CHNG II: PHN TCH V

NH GI TRI PHIU

Ngi trnh by : Trn Anh Tun

Mn : Phn tch v u t chng khon

NI DUNG

I) Phn tch c im v ri ro ca tri phiu

II) nh gi tri phiu

III) Ri ro li sut ca tri phiu

PHN TCH TRI PHIU

NI DUNG

1. Phn tch cc c im c bn ca tri

phiu
2. Ri ro trong hot ng u t tri phiu

C IM CA TRI PHIU

C IM CA TRI PHIU

Nh pht hnh
Mnh gi
Li sut coupon
K o hn

MT S C TNH KHC CA TRI PHIU

Quyn c th mua li trc hn

Quyn c th chuyn i
Quyn c th bn li trc hn
Tri phiu th ni li sut

RI RO TRONG U T TRI PHIU

Ri ro v n
Ri ro li sut
Ri ro thanh khon
Ri ro thu hi trc hn
Ri ro khc

RI RO V N
Ri ro v n xy ra khi nh pht hnh khng
th thc hin c y ,ng hn cc khon
thanh ton li v gc

XP HNG TN NHIM

CH TIU O LNG RI RO

H s kh nng thanh ton

H s n by
H s thanh khon
H s kh nng li nhun
H s dng tin trn n

NG LI SUT TRI PHIU CHNH PH K HN 5 NM

US Trng
Germany
UK Xanh l cy
Spain: Tm

Portugal : Cam
Italy : Xanh da tri
Greece: Vng

RI RO LI SUT
RI RO BIN NG GI

RI RO TI U T

Khi li sut th
trng tng, gi tri
phiu gim
Khi li sut th
trng gim, gi tri
phiu tng

Khi li sut th
trng bin ng th
khon thu nhp m
NT nhn c t
vic ti u t cc
khon tri tc s b
nh hng.

RI RO THANH KHON
Tnh thanh khon
c th hin qua 2
c trng c bn:
Chnh lch gia gi
mua v gi bn
Khi lng giao dch

RI RO B THU HI TRC HN

Khi li sut th trng xung thp th tri phiu

c th b thu hi trc hn v nh hng ti t
sut sinh li k vng ca nh u t
NT b thit hi v gi v phi ti u t vi
li sut thp hn

RI RO KHC

Ri ro lm pht
Ri ro t gi
Ri ro khc

NH GI TRI PHIU

NI DUNG

1. nh gi tri phiu thng thng

2. Mt s thc o li sut trong u t tri

phiu

NH GI TRI PHIU

Vai tr
Xc nh gi tr ni ti ca tri phiu, gip cho

nh u t c th a ra nhng quyt nh mua

bn ti mc gi hp l

NH GI TRI PHIU

Nguyn tc
Quy v gi tr hin ti nhng khon thu nhp

nhn c trong tng lai vi t sut chit

khu thch hp
Gi tri phiu = Tng cc gi tr hin ti

NH GI TRI PHIU COUPON

$C

$C

$C

.
3

$C+F

21

NH GI TRI PHIU COUPON

Xc nh dng tin k vng nhn c trong

tng lai
Xc nh s k tr li T
Xc nh t sut chit khu r

NH GI TRI PHIU COUPON

Dng tin trong tng lai

Cc khon thanh ton li nhn c hng k

cn c vo li sut coupon
Khon thanh ton gc (mnh gi) nhn c

vo ngy o hn

NH GI TRI PHIU COUPON

S k tr li T

Xt 1 tri phiu coupon k o hn N nm

Nu tri phiu tr li nh k mt nm mt ln th
T=N
Nu tri phiu tr li nh k na nm mt ln th
T = 2N

NH GI TRI PHIU COUPON

T sut chit khu r

L t sut sinh li yu cu ca nh u t i vi
tri phiu
T sut chit khu r thng c xc nh thng
qua cc tri phiu khc ang lu hnh c cc c
trng tng t

NH GI TRI PHIU COUPON

V d
Tri phiu A c k o hn 10 nm, li sut
coupon 10%/nm, F =1000$. Tri phiu ny
tr li nh k 1 nm/ 1 ln. T sut sinh li
nhn c trn th trng khi u t vo cc
tri phiu khc c c tnh tng ng l
12%. Hy xc nh mc gi hp l ca tri
phiu ny?

