks


v

Phn loi c phiu u i: C phiu u i tch ly C phiu u i khng tch ly C phiu u i c chia phn C phiu u i c th chuyn i thnh c phiu thng C phiu u i c th chuc li
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C phiu u i - prefered stocks


Ti VN:

C phiu u i biu quyt phiu u i c tc phiu u i hon li:

C C

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Phn bit c phiu thng v c phiu u i


C phiu thng C phiu u i

C tc ph thuc vo kt quC tc c nh + phn kinh doanh ph tri C tc c chia sau c tc C tc c chia trc u i C quyn biu quyt L ngi cui cng c chia ti sn thanh l C hoc khng c chia ti sn thanh l trc c phiu thng
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II. CHNG KHON N


Khi

nim: Chng khon n hay cng c n l

nhng tha thun trong ngi vay s cam kt thanh ton cho ngi nm gi nhng cng c n nhng khon tin li nht nh vo nhng thi im nht nh v thanh ton vn gc vo thi im o hn V d: Repos , NCDs, Commercial papers, Mortgage, Bonds (Tri phiu)

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Tri phiu (bond)


v

Tri phiu l loi chng khon xc nhn quyn v li ch hp php ca ngi s hu i vi mt phn vn n ca ch th pht hnh. (Lut chng khon 2006).

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c im ca tri phiu

L chng khon n, ngi s hu tri phiu l ch n ca ch th pht hnh. Tri phiu c thi hn v mnh gi xc nh r s tin n v thi hn n. Mnh gi tri phiu l c s tnh li cho ngi s hu tri phiu. Ngi s hu tri phiu c hng tri tc mt mc c nh (i vi loi tri phiu coupon), khng ph thuc vo kt qu sn xut kinh doanh ca cng ty. Tri phiu t ri ro. Tri phiu chnh ph c ri ro thanh ton bng 0.

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Ch th pht hnh
C

hai loi ngi ch th pht hnh tri phiu l

chnh ph (trung ng v a phng) v doanh nghip.


Chnh

ph l ch th pht hnh ng tin cy nht do

c c nhng iu kin m bo cao nht cho vic hon tr vn gc v li. C th ni ri ro thanh ton ca tri phiu chnh ph bng 0 v ri ro thanh ton ca tri phiu cng ty ty thuc vo doanh nghip pht hnh.
Ngoi

ri ro thanh ton, tri phiu chnh ph vn chu 25

Thi hn ca tri phiu


Thi

hn ca tri phiu l ngy chm dt s tn

ti ca khon n, ch th pht hnh s thu hi tri phiu bng cch hon tr vn gc.
Tri Tri Tri

phiu ngn hn: thi hn t 1 5 nm phiu trung hn: thi hn t 5 10 nm phiu di hn: t 10 nm tr ln

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Phn loi tri phiu


v

Cn c vo ch th pht hnh: Tri phiu chnh ph (government bond): do chnh ph trung ng v chnh quyn a phng pht hnh Tri phiu cng ty (corporate bond): do doanh nghip pht hnh

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Tri phiu chnh ph


Tri

phiu do chnh ph trung ng hoc chnh

quyn a phng pht hnh nhm mc ch b p thm ht ngn sch, ti tr cho cc cng trnh cng ch hoc lm cng c iu tit tin t.
L

loi chng khon khng c ri ro thanh ton v

cng l loi chng khon c tnh thanh khon cao. Li sut ca tri phiu chnh ph c xem l li sut chun lm cn c n nh li sut ca cc cng c n khc c cng k hn.
Ti

Vit Nam, tri phiu chnh ph bao gm: tn

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Tri phiu cng ty


L

chng khon c pht hnh di hnh thc

chng ch hoc bt ton ghi s xc nhn ngha v tr n bao gm c gc v li ca cng ty pht hnh. Tri phiu cng ty c nhiu loi nh: - Tri phiu c th chp (mortgage bond) - Tri phiu khng th chp (debenture bond)
-

Tri phiu c th chuyn i (convertible bond) Tri phiu c iu khon thu hi (callable bond)
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Tri phiu chuyn i (convertible bond)


