Chng 4

TH TRNG N QUC T (International debt market)

Ti liu tham kho

David K.Eiteman (2007), Multinational business

finance, 11th edition

Keith Pilbeam (2006), International finance, 3rd

edition
PGS, TS Nguyn Vn Tin (2010), Gio trnh ti

chnh quc t

Ni dung chnh
I-Th trng tin t quc t
1. 2. 3. 4. 5. 6.

Mt s khi nim Lch s hnh thnh v pht trin c im ca th trng Li sut trong nc v li sut Eurocurrency Mt s cng c chnh Li tc chng khon trn th trng Khi nim v vai tr Cc ch th tham gi Cc cng c chnh trn th trng Th trng tri phiu nc ngoi Th trng Eurobonds Li tc v ri ro khi u t vo tri phiu quc t

II- Th trng tri phiu quc t

1. 2. 3. 4. 5. 6.

Gii thiu v th trng n

Th trng tin t Th trng cc khch hng trong nc trong nc - Cc giao dch ngn hn vi
- Cc giy t c gi ngn hn

Th trng vn
- Cc giao dch ngn hn vi cc khch hng trong nc - C phiu v tri phiu c pht hnh trong nc

Th trng Eurocurrency nc ngoi - Euronotes

- Nhn tin gi v cho vay

- Cc giao dch di hn vi cc khch hng nc ngoi - Tri phiu nc ngoi - Eurobonds

- Eurocommercial paper

Mi lin h gia th trng tn dng trong nc v th trng Eurocurrency

Savers Borrowers U.S. customers Savers Borrowers Euro-zone customers

U.S. internal credit market

Euro-zone internal credit market

Eurocurrency (external credit ) markets Eurodollars Euroyen Euro-euros

Eurosterling

Japanese internal credit market

U.K. internal credit market

Japanese customers Savers Borrowers

Eurocurrency markets

U.K. customers Savers Borrowers

I- Th trng tin t quc t

1- Mt s khi nim
Th trng tin t quc t l th trng trao i qua

bin gii cc cng c ti chnh c thi hn t ngn hn n trung hn

Eurocurrency: Eurocurrency l tin gi ti 1 ngn

hng quc t 1 nc khng phi l nc pht hnh tin .

Eurodollars Eurosterling Euroyen

Cc nh pht hnh trong nc chim lnh th trng Eurocurrency

Euro issuers ($2.3 trillion total) Eurodollar issuers ($1.4 trillion total) Eurosterling issuers ($0.5 trillion total) 1 Germany 2 France 3 Spain 1 United States 2 Germany 3 Supranationals 1 Great Britain 2 United States 3 Supranationals $729 billion $365 $325 $761 billion $107 $82 $188 billion $91 $69

Source: MSCI Eurocurrency credit indexes (March 2008)

Eurocurrency markets

I- Th trng tin t quc t

1- Mt s khi nim
Eurobank: L ngn hng m eurocurrency

c gi ti
Cc hnh thc ca Eurobank

Ngn hng i l Ngn hng chi nhnh Chi nhnh ti nc ngoi

Giao dch Eurocurrency

Ngn hng quc t

(nh gi theo t l ti sn nc ngoi)
Rank Commercial bank 1 American Express Bank 2 UBS 3 Arab Banking Corp 4 Credit Suisse Group 5 Standard Chartered 6 Deutsche Bank 7 ABN-AMRO 8 BNP Paribas 9 Investec 10 KBC

Country U.S. Switzerland Bahrain Switzerland U.K. Germany Netherlands France South Africa Belgium

Foreign assets 86.2% 84.4% 83.5% 79.6% 69.6% 66.6% 65.2% 63.5% 63.3% 57.9%

Total assets ($ billions) 11.6 747.2 26.6 609.6 107.4 809.2 526.4 446.4 23.3 190.3

World rank 456 21 156 36 70 12 22 15 255 56

The Banker, February 2008

2- Lch s hnh thnh v pht trin

Th trng Eurocurrency c hnh thnh bi

cc l do:

S pht trin mnh m ca thng mi quc t Chin tranh lnh Nhng quy nh cht ch v dng vn v h thng ngn hng ca M Quy nh d tr bt buc ca Lin bang M i vi cc ngn hng M Chuyn sang ch t gi hi oi th ni t 1971 C sc du m nm 1973/1974

2- Lch s hnh thnh v pht trin

2/3 s tin gi Eurocurrency l Eurodollars. London l th trng giao dch Eurocurrency

ln nht trn th gii hin nay

Th trng Eurocurrency chu cn c

gi l th trng Asian dollar (tr s chnh Singapore)

3- c im ca th trng
Cho php cc cng ty huy ng vn nc khc

hoc pht hnh cc chng khon n bng ng tin nc khc. Ch tp trung vo cc giao dch ln/bn bun (interbank level) v tn ti song song vi h thng ngn hng ni a ca nc pht hnh Hu nh khng c cc quy nh:

D tr bt buc Li sut Bo him tin gi .

3- c im ca th trng
Ri ro li sut thp
Li sut trn th trng l li sut th ni vi li sut tham

chiu l LIBOR

Ri ro thanh ton thp

Giao dch ch yu vi cc ngn hng thng mi ln, cc ngn hng u t v cc cng ty a quc gia

K hn ngn

Thng l t hn 5 nm

3- c im ca th trng
Chnh lch li sut cho vay v li sut huy ng nh
Domestic loan rate for commercial accounts

Eurocurrency loan rate for commercial accounts

Eurocurrency loan rate in the interbank market

LIBOR

2%

1/2%
Eurocurrency deposit rate for commercial accounts

1/8%
Eurocurrency deposit rate in the interbank market

1/8%
LIBID

Domestic deposit rate for commercial accounts

4- Li sut trong nc v li sut Eurocurrency

Xem xt trng hp ca mt ng tin l

USD v hai trung tm ti chnh l New York v London

4- Li sut trong nc v li sut Eurocurrency

Th trng trong nc.
Nhu cu vn (D) Li sut Ngun cung vn (S)

RL Khi li nhun ca ngn hng l X Li sut huy ng cn bng = RD, X Li sut cho vay = RL, Khi lng th trng= Q. RD

S A Gi s khng c chi ph giao dch, im cn bng l A D

Vn

4- Li sut trong nc v li sut Eurocurrency

Th trng nc ngoi
Eurobanks c chnh lch li sut X* < X ,

Li sut

Kt qu l li sut huy ng trn th trng nc*ngoi RD, li sut cho*vay RL, khi lng th trngQ*.

Bi v RD c th kim c trn th trng trong nc, ng cung ca th trng nc ngoi (S* ) s bt u ti RD. S* S A

RL * RL X* * RD RD

D Tng t, ng cu ca th trng nc ngoi (D*) phi bt u ti RL. Q* Q D*

Vn

4- Li sut trong nc v li sut Eurocurrency

Mi quan h gia li sut trn th trng trong * * nc v nc ngoi: RL RL RD RD

i vi Eurodollars :
Li sut cho vay c bn ti New > York London Interbank Offered Rate (LIBOR) London Interbank Bid Li sut huy ng > Rate (LIBID) > ti New York

4- Li sut trong nc v li sut Eurocurrency

Li sut huy ng v cho vay trong nc v nc ngoi
Theo t l %/nm

Li sut cho vay trong nc (RL) Canada Euro Area Japan Switzerland United Kingdom United States 7.50 NA 1.375 4.75 7.00 9.50

Li sut cho vay nc ngoi LIBOR (RL* ) 5.9063 4.5313 0.1875 3.4375 6.1875 6.8125

Li sut huy ng nc ngoi: LIBID (RD)* 5.8125 4.4375 0.0938 3.3125 6.0313 6.6875

Li sut huy ng trong nc (RD) 3.70 3.04 0.03 3.29 6.00 5.99

5- Mt s cng c chnh trn th trng

5.1- Eurocredits 5.2- Tha thun li sut k hn (Forward Rate Agreements (FRA)) 5.3- Euronotes 5.4- Euro-commercial papers (Euro-CP)

5.1- Eurocredits
L cc khon vay ngn-trung hn bng
Eurocurrency do Eurobanks cho cng ty, chnh ph, bank v cc t chc quc t vay.
C gi tr giao dch ti thiu l 1 triu USD. Cc ngn hng c th cho vay 100% cc khon

tin gi m h nhn c.