NH GI TRI PHIU COUPON

r = 12%, F = 1000$
C = 1000 * 10% = 100$

MI QUAN H GIA GI TRI PHIU

V LI SUT

Li sut yu cu ca nh u t v gi tri
phiu c mi quan h ngc chiu
Khi li sut yu cu tng th gi tri phiu gim

Khi li sut yu cu gim th gi tri phiu tng

MI QUAN H GIA GI TRI PHIU V

LI SUT
HNH MINH HA

GI (P)

LI SUT YU CU(%)

MI QUAN H GIA GI TRI PHIU

V LI SUT

V d: Tri phiu A c k o hn 10 nm,

icoupon = 10%/nm, F =1000$. Tri phiu tr
li nh k 1 nm 1 ln. Hy xc nh mc gi
hp l ca tri phiu ny khi t sut sinh li
yu cu ca NT l
TH1: r = 8%/nm
TH2: r = 10%/nm
TH3: r = 12%/nm

MI QUAN H GIA GI TRI PHIU V

LI SUT

Li sut yu
cu ( r )
12%

Gi tri phiu
c im
(P)
887.00$
Tri phiu chit khu ( Discount
Bond)

10%

1000.00$

Tri phiu bn bng MG

( Par value Bond)

8%

1134.00$

Tri phiu bn cao hn MG

( Premium Bond)

MI QUAN H GIA GI TRI PHIU

V LI SUT

1134
1000
887

10

12

MT S THC O MC SINH LI

Li sut hin hnh

Li sut hon vn ni b
Li sut o hn
Li sut mua li
Li sut thc hin

LI SUT HIN HNH

( Current yield)
L t l gia tri tc nhn c hng nm vi
gi tri phiu
Cng thc

LI SUT HIN HNH

V d
Mt tri phiu c k o hn 5 nm, li sut
coupon 8%/nm, mnh gi l100$. Tri phiu
ny tr li nh k 1 nm/ 1 ln. Gi th trng
hin ti ca tri phiu ny l 94$. Hy xc
nh li sut hin hnh m NT nhn c?

LI SUT HIN HNH

C = 100 * 8% = 8$
P = 94$
Tri tc
CY =

8
=

Gi tri phiu

= 8.51%
94

LI SUT HON VN NI B (IRR)

L t sut chit khu lm cho gi tr hin ti ca
dng tin nhn c trong tng lai t tri phiu
bng s vn u t b ra

r : t sut hon vn ni b
P1 : Gi tri phiu cui k u t

LI SUT O HN
( Yield to Maturity)
L t sut sinh li m NT nhn c nu
nm gi tri phiu ti khi o hn
Cng thc

F : Mnh gi

LI SUT O HN

r1 : Mc li sut ti lm cho f1 > 0

r2 : Mc li sut ti lm cho f2 < 0

LI SUT O HN

V d
Mt tri phiu c k o hn 5 nm, li sut
coupon 8%/nm, F =100$. Tri phiu ny tr
li nh k 1 nm/ 1 ln. Gi th trng hin
ti ca tri phiu ny l 94$. Hy xc nh li
sut o hn m NT nhn c?

LI SUT O HN
C = 100 * 8% = 8$
P = 94$
Li sut o hn r tha mn ng thc

r1 = 9%
f1 = 2.11
r2 = 10% f2 = - 1.58

r = 9.57%

LI SUT MUA LI/ THU HI

(YIELD TO CALL YTC)
L li sut m nh u t nhn c nu tri
phiu b thu hi trc hn theo iu khon i
km

C : Li sut coupon
R : li sut mua li
Pthu hi : Gi thu hi ca nh pht hnh

LI SUT THC HIN

( Realized Return)
L li sut m NT thc s nhn c trong
qu trnh u t
Cng thc

LI SUT THC HIN

V d
Mt tri phiu c k o hn 3 nm, li sut
coupon 10%/nm, mnh gi l100$ ang c
bn ti mc li sut o hn 10%/nm. Tri
phiu ny tr li nh k 1 nm/ 1 ln. Hy
tnh li sut thc hin m NT nhn c khi
mua tri phiu ny nu li sut ti u t
khon tri tc l 8%/nm?