L

tri phiu c th chuyn i thnh c phiu

thng ca cng mt t chc pht hnh theo nhng iu kin c xc nh trc v t l chuyn i, gi c chuyn i v s lng chuyn i.
Ngi

pht hnh tri phiu chuyn i cng dnh

cho ngi mua quyn quyt nh c chuyn i sang c phiu hay khng. Ngi nm gi tri phiu chuyn i c quyn khng chuyn sang c
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Phn

Tri phiu c iu khon thu hi (callable bond)


c gi l tri phiu c iu khon thu hi.

ln cc cam kt ca tri phiu cng ty u bao

gm iu khon thu hi. Nhng tri phiu nh vy

iu

khon thu hi quy nh rng, ngi pht hnh

c quyn yu cu ngi nm gi tri phiu bn li tri phiu cho ngi pht hnh. Ti sao vy?
Khi

thu hi, ngi pht hnh s tr cho ngi nm

gi mt khon tin bng hoc cao hn mnh gi.


Gi

ca tri phiu c iu khon thu hi v tri phiu 31

Phn loi tri phiu


v

Cn c theo phng thc tr li tc: Tri phiu c tr li nh k (coupon bond) Tri phiu khng tr li nh k (zero-coupon bond) Tri phiu chit khu (discount bond)

32

Tri phiu c tr li nh k (coupon bond)


L

tri phiu m ch th pht hnh s tr li

c n nh theo nh k 6 thng hoc 1 nm. Thng thng khi pht hnh, gi pht hnh bng vi mnh gi v khon tin ny s c hon tr mt ln khi o hn.
VD:

1 tri phiu c mnh gi 1000, li sut coupon

l 8%/nm, thi gian o hn l 5 nm, pht hnh vo thng 3/2008. Tri ch s nhn c 80 USD vo thng 3 mi nm t nm 2009 n 2013. V
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Tri phiu khng tr li nh k (zero-coupon bond)


L

loi tri phiu c pht hnh bng mnh gi, 1 tri phiu c mnh gi 1000 USD, c pht

li c tr 1 ln vo thi im o hn.
VD:

hnh vi gi 1000USD, thi gian o hn l 5 nm, pht hnh vo thng 3/2008. Trong sut thi gian 5 nm, tri ch khng nhn c bt c khon tin no t ch th pht hnh. n thi gian o hn vo thng 3/2013, tri ch s nhn c 1 khon tin bao gm c gc ln li, l 1469 USD chng
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Tri phiu chit khu (discount bond)


L

loi tri phiu c pht hnh vi gi thp hn

so vi mnh gi, tri ch s nhn c mt khon tin bng mnh gi vo ngy o hn ca tri phiu.
VD:

1 tri phiu c mnh gi 1000 USD, c pht

hnh vi gi 700USD, thi gian o hn l 5 nm, pht hnh vo thng 3/2008. Trong sut thi gian 5 nm, tri ch khng nhn c bt c khon tin no t ch th pht hnh. n thi gian o hn
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III. CHNG KHON PHI SINH (derivatives)


Khi nim:
q

CK phi sinh l mt loi cng c ti chnh m gi tr ca chng ty thuc vo gi tr ca nhng bin c s. Bin c s: gi hng ha, tin t hoc chng khon khc.

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Mt s loi chng khon phi sinh


Quyn mua c phn (preemptive right) Chng quyn (warrants) Hp ng k hn (forward contracts) Hp ng tng lai (future contracts) Quyn chn (options) Hp ng hon i (swaps)

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1. Quyn mua c phn/ Quyn tin mi (Preemptive right)


q

L quyn c u tin mua trc dnh cho cc c ng hin hu ca mt cty c phn, c mua mt s lng c phn trong mt t pht hnh c phiu ph thng mi tng ng vi t l c phn hin c ca h trong cng ty. Mc gi c a ra thng thp hn mc gi hin hnh Quyn mua c thc hin trong mt khong thi gian nht nh, thng l vi tun.
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V d v quyn mua c phn


SJS

c vn iu l 200 t , vi 20 triu c phiu pht hnh thm 20 triu c phiu mi vi

lu hnh.
SJS

mnh gi 10.000 cho c ng hin hu theo t l 1:1. Gi thc hin l 20.000 .

Gi SJS trn th trng khong hn 200.000 / c phiu

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V d v quyn mua c phn


Mi c ng nm 1 c phiu, s c 1 quyn mua, 1 quyn mua s c mua 1 c phiu vi gi 20.000 . Nh u t nm gi 1000 c phiu s c mua 1000 c phiu mi vi gi u i.