5.1- Eurocredits
Syndicated Eurocredits: Cc Eurobanks c th
thnh lp 1 t hp(a bank lending syndicate) bo him cc khon vay Ph qun l
Li sut ca cc khon vay ny l li sut th ni v

s c iu chnh theo li sut th trng (LIBOR).

Risk premium

5.2- Tha thun li sut k hn- FRA

5.2.1- Khi nim
Tha thun li sut k hn (forward rate agreement) l

hp ng k hn lin ngn hng cho php Eurobanks vay/cho vay ti mt mc li sut nht nh vo mt thi im nht nh trong tng lai
FRA l mt dng hp ng k hn li sut (interest rate

forward)

Standard FRA Non-standard FRA

5.2- Tha thun li sut k hn- FRA

5.2.2- c im
Hai bn tham gia hp ng tha thun v khon tin gc

danh ngha, c dng lm gi tr tham chiu tnh dng tin

Tin gc danh ngha khng c trc tip trao tay, m ch c dng tnh tin li Ngi mua FRA ng thanh ton tin li coupon theo li sut c nh (li sut thc hin/theo hp ng) v nhn c tin li theo li sut th ni vo mt ngy quy nh trong tng lai theo tin gc danh ngha Ngi bn FRA ng thanh ton tin li theo li sut th ni v nhn c tin li theo li sut c nh trn c s tin gc danh ngha

5.2- Tha thun li sut k hn- FRA

5.2.2- c im
Ngi mua FRA s nhn c (thanh ton) tin mt khi

li sut thc t trn th trng ti thi im o hn ln hn (nh hn) li sut thc hin/li sut theo hp ng
Ngi bn FRA s nhn c (thanh ton) tin mt khi

li sut thc t ti thi im o hn nh hn (ln hn) li sut thc hin

5.2- Tha thun li sut k hn- FRA

5.2.3- V d 1
Giao on tr hon contract period

Ngy giao dch Li sut ca hp ng

Ngy bt u

Ngy quyt nh Quyt nh li sut tham chiu

Ngy thanh ton Thanh ton tin li

Ngy o hn

Ngn hng A mua mt FRA 1 against 4 (1x4) vi gi tr 1.000.000 USD vo ngy 16/4/2010 theo li sut 6.25%, li sut th ni l LIBOR

5.2- Tha thun li sut k hn- FRA

5.2.3- V d 2 Ngn hng A bn cho ngn hng B mt FRA 3 against 6 vi s tin $1,000.000; li sut theo hp ng (AR) l 7% v li sut th ni l LIBOR 3-thng (SR). Hy tnh s tin li thc t phi thanh ton nu a- Li sut LIBOR 3 thng l 8% b- Li sut LIBOR 3 thng l 5%

5.3- Euronotes
L cc khon vay ngn hn, cc tn phiu c th

chuyn nhng v cc k phiu do cc ngn hng thng mi v ngn hng u t quc t bo lnh
c pht hnh di hnh thc chit khu vi k

hn t 1, 3 v 6 thng v c hon tr y ti thi im n hn.

Li sut thng thng l LIBOR+1/8%, thp hn li

sut ca Eurocredits.

