Professional Documents
Culture Documents
Mc lc
BNG K HIU VIT TT_______________________________________________________3
DANH MC BNG V BIU __________________________________________________4
PHN M U_________________________________________________________________6
1. Tnh cp thit ca d n............................................................6
2. Mc tiu ca d n....................................................................6
3. i tng v phm vi nghin cu ..............................................7
4. Phng php nghin cu v s liu s dng ..............................7
5. Kt cu ca d n.....................................................................8
PHN 1
CC M HNH XY DNG NG CONG LI SUT CHUN________________________9
1.1. Cc ng cong li sut hon vn...........................................9
1.2. Cc m hnh xy dng ng cong li sut chun...................11
1.2.1. M hnh mt nhn t...................................................................................11
1.2.1.1. M hnh Vasicek...................................................................................13
1.2.1.2. M hnh Merton....................................................................................15
1.2.1.3. M hnh Cox-Ingersoll-Ross (CIR)..........................................................16
1.2.2. Cc m hnh t do chnh lch gi...............................................................18
1.2.2.1. M hnh Ho-Lee....................................................................................19
1.2.2.2. M hnh Hull-White...............................................................................19
1.2.2.3. M hnh Black-Derman-Toy (BDT)........................................................20
1.2.3. M hnh a nhn t.....................................................................................20
1.2.3.1. M hnh hai nhn t..............................................................................20
1.2.3.2. M hnh a nhn t Heath-Jarrow-Morton (HJM)...................................21
1.2.4. Cc k thut s dng phng php tham s...............................................21
1.2.4.1. M hnh Nelson-Siegel..........................................................................21
1.2.4.2. M hnh hm ni trc bc ba (cubic spline model)...............................23
1.2.4.3. M hnh hm ni trc c bn (B-spline)................................................24
PHN 2
C IM TH TRNG CC CNG C N VIT NAM____________________________41
2.1.Th trng tri phiu Chnh ph.............................................41
2.1.1. Thc trng th trng tri phiu Chnh ph.................................................41
2.1.1.1. Pht hnh tri phiu Chnh ph............................................................42
PHN 3
XY DNG NG CONG LI SUT CHUN CA VIT NAM______________________82
3.1. Quan im v thc t xy dng ng cong li sut hon vn
ca Vit Nam..............................................................................82
3.1.1. Quan im xy dng ng cong li sut chun........................................82
3.1.2. ng cong li sut chun hin hnh.........................................................83
3.4. Kt lun.............................................................................102
KT LUN___________________________________________________________________104
DANH MC TI LIU THAM KHO_____________________________________________106
PH LC____________________________________________________________________110
Ngn hng Nh nc
TPCP
CSTT
BTC
B Ti chnh
KBNN
Kho bc Nh nc
NHTM
HNX
HSX
TPKB
TCTD
NVTTM
TDNDTW
VKD
CSTT
TTTT
Th trng tin t
TTCK
GTCG
Giy t c gi
OMO
Th trng m
CTNY
Cng ty nim yt
CTC
Cng ty i chng
CTCP
Cng ty c phn
TD
Tn dng
VN
Vit Nam
BFV
Ni dung
Bng 1.1
Bng 1.2
Bng 2.1
Bng 2.2
Bng 2.3
Bng 2.4
Bng 2.5
Khi lng trng thu v phng thc giao dch OMO 2005 -2009
Bng 2.6
Bng 2.7
Bng 2.8
Bng 2.9
Bng 2.10
Bng 2.11
Bng 2.12
Bng 2.13
Bng 2.14
Bng 2.15
Bng 2.16
Bng 2.17
Bng 2.18
Bng 2.19
2. Danh mc biu
STT
Biu 1.1
Biu 1.2
Ni dung
Cc dng ng cong li sut hon vn
Hnh nh ng cong li sut chun ca M (thng 12/2009)
Biu 1.3
Biu 1.4
Biu 2.1
Biu 2.2
Biu 2.3
Biu 2.4
Biu 2.5
Biu 2.6
Biu 2.7
Biu 2.8
Biu 2.9
Biu 2.10
Biu 2.11
Biu 2.12
Biu 2.13
Biu 2.14
Biu 2.15
Biu 2.16
Biu 3.1
Biu 3.2
Biu 3.3
Biu 3.4
Biu 3.5
Biu 3.6
Biu 3.7
PHN M U
1. Tnh cp thit ca d n
ng cong li sut chun l mt trong nhng ch bo kinh t rt quan trng
cn c vo ni dung thng tin m n phn nh. Phn ln cc nc chn li sut tri
phiu kho bc cho vic xy dng ng cong li sut chun. Song vic xc nh
mt hoc mt s li sut c th v la chn m hnh xy dng ng cong li
sut chun khng ging nhau gia cc nc.