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c im ca quyn mua c phn Mc gi ng k trong quyn mua c phn thng thp hn so


vi mc gi hin hnh vo thi im quyn c pht hnh Mi c phn ang lu hnh c i km mt quyn. S lng quyn cn mua 1 c phn mi = s lng c phn c ang lu hnh/s lng c phn mi = vn iu l c / vn iu l tng thm Nu c ng khng mun thc hin quyn th c th bn chng trn th trng, sau ngy cht quyn v trc ngy ht hn quyn. Sau thi hn c quy nh, gi tr ca quyn bng 0 gi quyn ty thuc vo gi ca c phiu quyn mua l CK phi sinh
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nh gi quyn mua c phn


R :gi ca quyn mua C : gi ng k (Subscription Price), tc l gi pht hnh cho c ng hin hu N : s quyn cn c mua 1 c phiu mi P : th gi hin hnh ca c phiu trc ngy giao dch khng hng quyn P : th gi c phiu vo ngy giao dch khng hng quyn
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nh gi quyn mua c phn


q

Trc ngy giao dch khng hng quyn:

Tuy nhin, gi ca quyn ch c ngha l thuyt v quyn khng tch ri khi c phiu, cha c giao dch

43

nh gi quyn mua c phn


q

Vo ngy giao dch khng hng quyn, gi c phiu c iu chnh:

ngy giao dch khng hng quyn, quyn mua c th c giao dch tch ri c phiu:

44

2. Chng quyn (warrants)


Khi nim:
q

Chng quyn l mt loi chng khon trao cho ngi nm gi n quyn c mua mt s lng xc nh mt loi chng khon khc, thng l c phiu thng vi mt mc gi xc nh v trong mt thi hn nht nh. Ngh nh 144/ND-CP: Chng quyn l loi chng khon c pht hnh km theo tri phiu hoc c phiu u i, cho php ngi nm gi chng khon c quyn mua mt khi lng c phiu ph thng nht nh theo mc gi c xc nh trc trong thi k nht nh

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c im ca chng quyn
q

Chng quyn c pht hnh v bo m bi cty c phn (cty pht hnh). Khi chng quyn c thc hin, chng to thnh dng tin vo cho cng ty v lm tng s c phiu ang lu hnh trn th trng. Ngi ch s hu khng c quyn c ng trong cng ty, khng c nhn c tc v khng c quyn biu quyt.
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c im ca chng quyn
q

Ti thi im pht hnh chng quyn, gi mua c phiu ghi trn chng quyn thng cao hn so vi gi th trng ca c phiu c s (thng khong 15%), v gi c th c nh, c th c tng nh k. Thi hn chng quyn: 5-10 nm, mt s c thi hn vnh vin.

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c im ca chng quyn
q

Chng quyn thng c pht hnh km vi tri phiu hoc c phiu u i cho php cty pht hnh ch phi tr li hoc c tc thp hn mc bnh thng. Chng quyn c s dng nh l mt n by ti chnh (financial leverage).

48

V d v chng quyn
q

Mt chng quyn cho php ngi nm gi n c mua 1 c phiu VNM vi gi 120.000 /c phiu trong thi hn 2 nm. Gi ca chng quyn ny l 5.000 / chng quyn. Gi th trng ca VNM hin nay l 100.000 /c phiu.

49

V d v chng quyn
q

Nu gi VNM tng ln 150.000 /cp, thc hin quyn T sut li nhun: (150.000 -120.0005000)/5000 = 500%. Nu nh u t khng s dng chng quyn m mua VNM ngay t u t sut li nhun : (150.000 -100.000)/100.000 = 50%. Nu gi c phiu VNM xung thp di gi 120.000 , nh u t s t chi thc hin quyn v chp nhn l 5000 mua chng quyn ban u.
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nh gi chng quyn
q

Gi tr u t (gi tr ni ti) VD: 1 chng quyn cho php nt mua 10 cp STB vi

gi 20.000. Gi th trng ca STB l 30.000 . Nu nt thc hin ngay quyn thu li (30000 -20000)x10 = 100000 gi l gi tr u t Gi tr u t ty thuc vo gi ca c phiu c s

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nh gi chng quyn
q

Gi tr ph tri: nu thi hn ca chng quyn cn di, nt khng thc hin quyn, m c th bn chng quyn trn th trng vi gi ln hn 100000 , v ngi mua cn k vng trong tng lai gi STB cn tng na.