LI SUT THC HIN

0

Thi gian
10

10

110

110
8%

Gi tr tng lai

10 1.08 = 10.8

8%
10 1.082 = 11.664

Gi tr cui k: 132.464

100 (1 + ythc hin )3 = 132.464

ythc hin = 9.82%

GI TRI PHIU THEO THI GIAN

GI TRI PHIU S CNG TIN GN TI MNH GI
KHI TRI PHIU CNG GN TI THI IM O HN
Time to Maturity

Premium Bond

Par Value Bond

Discount Bond

10

1134.20$
1134.20
1124.93

1000.00$
1000.00
1000.00

887.00
887.00
893.43

1115.00
1115.00$

1000.00

901.00
901.00

1104.12

1000.00

908.72

1092.50

1000.00

917.77

1079.85

1000.00

927.90

1066.24

1000.00

939.25

1051.54

1000.00

952.00
952.00

1035.66

1000.00

966.19

1018.50

1000.00

982.14

1000.00

1000.00

1000.00
1000.00

BIN NG GI TRI PHIU THEO

THI GIAN

1134

1000

887

NH GI TRI PHIU ZERO-COUPON

Cng thc

Trong
F : Mnh gi tri phiu
r : T sut sinh li yu cu ca NT
T : K hn ca tri phiu

NH GI TRI PHIU ZERO - COUPON

V d
Mt tri phiu zero coupon c k o hn 20
nm, mnh gi 1000$. Tri phiu ny ang
c bn ti mc li sut yu cu l 10%/nm.

Hy tnh mc gi hp l ca tri phiu ny?

NH GI TRI PHIU ZERO - COUPON

F = 1000$, T = 20
r = 10%
Mc gi hp l ca tri phiu

NH GI TRI PHIU VNH CU

Cng thc

Trong
C : Tri tc nhn c hng k
r : li sut yu cu tng ng mi k

TRI PHIU MUA VO GIA HAI K

THANH TON
Li tch ly ( Accrued Interest)

Gi thc t phi tr = Gi yt + Li tch ly

Dirty Price
=
Clean Price + Accrued Interest

TRI PHIU MUA VO GIA HAI K

THANH TON

V d
Mt tri phiu A c mnh gi 1000$, li sut
coupon 9%/nm tr li nh k mt nm mt
ln. Tri phiu ang c yt ti gi bn bng
108% mnh gi. Bit rng ln thanh ton tri
tc gn y nht ca tri phiu ny l cch
y 1 thng, hy tnh tng s tin m nh u
t phi b ra mua c tri phiu ny?

TRI PHIU MUA VO GIA HAI K

THANH TON
Tri tc C = 1000 9% = 90$
Li tch ly

Tng s tin thc t = Gi yt + Li tch ly

= 108% 1000 + 7.5 = 1087.5$

RI RO LI SUT

NI DUNG

Ri ro li sut trong u t tri phiu

Thi lng ca tri phiu

li ca tri phiu

THU NHP TRONG U T TRI PHIU

Khon thanh ton li coupon nh k

Khon chnh lch vn gia gi cui k v gi
u k
Khon thu nhp t vic ti u t cc khon li

coupon

Tnh nhy cm ca gi tri phiu vi li sut

1) Gi ca tri phiu v li sut c tng quan
ngc chiu nhau

2) S gia tng trong li sut o hn ca mt

tri phiu em li mt mc gim gi nh hn
so vi mc tng gi gn vi mt s gim st
ca li sut c ln tng ng

Tnh nhy cm ca gi tri phiu vi li sut

3) Gi ca tri phiu di hn thng nhy cm
hn vi nhng thay i li sut so vi gi ca
tri phiu ngn hn

4) Tnh nhy cm ca tri phiu trc nhng

thay i ca li sut tng ln vi t l nh hn
so vi s gia tng trong k o hn ca tri
phiu

Tnh nhy cm ca gi tri phiu vi li sut

5) Ri ro li sut c quan h ngc chiu vi li

sut coupon ca tri phiu
6) Gi tri phiu nhy cm hn vi nhng thay
i ca li sut khi tri phiu c bn ti
mc li sut o hn ban u thp hn

C TNH 1 V 2

P1

P2

Y1

Y2

C TNH 1 V 2

Mt tri phiu c F =100$, tr li nh k na

nm mt ln vi icoupon = 6%/nm, k hn 5 nm.
Tri phiu ang c bn ti mc li sut o hn
l 6%/nm. Hy tnh % bin ng ca gi tri
phiu khi YTM thay i ti cc mc l 4%, 5%,

7%, 8%?