Vit Nam ang tham gia su vo phn cng lao ng quc t, cc giao dch
vn ang ngy cng c t do ho i hi phi c h tr bi cc cc cng c d
bo v m theo chun mc quc t ph hp vi c im ca th trng ti chnh
Vit Nam. Vic nghin cu hnh thnh ng cong li sut chun ca Vit Nam s
phn no p ng c yu cu ny.
c mt s t chc cng b ng cong li sut chun ca Vit Nam trong
khong 2 nm tr li y da trn s liu ca li sut kho bc. Tuy vy cn c vo
c im ca th trng tri phiu chnh ph, cc ng cong li sut chun ny
cha phn nh y ni dung thng tin vn c trong iu kin c th ca Vit
Nam. Trong iu kin c th ca Vit Nam khi m th trng tri phiu chnh ph
ang cn rt mng, k hn tri phiu cha a dng, li sut th trng cha c t
do ho v tnh thanh khon ca th trng cn yu th vic la chn mt hoc mt
s loi li sut thay th vi m hnh ph hp xy dng ng cong li sut chun
l rt cn thit.
Tip theo ti nghin cu khoa hc cp ngnh "Hon thin cc iu kin
xy dng ng cong li sut chun ca Vit Nam", d n "Xy dng ng cong
li sut chun ca Vit Nam" hng ti vic la chn li sut thch hp vi m
hnh phn nh tng thch, t xy dng ng cong li sut chun ca Vit
Nam.
2. Mc tiu ca d n
PHN 1
10
11
t pht hnh tri phiu mi vi gi pht hnh bng mnh gi. Nu cc tri phiu
trn th trng c giao dch mc gi thp hn rt nhiu so vi mnh gi th
khng th xy dng ng cong loi ny mt cch trc tip m phi gin tip thng
qua ng cong li sut hon vn giao ngay.
Cu trc k hn ca li sut (the term structure of interest rates): chnh l
ng cong li sut hon vn ca tri phiu chit khu (zero-coupon yield curve)
hay ng cong li sut hon vn giao ngay (spot yield curve). Li sut hon vn
ca tri phiu chit khu c coi l li sut hon vn chnh xc nht nu ngi ta
nm gi tri phiu ny n khi o hn. Do khng c ri ro ti u t v khng c
lung tin pht sinh trong k nh cc loi tri phiu coupon nn li sut hon vn
ca tri phiu chit khu khc phc c hn ch ca hai gi nh c s dng
xy dng ng cong li sut hon vn n k o hn nh trnh by trn.
i vi cc th trng m tri phiu chit khu c giao dch ph bin vi
k hn phong ph, ngi ta c th xy dng c ng cong tri phiu chit khu
mt cch trc tip trn c s cc d liu quan st c. Ngc li, i vi cc th
trng tri phiu chit khu km thanh khon th ngi ta cng c th xy dng
c ng cong li sut hon vn giao ngay mt cch gin tip t mt ng cong
li sut hon vn n k o hn thng thng tng ng. Trong d n ny, chng
ti s dng cm t cu trc k hn ca li sut v ng cong li sut hon vn
ca tri phiu chit khu hoc ng cong li sut hon vn giao ngay vi
ngha tng ng nhau.
1.2. Cc m hnh xy dng ng cong li sut chun
1.2.1. M hnh mt nhn t
M hnh mt nhn t l loi m hnh cho php xy dng c mt cu trc
k hn hon chnh t mt loi li sut ngn hn. Chng ta c th minh ha qu trnh
ny bng cch ch ra phng php s dng cc m hnh nh gi tri phiu chit
khu vi bt c k hn no.
12
(1.1)
( r ( s ) ds )
t
(1.2)
( r ( s ) ds )
T
(1.3)
13
(1.4)
(1.5)
14
(1.6)
1 e A(t T )
a
(1.7)
B ( t , T ) ( T t ) a 2b ( 2 / 2 ) 2 B ( t , T ) 2
A ( t , T ) = exp
a2
4a
(1.8)
15
1
1
ln A ( t , T ) +
B ( t,T ) r ( T )
T t
T t
(1.9)
(1.10)
16
dr = dt + d W
(1.11)
Vi cc gi tr t nm trong on 0 t T , ta c c:
r ( T ) = r ( t ) + ( T t ) + ( W ( T) W ( t) )
(1.12)
( T t) .
1
1
ln
T t P ( r ( t ) , T t )
(1.13)
1
A( T t ) + r ( t )
T t
= R ( r ( t ) ,T t )
=
trong R l mt hm nh sau:
R ( t, T ) =
1
1
2 2
A ( T ) + r = T
T +r
T
2
6
(1.14)
17
(1.15)
r . y l c im ni bt ca m hnh CIR v
(1.16)
trong
B ( t, T ) =
(
( + a) ( e (
)
1) + 2
2 e ( T t ) 1
T t )
2 e( a + ) ( T t ) / 2
A(t , T ) =
( + a ) e ( T t ) 1 + 2
2 ab / 2
(1.17)
= a 2 + 2 2
(1.18)
18
19
thch vi s liu thc t. Tuy nhin, vic p dng m hnh t do chnh lch gi
khng h n gin, cho nn trong mt s iu kin nht nh, m hnh im cn
bng c a thch hn. Chng hn nh trong iu kin m ngun d liu thc t
ng tin cy khng sn c v phong ph th ngi ta thng c xu hng chn m
hnh im cn bng. c bit, trong iu kin ca cc th trng ang pht trin th
khi m hnh ha cu trc k hn ca li sut ngi ta thy rng vic s dng m
hnh im cn bng th c hiu qu hn.