5.4- Eurocommercial paper

Ging nh thng phiu c pht hnh

trong ni a, Eurocommercial paper l cng c n ngn hn do ngn hng hay cng ty pht hnh c pht hnh di hnh thc chit khu vi k hn t 1 n 6 thng C li sut (Euro-CP rate) cao hn li sut LIBOR t 50 n 100 im

6- Li tc ca chng khon trn th trng Eurocurrency

Thu nhp ca vic u t vo chng khon trn th trng Eurocurrency (cn gi l chng khon th trng tin t nc ngoi) l li tc c iu chnh theo t gi (effective yield) v ph thuc vo:

Li tc thu c t chng khon th trng tin t ghi bng ngoi t Yf S thay i ca t gi hi oi %S

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6- Li tc ca chng khon trn th trng Eurocurrency

Yf SPf PPf PPf

Yf : t sut li tc ca chng khon trn th trng tin t nc ngoi SPf : gi bn chng khon th trng tin t nc ngoi bng ngoi t PPf : gi mua chng khon th trng Eurocurrency ngoi bng ngoi t

Ye = (1 + Yf) . (1 + %S) 1
Ye: T sut li tc c iu chnh theo t gi %S: % thay i t gi giao ngay (bng $)

V d
Mt nh u t US dng $ mua chng khon th trng tin t k hn 1 nm ghi bng Peso vi li tc l 22%. T gi ti thi im mua l $0,12/Ps. Sau 1 nm nh u t chuyn khon thu nhp bng Peso v $ theo t gi $0,13/Ps. Hi Ye?

II- Th trng tri phiu quc t

Th trng n v th trng vn

Debt data from the Bank for International Settlements (December 2008). Equity data estimated from the FTSE world index (December 2008).

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Cc th trng n quc t chnh

n v: t

Source: Bank for International Settlements (December 2008)

1- Khi nim v vai tr

Khi nim: o L ni mua bn tri phiu gia cc ch th c tr v khng c tr o Th trng tri phiu quc t trong nc v nc ngoi Vai tr: o Gp phn b sung ngun lc ti chnh trung v di hn, gp phn thc y s tng trng v n nh kinh t ca cc nc o p ng kh nng thanh ton ca cc ch th khc nhau khi tham gia vo cc hoat ng ti chnh quc t o Gp phn hnh thnh v pht trin h thng th trng ti chnh quc t

2- Cc ch th tham gia
- Cc ch th pht hnh tri phiu quc t Chnh ph cc nc:
-

Chnh ph v cc c quan chc nng c u quyn Chnh quyn cc a phng hay tiu bang Ngn hng th gii (WB) Qu tin t quc t (IMF) Ngn hng chu u (EIB) IBM, Deutsche bank, v.v

Cc t chc quc t
-

Cc doanh nghip ln
-

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2- Cc ch th tham gia
-

Cc ch th u t tri phiu quc t u t tri phiu quc t ch yu l khu vc t nhn

o

Cc c nhn

o o

Cc doanh nghip Cc nh ch ti chnh

Ngn hng trung ng hay chnh ph cc nc cng tham gia u t vo tri phiu chnh ph ca cc nc khc

3- Cc cng c chnh trn th trng

Eurobonds (80%)

Th trng tri phiu quc t

Euobonds: Tri phiu c cc chnh ph, cc t chc ti chnh, cc cng ty pht hnh, v c bn bn ngoi quc gia c ng tin nh gi tri phiu Tri phiu nc ngoi: Tri phiu do ngi phi c tr (chnh ph, cng ty nc ngoi) ca mt quc gia pht hnh bng ng tin ca quc gia v bn trn quc gia

Eurobonds
V d:

Mt cng ty M pht hnh tri phiu bng USD v bn bn ngoi nc M

Mt cng ty Nht Bn pht hnh tri phiu bng JPY bn ngoi Nht Bn

Khi mt cng ty Nht Bn pht hnh tri phiu bng JPY trn th trng Euromarket, tri phiu l tri phiu Sushi