C TNH 1 V 2
Gi ca tri phiu 6% coupon 5 nm
Li sut
o hn

8%

7%

6%

5%

4%

PV ca
tri tc

24.3

24.9

25.6

26.3

26.9

PV ca
mnh gi

67.6

70.9

74.4

78.1

82.0

Gi tri
phiu

91.9

95.8

100

104.4

108.9

% gi
thay i

-8.1

-4.2

4.4

8.9

c tnh 3,4: Tc ng ca k hn
3 tri phiu c cng mnh gi 100$ v cng
mc li sut coupon 6%/nm, tr li nh k
na nm mt ln. Cc tri phiu ny ang
c bn ti YTM l 6%/nm
Tri phiu A k hn 1 nm
Tri phiu B k hn 5 nm
Tri phiu C k hn 20 nm

Hy tnh % bin ng gi ca tng tri phiu

khi YTM thay i t 6% ln 8%

c tnh 3,4: Tc ng ca k hn
Gi ca tri phiu 6% coupon
K hn

1 nm
6%
8%

5 nm
6%
8%

20 nm
6%
8%

PV ca
tri tc

5.7

5.6

25.6

24.3

69.3

59.4

PV ca
mnh
gi

94.3

92.5

74.4

67.6

30.7

20.8

Gi tri
phiu

100

98.1

100

91.9

100

80.2

Li sut
o hn

% gi
thay i

-1.9
-1.9

-8.1
-8.1

-19.8
-19.8

c tnh 5: Tc ng ca li sut coupon

3 tri phiu c cng mnh gi 100$, cng k
hn l 20 nm. Cc tri phiu ang c bn
ti YTM l 6%/nm
Tri phiu A l tri phiu zero coupon
Tri phiu B c li sut coupon 6%/nm
Tri phiu C c li sut coupon 9%/nm

Hy tnh % bin ng gi ca tng tri phiu

khi YTM thay i t 6% ln 8%

c tnh 5: Tc ng ca li sut coupon

Gi ca tri phiu 20 nm
Coupon

0%

6%

9%

Li sut
o hn

6%

8%

6%

8%

6%

8%

PV ca
tri tc

69.3

59.4

104.0

89.0

PV ca
mnh
gi

30.7

20.8

30.7

20.8

30.7

20.8

Gi tri
phiu

30.7

20.8

100

80.2

134.7

109.8

% gi
thay i

-32.2
-32.2

-19.8
-19.8

-18.5
-18.5

c tnh 6: Tc ng ca li sut o hn
V d

Tri phiu A c k o hn 25 nm, li sut

coupon 9%/ nm, mnh gi 100$. Tri phiu tr
li nh k 1 nm 1 ln. Hy xc nh mc
nhy cm ca gi tri phiu vi li sut khi tri
phiu c bn cc mc li sut o hn khc
nhau?

c tnh 6: Tc ng ca li sut o hn
Gi ca tri phiu 25 nm
Li sut
o hn

7%

8%

9%

10%

11%

12%

PV ca
tri tc

104.9

96.1

88.4

81.7

75.8

70.6

PV ca
mnh
gi

18.4

14.6

11.6

9.2

7.4

5.9

Gi tri
phiu

123.3

110.7

100

90.9

83.2

76.5

% gi
thay i

-10.2
-10.2

-9.1
-9.1

-8.0
-8.0

THI LNG CA TRI PHIU

Thi lng Macaulay
Tri phiu thng c cc khon thanh ton
vo cc thi im khc nhau trong tng lai