Phn chnh lch thm c gi l gi tr ph tri Gi tr ph tri ty thuc vo thi hn cn li ca chng quyn.
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nh gi chng quyn

Gi tr mt chng quyn bin i cng chiu vi 2 yu t: + Gi ca c phiu c s + Thi hn cn li ca chng quyn.

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3. Hp ng k hn (Forward contracts)
Khi nim:
q

L mt tha thun trong mt ngi mua v mt ngi bn chp thun thc hin mt giao dch hng ha vi mt khi lng xc nh ti mt thi im xc nh trong tng lai vi mt mc gi c n nh vo ngy hm nay. Hp ng k hn c giao dch trn th trng OTC, thng l gia hai t chc ti chnh hoc gia mt t chc ti chnh v mt khch hng. Hp ng k hn thng c s dng ngn nga ri ro ngoi hi
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V d v hp ng k hn

Doanh nghip d kin s nhn c 1 triu USD t mt hp ng XK trong 3 thng ti. Hin nay USD/VND=21000. Cui nm, d on gi USD s gim. k hp ng k hn 3 thng bn 1 triu USD cho ngn hng nga ri ro. T gi k hn 3 thng m ngn hng a ra l 21100 .

Vi hp ng k hn 3 thng bn 1 triu USD, doanh nghip c bo m rng s bn c 1 triu USD vi t gi 21100 m khng phi lo bin ng t gi.
55

c im ca hp ng k hn
v q

Hai v th ca hp ng k hn: Long position: bn chp thun mua hng ha vi mt khi lng xc nh, ti mt thi im thanh ton xc nh trong lng lai vi mt mc gi n nh (delivery price) vo ngy hm nay. Short position: bn chp thun bn hng ha vi mt khi lng xc nh, ti mt thi im thanh ton xc nh trong tng lai vi mt mc gi n nh vo ngy hm nay.
56

c im ca hp ng k hn
q

L tha thun gia ngi mua v ngi bn. Ch c ngi mua v ngi bn tham gia vo k kt. Thi im thc hin giao dch: ti mt ngy xc inh trong tng lai do ngi mua v ngi bn tha thun. Khi ngy thanh ton ti, ngi mua tr tin mua hng ha ti mc gi tha thun ban u, cn ngi bn chuyn giao hng vi s lng n nh ban u.

57

c im ca hp ng k hn
q

Gi c do hai bn t tha thun vi nhau da trn nhng c tnh c nhn. Gi hng trn th trng giao ngay vo thi im giao nhn hng c th thay i, tng ln hoc gim xung so vi mc gi k kt trong hp ng. Mt trong hai bn mua hoc bn s chu thit

hi Ri ro thanh ton s tng ln khi mt trong hai bn khng thc hin hp ng.
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4. Hp ng tng lai (Future contracts)


Khi nim :
q

Hp ng tng lai l mt tha thun trong mt ngi mua v mt ngi bn chp thun thc hin mt giao dch hng ha vi mt khi lng xc nh ti mt thi im xc nh trong tng lai vi mt mc gi c n nh vo ngy hm nay. i tng ca hp ng tng lai: hng ha, ch s c phiu, li sut, tin t,.. Khc vi hp ng k hn, hp ng tng lai thng c giao dch trn cc s giao dch.
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c im ca hp ng tng lai
q

Cc hp ng tng lai c nim yt v giao dch trn cc SGD. SGD cho php cc nh giao dch v danh c mua i bn li cc hp ng tng lai m khng phi xc nh r pha i tc trong mt hp ng c th. Chi tit ca hp ng c SGD chun ha v s lng hng ha trong mt hp ng, cch thc yt gi, cht lng hng ha, a im giao hng (i vi hp ng tng lai hng ha)
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c im ca hp ng tng lai
q

Hp ng tng lai khng ch r ngy c th m hai bn phi thc hin hp ng m ch quy nh khong thi gian (thng thng l thng) thc hin hp ng, v bn bn (nm v th short position) c quyn quyt nh thi im c th trong thi gian thc hin hp ng ni trn. VD : cc hp ng tng lai v tin t c thng thc hin hp ng l thng 3, 5, 6, 9, 12.