1.2.2.1. M hnh Ho-Lee
Ho-Lee (1986) l mt trong nhng nghin cu u tin v m hnh t do
chnh lch gi v s dng cch tip cn li nh thc vi hai tham s: lch chun
ca li sut ngn hn v phn b ri ro ca li sut ngn hn. M hnh ca Ho-Lee
s dng thng tin c sn t cu trc k hn hin hnh quan st c trn th trng
to ra m hnh l thuyt ph hp nht vi cu trc k hn hin hnh quan st
c. Tuy nhin, m hnh ny n nh mc bin ng l nh nhau cho cc mc li
sut giao ngay v mc li sut k hn nn cu trc bin ng dng ny ch ph hp
vi mt s ch th tham gia th trng nht nh. Bn cnh , m hnh ny cng
khng cp c n vn hi phc trung bnh.
1.2.2.2. M hnh Hull-White
Hull-White (1990) m rng m hnh Vasicek nhm to ra mt kt qu
phn nh chnh xc nht cu trc k hn hin hnh quan st c trn th trng.
M hnh Hull-White cng c bit n vi tn gi l m hnh Vasicek m rng.
Trong m hnh ny quy trnh li sut c m t nh sau:
dr = a r dt + dw(t)
a
(1.19)
20
21
22
2 T / 1
Te
1
(1.20)
rs =
f ( u ) du
(1.21)
th cng thc (1.20) c th c dng tnh rs(T), mc li sut giao ngay ti thi
im T, nh sau:
rs ( T ) = 0 + ( 1 + 2 )
1
1 e T /1 ) 2 eT /1
(
T
(1.22)
23
T T /1
T
e
+ 3 eT / 2
1
1
(1.23)
24
N 1
S ( x ) = x 3 + x 2 + x + + i x ki
(1.24)
i =1
trong , , , v l cc hng s v ki , i = [ 0, N ] l tp hp cc im kt ni
cho trc.
1.2.4.3. M hnh hm ni trc c bn (B-spline)
Bn cnh cng thc tng qut ca hm ni trc bc ba nh trn, ngi ta
cng thng to ra cc ng ni trc bng cch kt hp tuyn tnh cc ng ni
trc c bn li vi nhau. Phng php ny c tn gi l ni trc c bn. y l mt
cch bin i tng qut cho php hn ch cc vn v tr s ca cng thc (1.24).
Mt hm ni trc c bn bc n c th c vit di dng sau:
Bi ,n ( x ) =
x ki
k x
Bi ,n 1 ( x ) + i +n
Bi +1, n 1 ( x )
ki + n 1 ki
ki + n ki +1
(1.25)
M hnh
M hnh
mt
nhn t
Vacisek
c im m hnh
- Li sut ngn hn c ko v mc li sut trung bnh di hn
b vi tc a
- Quy trnh hi phc trung bnh c phn nh bi thng k
dW tun theo quy lut chun
CIR
25
M hnh
chnh
lch gi
M hnh
a nhn
t
M hnh
s dng
phng
php
tham s
Ho-Lee
Hull-White
BlackDermanToy
Hai
t
nhn
NelsonSiegel
Ni
trc
bc ba
26
27
28
29
ngha ca m hnh
iu kin p dng
Hn ch
M
hnh
mt nhn
t
- Ch m t c kiu thay
i duy nht ca ng
cong li sut hon vn l
dng dch chuyn song
song
- Sn phm u ra l cu
trc k hn
- S dng tham s c nh
c c lng t s liu
lch s
- S bin ng ca chui
s liu u vo phi n
nh
M
hnh
a nhn t
M
hnh
chnh
lch gi
Xy dng cu trc k hn
l thuyt tng thch vi
cu trc thc t quan st
c
- Yu cu s liu phi
ln
- Thc t l m hnh ny
khng c p dng ph bin
- Tc hi phc trung
bnh ca li sut ngn hn
ph thuc vo thi gian
M
hnh
s dng
phng
php tham
s
Nu bit c mi quan h
gia li sut giao ngay v
li sut k hn th c th
m hnh ha ng cong
li sut giao ngay bng
cch da trn trong bnh
ca ng cong li sut k
hn
- c p dng nhng
nc c th trng tri phiu
pht trin.