Eurobonds c bn cc nc khc thng qua mt nhm

cc nh bo lnh

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V d 1: Eurobond
Issuer Issue Size Issue Format Issue Ratings NTPC Limited US$300,000,000 Reg S Eurobond BB+ Stable (S&P) / BB+ Stable (Fitch) 10-year UST + 140bp 5.875% (semi-annual) 5.939% 99.523% Singapore English 23 February 2006 2 March 2006 2 March 2016

NTPC Limited
US$300 Million Bonds due 2016

Reoffer Spread Coupon Reoffer Yield Reoffer Price

Joint Bookrunner
Barclays Capital

Listing Governing Law Pricing Date Settlement Date Maturity Date

V d 2: Eurobond
Issuer Issue Size Issue Format Issue Type Issue Ratings Reoffer Spread Coupon Price Listing Pricing Date Settlement Date Maturity Date IDBI US$250 Million Reg S Senior Unsecured Baa3 (Moodys) /BB Stable (S&P) / BB+ Stable (Fitch) 5-year UST + 162.5 bps (Mid-swap + 125 bps) 5.125% (semi-annual) 99.695% Singapore December 17 2004 December 23 2004 December 23 2009

Tri phiu nc ngoi

Tri phiu do cng ty ca quc gia A pht hnh

quc gia B bng ng ni t ca quc gia B

Nu quc gia B l?

M: Tri phiu Yankee H Lan: Tri phiu Rembrandt Nht Bn: Tri phiu Samurai Anh: Tri phiu Bulldog

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4- Th trng tri phiu nc ngoi

Khi nim: L th trng mua bn tri phiu do ngi khng c tr (chnh ph, cc cng ty nc ngoi) pht hnh ti mt nc ghi bng ng tin nc thu ht vn t cc nh u t ni a Th trng cho bn cng khai: o Tri phiu c ng k v giao dch ti s giao dch chng khon - phi tho mn cc iu kin nht nh (cht lng hay tn nhim, bo lnh, v.v) o L knh rt quan trng cung cp vn trung di hn cho cc ch th khng c tr c nhu cu s dng vn Th trng cho bn khng cng khai: o Nh pht hnh tri phiu khng cn phi ng k vi s giao dch v c th c bn trc tip cho nh u t o Quy m nh v s lng cc nh u t tham gia cng t hn.
o

5- Th trng Eurobonds
5.1- Lch s hnh thnh v pht trin
T nm 1963, theo IET (Interest Equalization Tax), cng dn M

nm gi tri phiu nc ngoi phi chu thu sut (withholding tax) cao hn dn n cc cng ty nc ngoi (khng phi ca M) pht hnh tri phiu bng USD ti M phi tr li sut cao hn (lut thu ny b bi b nm 1984).
M hn ch cc cng ty M vay vn trong nc ti tr cho hot

ng u t ra nc ngoi ca h,
Nhu cu ti tr ra nc ngoi ca cc cng ty M c hot ng

kinh doanh nc ngoi gia tng

5- Th trng Eurobonds
5.2- Cc cng c chnh
Straight Fixed-Rate bond: li coupon c tr nh k hng nm

(tri phiu ni a thng c tr na nm mt).

Floating-rate Notes (FRNs): l tri phiu trung hn vi li coupon

c gn vi li sut tham kho (li sut LIBOR ca USD k hn 3 hoc 6 thng)

Equity-related bonds:Ging Straight fixed rate bond, nhng c c

im khc

Chuyn i sang c phiu

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5- Th trng Eurobonds
5.3- c im

1. Chu t s qun l ca cc quy nh 2. Yu cu cng khai thng tin khng nghim ngt

bng cc tri phiu pht hnh trong nc

3. c u i v thu

6- Li tc v ri ro khi u t vo tri phiu quc t

Li tc: Return = Foreign yield DUR . (foreign yield) + percentage currency movement Nhn li tc bng ngoi t Nhng thay i li tc bng ngoi t dn n % l/li trn gi tri phiu S thay i gi tr ng tin dn n l/li Ri ro: Ri ro li sut (khi foreign yield tng) Ri ro tin t (khi ngoi t mt gi)

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