61

c im ca hp ng tng lai
v q

Hai v th ca hp ng tng lai: Long position: bn chp thun mua hng ha vi mt khi lng xc nh, trong mt thi hn thanh ton c xc nh trong tng lai vi mt mc gi n nh (delivery price) vo ngy hm nay. Short position: bn chp thun bn hng ha vi mt khi lng xc nh, trong mt thi hn thanh ton c xc nh trong tng lai vi mt mc gi n nh vo ngy hm nay.
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c im ca hp ng tng lai
v

Yu cu k qu v iu chnh tr gi ca mi bn trong hp ng hng ngy : Trong hp ng k hn, mt trong hai bn c kh nng s gp phi ri ro do pha bn kia khng thc hin hp ng do s bin ng ca gi giao ngay. ngn nga ri ro ny trong hp ng tng lai, cc SGD thng t ra yu cu v k qu (margin) i vi cc bn tham gia hp ng. Hng ngy cty mi gii tin hnh iu chnh s d ti khon k qu ca nt da trn s bin ng gi hp
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Yu cu k qu v iu chnh tr gi
q

SGD tin hnh iu chnh s d TK k qu ca cc cng ty mi gii thng qua hot ng ca b phn thanh ton b tr trc thuc SGD (the exchange clearing house). SGD c th kim sot c ri ro thanh ton trong

hp ng tng lai.

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c im ca hp ng tng lai
v q

Thot khi mt v th Trong hp ng k hn: cc bn tham gia phi c ngha v thc hin hp ng vo ngy thanh ton c xc nh. Trong hp ng tng lai: cc bn c th thanh l hp ng trc thi hn thanh ton bng cch thc hin mt hp ng mi vi v th hon ton ngc vi hp ng c nhm trit tiu v th c. VD: nh u t A mua 1 hp ng tng lai vng vo ngy 5 thng 3 vi thi hn thanh ton l thng 6. Ngy 20 thng 4, nh u t A c th thanh l hp ng ny bng cch bn 1 hp ng tng lai vng vi thi hn thanh ton l thng 6. S chnh lch gia gi ca hp ng tng lai trong 2 ngy 5/3 v 20/4 chnh l 65

Phn bit hp ng k hn v hp ng tng lai


Hp ng k hn K kt gia 2 bn Ni dung ty 2 bn Ngy thanh ton xc nh Thanh ton khi n hn Hp ng tng lai c giao dch trn SGD tnh thanh khon cao Ni dung c chun ha Khng quy nh ngy thanh ton iu chnh s d k qu hng ngy c th thot khi v th trc thi hn Hn ch ri ro nh nghip v k qu

Ri ro cao

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5.Quyn la chn (options)


Khi nim :
q

Quyn chn mua (call option) : l mt hp ng cho php ngi nm gi n c quyn mua mt khi lng nht nh hng ha ti mt mc gi xc nh v trong mt thi hn nht nh. Quyn chn bn (put option) : l mt hp ng cho php ngi nm gi n c quyn bn mt khi lng nht nh hng ha ti mt mc gi xc nh trong mt khong thi gian nht nh.
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VD 1: quyn chn mua


q

Cp X ang c giao dch vi gi khong 50.000 . Nt A d on gi c phiu s tng k hp ng quyn chn mua cp X vi mc gi thc hin 50.000 / c phiu vo 2 thng sau. Ph quyn: 5000 / quyn.

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VD1: quyn chn mua

X tng ln 80.000 /cp Thc hin quyn, tc l mua c phiu X vi gi 50.000 Thu li: 80.000 50.000 5.000 = 25.000 / c phiu

gim xung 45.000 , nt A t chi khng thc

hin quyn v chp nhn khon l 5000 ban u b ra.

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VD 1: quyn chn mua


Trc

khi o hn, c th bn li quyn mua ny

cho nt khc, VD vi gi 15.000 Thu li 10.000 .


Trn

thc t nhng quyn nh th ny thng

c mua i bn li trn cc s giao dch option.