- Ch c p dng khi th
trng tri phiu pht trin
v cc thng tin trn th
trng l hiu qu
- M hnh ny c coi l xc
nh chnh xc cc mc li
sut th trng
- Phi c c s d liu
ln
30
31
32
Ngun: Bloomberg
Khi tm hiu, vic xy dng ng cong li sut chun ni trn ca M da
trn phng php lun v cu trc k hn ca li sut. iu ny c ngha l, t mt
mc li sut c bit ti thi im hin ti, ngi ta s xc nh cc mc li sut
k hn trong tng lai. K thut cc nh cc mc li sut cn li da trn vic p
dng m hnh Svenson hay cn gi l Nelson-Siegel m rng vi vic a thm 2
bin s mi vo m hnh Nelson-Siegel cho php m t cc k hn o hn di
v cc im un ca th (nu c) mt cch chnh xc. Thc t cho thy, vic p
dng m hnh Svenson mi cho php c nhiu s linh ng hn nn ng cong li
sut thu c c th m t ng cong k hn f(T) vi nhiu im un hn.
u tin, ngi ta s s dng nhng s liu trong qu kh a vo m
hnh Svenson nhm xc nh cc h s 0 , 1 , 2 , 3, 2 v 1 . xc nh cc h s
ny, ngi ta s dng c hai phng php GMM (General Method of Moments) v
MLE (Maximum Likelihood Estimator) nh gi. Nh vy, so vi cc nc
khc, vic xc nh cc h s ni trn khi xy dng ng cong li sut chun ca
M rt phc tp. S d cn phi lm nh vy v cng xc nh cc h s ni trn
chnh xc bao nhiu th s gip cho vic xc nh li sut di hn (10 nm, 20 nm,
30 nm v lu hn) cng chnh xc by nhiu.
Sau khi xc nh c cc h s ni trn, ngi ta s dng li sut tri phiu
chnh ph M vi thi hn 1 thng lm bin s u vo ca m hnh. Theo ,
li sut cc k hn cn li s c tnh da trn cu trc k hn ca li sut.
1.4.1.2. Thc t ca Malaysia
33
34
Ngun: http://asianbondsonline.adb.org/malaysia.php
35
6
7
36
37
cc tham s ny, vic tip theo l xc nh li sut giao ngay ca tri phiu Chnh
ph mt thi im bt k. Thng qua vic xc nh ny, ngi ta c th v ng
cong li sut ca tri phiu Chnh ph (ng cong li sut chun) ti mi thi
im. ng cong li sut chun, do , c tnh lin tc cao. Di y l hnh nh
ng cong li sut chun ca Singapore c cng b trn website ca Ngn hng
Pht trin chu .
Ngun: http://asianbondsonline.adb.org/singapore.php
1.4.2. Bi hc t vic xy dng ng cong li sut chun ca cc nc
Nghin cu l thuyt cho thy, mi m hnh c xy dng trn mt gi
nh ring v cc nc khi la chn m hnh u xem xt s ph hp ca cc gi
nh i vi trng hp ca ring mnh.
Thng qua vic nghin cu tnh hnh thc t v xy dng ng cong li
sut chun ca mt s nc ni trn, chng ta thy rng vic la chn m hnh
xy dng ng cong li sut chun ca cc nc ny ph thuc vo rt nhiu yu
t nh mc pht trin ca th trng tri phiu, mc a dng v cc k hn
38
ca tri phiu chnh ph, khi lng cc t pht hnh, tnh hiu qu ca th trng
cng nh s sn c ca s liu...
Nc M vi th trng tri phiu pht trin mc cao, tri phiu chnh ph
a dng v k hn, khi lng pht hnh ln v cc t pht hnh l lin tc. Ngoi
ra, li sut tri phiu chnh ph nc ny phn nh tng i trung thc mi quan
h cung cu trn th trng. Ngoi ra, s liu c th thu thp c v li sut tri
phiu chnh ph M l rt sn c. chnh l l do M la chn m hnh Svenson
xy dng ng cong li sut chun cho mnh.
Ngc li, vi nhng nc c th trng tri phiu cha pht trin mc cao
nh Malaysia, m hnh Vacisek c la chn xy dng ng cong li sut
chun. Thc t cho thy, th trng tri phiu chnh ph ca Malaysia mi chim
khong 30% trong tng GDP, tri phiu chnh ph ch yu l nhng tri phiu trung
v di hn. Hn na mc li sut ca cc loi tri phiu ny thng l c nh do
chnh ph ban hnh, v vy khng phn nh ng mi quan h cung cu trn th
trng. Mt khc, tn sut cng nh quy m pht hnh ca tri phiu chnh ph ph
thuc vo mc tiu b p thm ht ngn sch hoc thay th cho tri phiu sp o
hn. Cn c vo cc gi nh m hnh Vacisek v c im ca th trng tri phiu
Malaysia, vic la chn m hnh Vacisek xy dng ng cong li sut chun l
ph hp.