Thi lng l thi gian o hn bnh qun

ca cc dng tin c ha hn ca tri phiu

THI LNG CA TRI PHIU

Cng thc

C : Tri tc tri
phiu
r : Li sut o hn
F : Mnh gi tri
phiu
P : Gi tri phiu
t : K nhn tri tc

THI LNG TRI PHIU

Thi lng ca tri phiu zero-coupon bng ng
vi k hn ca tri phiu
Thi lng ca tri phiu vnh cu
1+r

D=
r : Li sut tri phiu vnh cu
r

THI LNG TRI PHIU

Tri phiu A c k o hn 3 nm, li sut
coupon 8%/ nm, mnh gi 1000$. Tri phiu
tr li nh k 1 nm 1 ln
Tri phiu B l tri phiu zero coupon k o
hn 3 nm
C 2 tri phiu A, B u c li sut o hn
bng 10%/nm
Hy tnh thi lng ca 2 tri phiu ny?

THI LNG TRI PHIU

(1)

(2)

Thi
gian cho
ti khi
thanh
ton

Khon Khon
Trng s Ct (1)
thanh thanh ton
Ct (4)
ton
chit khu
10%
(YTM)

A. Tri phiu 1
8%
2
Tng
B. Tri phiu
zero-coupon
Tng

3
12
3

80$
80
1080
0$
1000$

(3)

(4)

(5)

72.727$
66.116
811.420

0.0765
0.0690
0.8539

0.0765
0.1392
2.5617

950.263

1.0000

2.7774

0$
751.31$

0
1.0

0
3

751.31

1.0

C IM CA THI LNG
Thi lng ca tri phiu thng nh hn k
o hn ca tri phiu (tr tri phiu zerocoupon)
Nu k o hn v li sut o hn khng thay
i, li sut coupon cng thp th thi lng
ca tri phiu cng cao

C IM CA THI LNG
Nu li sut coupon v li sut o hn khng
thay i, k o hn ca tri phiu cng di
thi lng tri phiu cng cao
Nu li sut coupon v k o hn ca tri
phiu khng thay i, li sut o hn cng
thp th thi lng ca tri phiu cng cao

THI LNG V RI RO LI SUT

D : Thi lng ca
tri phiu
y : Li sut o hn
y : Mc thay i
ca li sut
P : Mc thay i
ca gi
P : Gi tri phiu

THI LNG V RI RO LI SUT

Thi lng iu chnh

% thay i gi tri phiu

THI LNG TRI PHIU

Mt tri phiu c k o hn 30 nm, li sut coupon

8%/nm. Tri phiu tr li 1 nm 1 ln, YTM l 9%/
nm. Tri phiu ang c bn ti mc gi l

897.26$, thi lng ca tri phiu l 11.37 nm. Gi

s YTM ca n tng ln 9.1%. Hy tnh mc thay
i gi tri phiu da trn thi lng?

THI LNG TRI PHIU

% thay i ca gi tri phiu l

P = - Dmod y P
11.37
= 0.001 897.26 = -9.36$
1 + 0.09

MC BIN NG GI TRI PHIU

 LI CA TRI PHIU
Cng thc

% thay i gi tri phiu

 LI CA TRI PHIU

Tri phiu A c k o hn 5 nm, li sut coupon

8%/ nm, mnh gi 100$. Tri phiu tr li nh
k 1 nm 1 ln, li sut o hn l 9%/nm.Tri
phiu ang c bn vi gi 96.11$. Hy tnh
li ca tri phiu ny?

 LI CA TRI PHIU
Nm

CF

t(t+1)CF

8$

0.7722

16

12.3552

8$

0.7084

48

34.0032

8$

0.6500

96

62.4000

8$

0.5963

160

95.4080

5
Tng

108$

0.5470

3240
3560

1772.2800
1976.446

Convexity = 1976.446/ 96.11

= 20.56

C IM CA LI

Khi li sut yu cu tng (gim) th li ca tri

phiu gim (tng)
Vi li sut yu cu v thi gian o hn cho trc,
li sut coupon cng thp th li ca tri phiu
cng ln
Vi li sut yu cu v thi lng iu chnh cho
trc, li coupon cng thp th li cng nh

THANK YOU