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VD2: quyn chn bn


Nt

B d on gi X s gim K hp ng mua

quyn chn bn c phiu X vi gi thc hin l 50.000 /c phiu vo 2 thng sau. thc hin c quyn ny, nt B phi tr 5000 / c phiu cho ngi bn quyn

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VD2: quyn chn bn


Xgim

xung 30.000 /cp thc hin quyn bn X

bng cch mua X trn th trng ri bn li cho ngi bn quyn vi gi 50.000 Thu li: 50.000 30.000 5000 = 15.000
X

tng ln 60.000 t b quyn chp nhn l li quyn trn th trng vi gi 10000 , thu li

5000
Bn

5000
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c im ca quyn chn
q

Cc hng ha c th l c phiu, ch s c phiu, tri phiu, ch s tri phiu, thng phm, ng tin hay hp ng tng lai. Mt hp ng quyn chn bt k bao gm 5 iu khon c bn sau: Loi quyn (quyn chn bn hoc mua) Tn hng ha c s v khi lng c mua hoc bn theo quyn Ngy ht hn (expiration date hoc maturity) Gi thc hin (exercise price hoc strike price) Gi ca quyn hay cn gi l ph quyn l khon tin m ngi mua phi tr cho ngi bn c c quyn chn.
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c im ca quyn chn
q

Ngi mua quyn (long position) c quyn thc hin hoc khng thc hin quyn, cn ngi bn (short position) phi c ngha v thc hin khi ngi mua yu cu. i li ngi mua phi tr cho ngi bn mt khon tin c xem l gi ca quyn chn. C 2 loi quyn chn : quyn chn M (American options) v quyn chn chu u (European options). Quyn chn M cho php ngi nm gi quyn c th thc hin quyn vo bt k thi im no cho n tn ngy ht hn v bao gm c ngy ht hn. Mt quyn chn chu u ch cho php ngi nm quyn thc hin quyn vo ngy ht hn.

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Chc nng kinh t ca quyn chn by ti chnh cho php nh u t nng q L n


cao t sut li nhun trn vn u t.
q

VD1, nu X ln gi, t sut li nhun: 25.000/5000 = 500%. Nu khng s dng quyn, t sut li nhun: 30000/50000 = 60%

75

Chc nng kinh t ca quyn chn


q

Phng nga ri ro: quyn chn bn c phiu gip nh u t ngn nga tn tht khi th trng i xung.

VD: nt B c 1000 cp X nhng khng mun bn v k vng th trng cn ln na trong 2 thng ti. Mua quyn chn bn .

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Chc nng kinh t ca quyn chn

Nu Xvn ln gi, anh ta khng thc hin quyn v vn gi c phiu X Nu Xxung gi anh ta thc hin quyn bn vi gi 50.000 / c phiu. Nh vy vi khon ph 5000 x 1000 = 5 triu b ra, anh B c th m bo chc chn rng c phiu X ca anh ta khng b bn di gi 50.000

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Li nhun ca tng v th
C 4 v th:
Ngi Ngi Ngi Ngi

mua quyn chn mua bn quyn chn mua mua quyn chn bn bn quyn chn bn

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Li nhun ca tng v th
X

:gi thc hin l gi ca c phiu ti ngy ht hn

ST c p

:gi (ph) quyn chn mua : gi (ph) quyn chn bn

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Ngi mua quyn chn mua (A long position in a call option )


q

ST> X Thc hin quyn thu li (ST- X -c) ST <=X Khng thc hin quyn chp nhn l: -c

80

Ngi mua quyn chn mua (A long position in a call option )


th li nhun

-c

X+c

ST

81

Ngi bn quyn chn mua (A short position in call option)


q

ST> X ngi mua thc hin quyn ngi bn call chu l : c + X -ST ST <=X ngi mua khng thc hin quyn li nhun ca ngi bn call : c

82

Ngi bn quyn chn mua (A short position in call option)

th li nhun

c X

X+c

ST

83

Ngi mua quyn chn bn (A long position in put option)


q

ST>= X Khng thc hin quyn bn chu l: - p ST <X Thc hin quyn bn thu li : (X-ST-p)

84

Ngi mua quyn chn bn (A long position in put option)


th li nhun

X -p X-p

ST

85

Ngi bn quyn chn bn (A short position in put option)


q

ST>= X Ngi mua khng thc hin quyn bn ngi bn thu li : p ST <X Ngi mua thc hin quyn bn ngi bn chu l: -(p+ST X)