Singapore c th trng tri phiu chnh ph tng i pht trin vi t l
tri phiu chnh ph chim khong 45% trong tng GDP, cc k hn ca tri phiu
chnh ph tri di trn cc k hn t 3 thng n 20 nm v t l tri phiu chnh
ph ang tng dn, vic u thu tri phiu chnh ph c thc hin ch yu theo
hnh thc u thu cnh tranh (khong 60%). T nhng c im trn, ta c th a
ra nhn xt rng cng vi s pht trin ca th trng tri phiu, cc mc li sut
ca tri phiu chnh ph nc ny mang tnh th trng, tc l da trn mi quan
h cung cu. Bn cnh , cc s liu c lin quan n li sut, n cc t u thu
cng nh cc loi tri phiu chnh ph c cng b cng khai trn website ca
39
40
41
PHN 2
C IM TH TRNG CC CNG C N VIT NAM
42
43
xy dng, nng cp bnh vin tuyn huyn, tip tc thc hin chng trnh kin c
ha trng lp hc. Trn c s Kho bc Nh nc lp k hoch huy ng
tri phiu hng qu. K hoch huy ng vn thng qua pht hnh TPCP cng c
xy dng cho nhng nm 2009 v 2010.
b/ Phng thc pht hnh tri phiu Chnh ph
- Bn l qua h thng Kho bc Nh nc
y l phng thc pht hnh tri phiu ch yu Vit Nam trong nhng nm
u thp k 90. T nm 2006 khi lng TPCP pht hnh qua h thng KBNN
gim hn trong tng gi tr tri phiu c pht hnh. Do hn ch c nhng
nhc im ca vic pht hnh TPCP qua knh ny nh thi gian pht hnh di, chi
ph cao, manh mn, kh thc hin vic nim yt v giao dch trn th trng chng
khon.
- Pht hnh tn phiu kho bc qua u thu ti NHNN
Ngh nh 72/1995/N-CP nh du mt bc chuyn bin quan trng
trong qu trnh pht trin th trng TPCP. y l vn bn php l u tin iu
chnh hot ng pht hnh TPCP Vit Nam vi vic u thu tn phiu kho bc
qua NHNN.
Theo Thng t 19/2004/TT-BTC, hin nay c hai loi tri phiu ang c
u thu ti NHNNVN l Tn phiu kho bc Nh nc v Tri phiu Chnh ph
bng ngoi t (tri phiu ngoi t).
Nguyn tc u thu: Cng khai, bnh ng v quyn li v ngha v gia
cc thnh vin; B mt thng tin t thu ca cc thnh vin v li sut trn (nu
c); n v trng thu c trch nhim mua TPCP theo khi lng v li sut trng
thu c thng bo.
- Pht hnh TPCP qua u thu ti S giao dch chng khon
Thng 6/2008 B Ti chnh va c quyt nh s 46/2008/Q - BTC ban
hnh quy ch qun l giao dch tri phiu Chnh ph ti TTGDCK H Ni (nay l
44
45
(n v 1000 t VN)
60
49.4
50.3
50
40
30
20.35
20
16.8
10
0
2006
2007
2008
2009
Gi tr giao dch
(triu ng)
2005
203.822.404
21.014.853,47
2006
412.149.140
42.044.492,50
2007
183.279.832
19.250.086,56
2008
68.464.772
6.386.000
2009
763.303,430
80.181,881
46
Gi tr nim yt
(t ng)
Gi tr giao dch
(t ng)
Gi tr giao dch/ gi tr
nim yt (%)
2005
34.610,33
21.14.853,47
60,72
2006
47.245,70
42.044.492,50
88,90
2007
118.670.016
12.240
10,3
2008
11.348
6.386
56,27
2009
166.314
3.062
1.8
Ngun: B Ti Chnh, n xy dng th trng giao dch TPCP chuyn bit
n 15/3/2010 s tri phiu nim yt ti HNX l 508 vi tng gi tr tri
phiu nim yt l 166.314 t ng (Bng 2.3).
Bng 2.3: Qui m nim yt ti HNX (n 15/3/2010)
Ton th trng
C phiu
Tri phiu
UPCoM
S chng khon
nim yt
827
269
508
50
Tng khi
lng nim yt
6,077,399,300
Tng gi tr
nim yt (t
VN)
210,456.5
3,755,111,648 1,663,140,000
37,551.1
166,314
659,147,652
6,591.4
Ngun: hnx.vn
c/ Qui m hot ng th trng m
Nghip v th trng m ra i t 12/7/2000 gp phn lm tng tnh
thanh khon ca TPKB. Cc cng c ti chnh c php giao dch qua nghip v
TTM bao gm cc loi giy t c gi pht hnh bng ng Vit Nam nh: Tn
47
phiu NHNN, TPCP (tn phiu kho bc, tri phiu kho bc, tri phiu cng trnh
Trung ng, tri phiu u t do Ngn hng Pht trin pht hnh, cng tri) v tri
phiu chnh quyn a phng do U ban nhn dn TP H Ch Minh v TP H Ni
pht hnh.
n nm 2009 c 58 t chc tn dng c cp giy chng nhn l thnh
vin nghip v th trng m; trong c 5 NHTM Nh nc v ngn hng c
phn Nh nc nm c phn ch yu, 34 NHTM c phn, 3 ngn hng lin doanh,
14 chi nhnh NH nc ngoi, 1 Cng ty ti chnh v QTD Trung ng (bng 2.4).
Bng 2.4: S lng thnh vin th trng m (2000 - 2009)
Nm
200
0
Nm
200
1
Nm
200
2
Nm
200
3
Nm
200
4
Nm
200
5
Nm
200
6
Nm
200
7
Nm
200
8
Nm
2009
NHTM NN
NHTM c phn
10
10
11
13
14
19
26
32
34
NH nc ngoi
11
14
14
NH lin doanh
TCTD phi NH
Qu TDNDTW
21
22
23
25
28
30
35
47
56
58
S lng thnh
vin OMO
Tng s
48
nng thanh ton, duy tr n nh th trng tin t, NHNN thc hin 29 phin
cho mua giy t c gi vi k hn ngn 7; 14; 21; 28; 56 ngy, phng thc u
thu li sut. Tng doanh s bn ra t khong 89.102 t ng, tng mnh so vi
cc nm 2005 v 2004. Vic cho bn giy t c gi ch yu c thc hin i vi
tn phiu NHNN theo phng thc bn hn do lng tn phiu Kho bc Nh nc
do NHNN nm gi qu thp khng s dng can thip th trng.
Nm 2007, doanh s giao dch 415.861 t ng, giao dch mua c k hn
59.011t ng, giao dch bn hn l 356.850 t ng. Lai sut trung thu binh qun
trong cac phin chao ban la 4,35%/nm. C th thy, lng phin cho bn v
doanh s giao dch bn c khi lng tng p o so vi giao dch mua, cho thy
y l mt nm m trng thi vn kh dng ca cc TCTD tng i d tha.
Nm 2008, kinh t th gii bin ng phc tp v kh lng. Khng hong
h thng ti chnh th gii ko theo tng trng kinh t th gii suy gim mnh. Vai
tr ca cng c NVTTM trong iu tit VKD ca cc TCTD th hin mt cch
tng i hu hiu thng qua vic iu hnh linh hot t NHNN Vit Nam.
NVTTM l cng c iu hnh CSTT ch yu nht v c khi lng giao dch chim
phn ln trn TTTT. Doanh s giao dch t 1.024.179 t ng, tng 148% so vi
nm 2007, trong mua GTCG chim n 64,67% tng s phin giao dch vi
doanh s trng thu chim 91,42% v gp 15 ln so vi nm 2007. Khng ch tng
s phin giao dch, doanh s giao dch cng tng k lc so vi nm 2007, trong
ch yu l giao dch Mua c k hn (tng gp 15 ln so vi nm 2007). Trong khi
, giao dch bn hn ch cn 76.972 t ng, gim 4,6 ln so vi 2007.
Nm 2009, cng vi mt chnh sch kch cu chung ca Chnh ph, NHNN
Vit Nam tip tc thc hin mt CSTT ni lng cn trng c th hin thng qua
NVTTM bng cc phin giao dch mua k hn 7 ngy, 14 ngy vi doanh s gn
100 nghn y VND, trong khi doanh s bn ch l 100 t vi thi hn 91 ngy, 182
ngy (bng 2.5).
49
Bng 2.5. Khi lng trng thu v phng thc giao dch OMO 2005 -2009
n v: t ng
Doanh s trng thu
Nm
Mua
Tng s
Giao
ngay
Bn
k hn
Giao
ngay
Doanh s
bnh qun/ph
k hn
2005
102.479
100.679
1.100
700
649
2006
125.935
36.833
89.102
777
2007
415.861
59.011
356.850
1.171
2008
1.024.179
947.207
76.972
2.600
2009
966.900
966.800
100
2.930
K Li sut Li
Hn Coupon sut
Gi
Khi lng giao
giao
Gi tr giao dch
dch
dch
1 VE061101
2 VE061102
9.60 0.00
--
Tng
KL
thc
hin
Tng GT
thc hin
--
--
--
50
Ngun: hnx.vn
- Tnh thanh khon trong giao dch th trng m tng i cao: Th hin
tn sut v s lng cc phin giao dch th trng m lin tc tng. Vo thi im
mi khai trng, NHNN t chc thc hin 10 ngy/phin; t thng 1/2001 n
4/2002 tng ln 1 tun/phin (c nh vo th 4 hng tun), t thng 5/2002 t
chc 2 phin/tun (vo th 3 v th 5 hng tun). T nm 2004 t chc 3 phin 1
tun, nm 2006, 4 phin 1 tun. n nm 2008 giao dch th trng m c thc
hin gn nh hng ngy, thm ch c thi im 2-3 phin 1 ngy m bo thanh
khon ca cc ngn hng, nng tng s phin giao dch c nm 2008 ln 394 phin,
tng 39 phin so vi 2007, n nm 2009 bnh qun giao dch t 5-12 phin mt
tun. Nhng giao dch thng xuyn trn th trng tin t th hin tnh thanh
khon trn th trng ny kh cao (bng 2.7). Tuy nhin cng cn lu rng hng
ho giao dch khng ch c tn phiu kho bc, tri phiu chnh ph m mt phn ln
l tn phiu NHNN.