86

Ngi bn quyn chn bn (A short position in put option)


th li nhun

X-p

ST

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Bn v th ca quyn chn
V th Mua quyn chn mua Bn quyn chn mua Mua quyn chn bn Bn quyn chn bn Khng thc hin quyn Khng thc hin quyn Thc hin quyn ST > X Thc hin quyn ST = X Khng thc hin quyn ST < X Khng thc hin quyn

88

Li nhun ca bn v th
V th Mua quyn chn mua Bn quyn chn mua Mua quyn chn bn Bn quyn chn bn +p +p p + ST - X -p -p X - ST - p +c + X - ST +c +c ST > X ST X c ST = X -c ST < X -c

89

p dng bn v th quyn chn


q

u c gi ln: Mua quyn chn mua Bn quyn chn bn u c gi xung: Mua quyn chn bn Bn quyn chn mua

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L li ca 4 v th ty theo gi c phiu c s
V th Mua quy n ch n mua Bn quy n ch n mua Mua quy n ch n bn Bn quy n ch n bn L l n nh t i m ha v n Li l n nh t

c V hn -p -( X - p)

ST = X + c ST = X + c ST = X - p ST = X - p

V hn +c X -p p

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Cc nhn t nh hng n gi quyn chn


q q q

Gi hin ti ca c phiu (the current stock price) Gi thc hin (the strike price) Thi hn cn li ca quyn chn (the time to expiration) Mc bin ng ca gi c phiu (the volatility of the stock price) Li sut phi ri ro (risk-free rate) C tc (dividends) k vng c chia trong khon thi gian cn li ca quyn chn
92

q q

Cc nhn t nh hng n gi quyn chn


European call European American put Call American Put

Stock price Strike price Time to expiration Volatility Risk-free rate Dividends

+ ? + + -

+ ? + +

+ + + + -

+ + + +

93

6. Hp ng hon i (Swaps)
Khi nim:
q

Swaps l mt hp ng gia hai cng ty, cam kt hon i cho nhau mt dng tin trong tng lai. Hp ng s quy nh ngy m hai bn thc hin vic hon i dng tin v cch thc tnh dng tin. Thng thng dng tin c tnh trn c s gi tr tng lai ca mt hoc mt s bin s

94

Hp ng hon i li sut (interest rate swaps)


q

Trong hp ng hon i li sut gin n gia cng ty A v cng ty B, cng ty B chp thun tr cho cng ty A dng tin tng ng vi mc li sut c nh (fixed rate) tnh trn mt s vn danh ngha trong mt s nm, ngc li cng ty A chp thun tr cng ty B dng tin tng ng vi mc li sut th ni (floating rate) tnh trn cng mt s vn danh ngha trong cng mt s nm. Li sut th ni hay c p dng y l li sut LIBOR (London Interbank Offer rate) (li sut lin ngn
95

VD v hp ng hon i li sut
q

VD: hp ng hon i li sut gin n thi hn 3 nm gia cng ty A v cng ty B c k ngy 1/3/2003, trong cng ty B chp thun tr cho cng ty A li sut 5% nm tnh trn s vn danh ngha 100 triu USD v ngc li cng ty A chp thun tr cng ty B mc li sut LIBOR 6 thng tnh trn cng mt s vn danh ngha. Hai bn tin hnh hon i li sut nh k 6 thng 1 ln.

96

VD v hp ng hon i li sut
S hon i gia hai cng ty
5%

A
LIBO R

97

ng dng ca hp ng hon i li sut

S dng hp ng hon i li sut l cng c gip cng ty chuyn i mt khon n vi li sut th ni thnh khon n vi li sut c nh hoc ngc li. Hp ng hon i li sut l cng c gip cng ty chuyn i ti sn u t t ti sn vi li sut c nh thnh ti sn vi li sut th ni hoc ngc li. Hp ng hon i li sut gip cc bn c th tn dng li th so snh ca nhau.