Bng 2.7. Tn sut giao dch OMO 2005-2009
Nm
2005
1 tun/3 phin
2006
1 tun/3 phin
2007
1 tun/3 phin
2008
1tun/5-12 phin
2009
tun/5-12 phin
51
2005
2006
2007
2008
2009
15%
67%
65%
10%
8.7%
Ngun: B Ti Chnh
Trong nm 2009, c trn 40 t pht hnh tri phiu bng tin ng v 2
t pht hnh tri phiu bng ngoi t do Chnh ph bo lnh pht hnh, huy ng
c 460 triu USD. C 36 t pht hnh tri phiu tin ng hon ton tht bi khi
khng thu c mt ng no. T l trng thu TPCP thp dn n vic NSNN
khng huy ng vn qua pht hnh TPCP theo k hoch. Bng 2.9 phn nh mc
thc hin huy ng vn qua pht hnh tri phiu chnh ph nm 2008, 2009 v k
hoch pht hnh TPCP nm 2010.
Bng 2.9: K hoch v thc hin huy ng TPCP 2008 - 2010
2008
2009
n v: T VN
2010
K hoch
37.000
56.000
56.000
55%
30%
Ngun: B Ti Chnh
52
53
54
t2/08
t3/08
t4/08
t5/08
Li sut ti cp vn
t6/08
t7/08
t8/08
t9/08
t10/08
t11/08
t12/08
Li sut TTM
Khi NHNN thc hin nghip v th trng m theo li sut thng bo nhm
thc hin mc tiu CSTT, li sut th trng m nm trong gii hn mc li sut
ny. Chng hn, thng 4 nm 2010, thc hin ch chng ca Chnh ph gim mt
bng li sut th trng, NHNN h li sut nghip v th trng m xung 8%/nm,
cc phin u thu thc hin theo phng thc u thu khi lng theo li sut
thng bo. Biu 2.4 phn nh li sut OMO ca cc phin giao dch trong thng
4/2010 v cp li sut ch o. Li sut nghip v th trng m khng vt qu 8%
v trong gii hn li cp li sut ch o ca NHNN ti thi im ny.
Biu 2.4: Li sut OMO v cp li sut ch o ca NHNN thng 4/2010
9
8
7
6
5
4
3
2
1
4/
3/
20
10
4/
5/
20
10
4/
7/
20
10
4/
9/
20
10
4/
11
/2
01
0
4/
13
/2
01
0
4/
15
/2
01
0
4/
17
/2
01
0
4/
19
/2
01
0
4/
21
/2
01
0
4/
23
/2
01
0
4/
25
/2
01
0
4/
27
/2
01
0
4/
29
/2
01
0
4/
1/
20
10
LS ti cp vn
LS th trng m
LS ti chit khu
55
6t
9t
12t
LS tin gi NH
18t
2n
3n
4n
5n
10n
15n
LS hon vn TPCP
56
2000
2008
2009
31
380
460
2001
2005
2006
2007
2008
2009
32
41
193
342
457
NA
NA
NA
NA
728
950
1070
1407
Tng CTC
Ngun: UBCKNN
57
nghip chnh thc c ban hnh. Theo , ch th pht hnh tri phiu khng ch
l doanh nghip nh nc nh trc y m cn c cc cng ty TNHH, cng ty c
phn v doanh nghip c vn u t nc ngoi vi mt nguyn tc chung l cc
doanh nghip phi t vay, t tr, t chu trch nhim v cng khai minh bch thng
tin. Trong nm 2006, Cng ty Cng nghip tu thu Vit Nam (Vinashin) huy ng
c 800 t ng, Tp on EVN 5000 t ng.
Vo u qu 4/2009, mt lot doanh nghip bt u tm n tri phiu, khi
cc iu kin thun li hn, in hnh l CTCP u t a c Novaland v
CTCP Vincom pht hnh tri phiu vi gi tr tng ng l 1922 v 1000 t VN.