98

V d 1
q

Cng ty B vay mt khon tn dng tr gi 100 triu USD vi li sut LIBOR +0,8% nm. Nu cng ty B s dng hp ng hon i li sut ni trn, dng tin ca cng ty B s nh sau: Tr li sut LIBOR +0,8% nm cho ngi cho vay Nhn li sut LIBOR t hp ng hon i li sut Tr li sut 5% t hp ng hon i li sut

Nh vy cng ty B chuyn khon n vi li sut th ni thnh khon n vi l sut c nh 5,8% nm


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V d 1
q

Cng ty A vay mt khon tn dng tr gi 100 triu USD vi li sut c nh 5,2% nm. Bng cch tham gia hp ng hon i li sut ni trn, dng tin ca cng ty A nh sau: Tr 5,2% nm cho ngi cho vay Tr li sut LIBOR t hp ng hon i li sut Nhn 5% nm t hp ng hon i li sut 5%

Vy cng ty A chuyn c khon n vi li sut c nh thnh li sut th ni tng ng li sut LIBOR 6 thng +20 im chun

100

V d 2
2 cty A v B cng mun vay mt khon tr gi 10 triu USD trong khong thi gian 5 nm. Ngn hng cho mi cty mc li sut :

L/s c nh Cty A Cty B 10% 11,2%

L/s th ni L/s LIBOR 6 thng + 0,3% L/s LIBOR 6 thng + 1.0%

101

V d 2
q

Cty A mun tr li sut th ni, cty B mun tr li sut c nh Cty A vay li sut c nh, cty B vay li sut th ni Hp ng hon i li sut: cng ty A chp thun tr cng ty B li sut LIBOR 6 thng, ngc li cng ty B chp thun tr cng ty A li sut c nh 9,95% nm cho khon vn danh ngha 10 triu.

q q

102

V d 2
q

Dng tin ca cty A: Tr li sut 10% nm cho ngn hng Nhn li sut 9,95 % nm t cng ty B Tr li sut LIBOR cho cng ty B

Cng ty A phi tr li sut LIBOR +0,05% cho khon vay 10 triu USD, mc li sut th ni ny thp hn 0,25% so vi mc m ngn hng a ra

103

V d 2
q

Dng tin ca cty B: Tr li sut LIBOR +1% cho ngn hng Nhn li sut LIBOR t cng ty A Tr li sut 9,95% cho cng ty B

Cng ty B tr li sut 10,95% cho ton b khon vn vay 10 triu USD, mc li sut ny thp hn so vi mc m ngn hng a ra l 0,25%.

104

Hp ng hon i ngoi hi (currency swaps):


Khi nim:
q

L hp ng hon i vn gc v tin li tnh bng ng tin ny sang vn gc v tin li tnh bng ng tin khc gia hai bn. Thng thng vn gc c hon i lc bt u v lc kt thc hp ng.

105

V d v hp ng hon i ngoi hi
q

Xem xt hp ng hon i ngoi hi 5 nm gia cty A v cty B, hp ng c gi tr t ngy 1/2/2001. Cty A ng tr li sut c nh 11% tnh bng tin bng Anh v nhn li sut c nh 8%nm tnh bng tin USD. Li sut c tr mi nm 1 ln, v vn gc tng ng l 15 triu USD v 10 triu bng. Thi im bt u hp ng, hai bn hon i vn gc cho nhau, c th l A chuyn cho B 15 triu USD, v B chuyn cho A 10 triu bng Anh. Vo thi im nh mi nm, hai bn tin hnh hon i li sut cho nhau theo chiu mi tn di v khi hp ng kt thc hai bn hon tr vn gc cho nhau.

106

V d v hp ng hon i ngoi hi

S dng tin
USD 8% A Bng 11% B

107

Cu hi n tp chng 2
(1) C phiu v cc c im ca c phiu? (2) Phn bit c phiu u i v c phiu thng? (3) Tri phiu v cc c im ca tri phiu? (4) Tri phiu chnh ph v tri phiu cng ty? (5) Tri phiu no c xem l li sut chun lm cn c n nh cc cng c n khc c cng k hn? (6) Th no l tri phiu c iu khon thu hi? (7) Th no l tri phiu chuyn i?

108

Cu hi n tp chng 2
(8) Phn bit cc loi tri phiu (c phn loi cn c vo phng thc tr li) (9) Quyn mua c phiu (10) Chng quyn (11) Hp ng k hn (12) Hp ng tng lai (13) Quyn chn (khi nim, li nhun ca tng v th, chc nng kinh t,) (14) Hp ng hon i

109

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