Bng 2.12: Mt s t pht hnh tri phiu doanh nghip tiu biu
T chc pht hnh
Thi gian
pht hnh
Thi hn
(nm)
Nm 2006
EVN
600
EVN
24/3/2006
350
EVN
6/7/2006
1150
EVN
8/11/2006
>1000
10
PVFC
6/06
200
Nm 2007
Tp on Ti chnh du kh
19/6/07
1000
Vinaconex
19/9/07
20/9/07
3.000
10
Vincom
22/10/07
1000
Nm 2009
CTCP u t a c
Novaland
30/11/09
1922
18/12/09
1000
Ngun: UBCKNN
2.2.1.2. Qui m th trng tri phiu doanh nghip
58
(n v: 1000 T VN)
140
126
120
100
91
80
60
40
29
21
20
0
2006
2007
2008
2009
- Gi tr tri phiu doanh nghip pht hnh: Trong s chng khon doanh
nghip pht hnh, tri phiu l cng c c cc doanh nghip la chn trong vi
nm tr li y, c bit l giai on TTCK si ng v mt bng li sut th trng
thp (2006 - 2007 v 2009).
Biu 2.7: Gi tr tri phiu doanh nghip pht hnh
(n v:1000 t VN)
59
18
15
16
16
14
12
10.1
10
TPDN
8
6
4
2
1.18
0
2005
2006
2007
2008
2009
Trong nm 2007, c trn 7 t pht hnh tri phiu doanh nghip vi tng
lng tin huy ng l 16.000 t ng.
T gia nm 2008, hot ng pht hnh tri phiu ca doanh nghip hu nh
khng li trc nh hng ca khng hong ti chnh th gii. Bn cnh , s leo
thang ca li sut sau lm pht cng l mt tr ngi khi tnh ton chi ph nu gi
vn qua knh ny. y chnh l l do trong phn ln thi gian ca nm 2008 cc
t pht hnh tri phiu doanh nghip hu nh khng c tin hnh ngoi tr
Tng cng ty ng cao tc Vit Nam (VEC) pht hnh mt t tri phiu c
Chnh ph bo lnh v mt s TCTD pht hnh tri phiu thnh cng, cn cc tp
on, tng cng ty Nh nc khc cha t chc pht hnh c t no. VEC
pht hnh thnh cng 500 t ng tri phiu vo ngy 28/8/2008 vi li sut trn v
li sut trng thu bng nhau l 16%.
- T trng gi tr tri phiu doanh nghip pht hnh so vi tng vn huy
ng qua TTCK: Gi tr tri phiu doanh nghip pht hnh so vi tng vn huy
ng qua TTCK chim t trng nh, c bit nm 2008 t l ny ch t 4,07%.
Biu 2.8: T trng gi tr tri phiu doanh nghip pht hnh so vi tng vn huy
ng qua TTCK (%)
60
50.00
45.00
40.00
35.00
30.00
48.10
25.00
20.00
15.00
10.00
5.00
0.00
16.48
12.70
4.07
2006
2007
2008
2009
- T trng gi tr tri phiu doanh nghip pht hnh trong tng gi tr tri
phiu pht hnh: T trng ny chim t l rt thp khong 23-37%, thm ch ch
chim 5,28% trong nm 2008. C cu ny l rt thp nu so snh vi nhiu nc
trong khu vc (biu 2.9 v bng 2.13).
76.71
62.45
75.87
TPCP
TPDN
94.52
40.00
20.00
23.29
24.13
2006
2007
37.55
5.48
0.00
2008
2009
61
62
18
16
14
12
10
8
6
4
2
0
2006
2007
2008
2009
Ngun: UBCKNN
Xt theo k hn ca tri phiu pht hnh, li sut tri phiu doanh nghip
pht hnh c xu hng cao i vi k hn di. iu ny hon ton ph hp vi
nguyn l v tnh ri ro ca tri phiu di hn so vi ngn hn. Cc tri phiu doanh
nghip c thi hn 2 nm, 3 nm, 5 nm, 7 nm, 10 nm v 15 nm. So vi li sut
TPCP c cng k hn, li sut tri phiu doanh nghip bin ng cng chiu v
thng cao hn khong 2,5% phn nh mc chnh lch ri ro ca 2 loi tri phiu
ny. Trn thc t mc chnh lch ri ro ny khng n nh v cha c s tnh ton
c th do cha c c quan nh mc tn nhim cho cc doanh nghip. Hn na
TPDN c pht hnh rt t v hu nh khng c mua bn li trn th trng nn
vic so snh li sut hon vn ca TPCP v TPDN mt thi im l rt kh v
khng chnh xc.
- Mc nhy cm ca li sut tri phiu doanh nghip i vi s tc ng
ca NHNN:
Cc DN pht hnh tri phiu thng dng mc li sut bnh qun ca bn
ngn hng thng mi ln l BIDV, Vietcombank, Vietinbank v Agribank lm li
sut tham chiu. Ngoi ra, mt s t khc th dng li sut c bn hoc li sut trn
ca tri phiu chnh ph k hn tng ng.
63
Thi gian
pht hnh
Li sut
Thi
hn
(nm)
Nm 2006
EVN
EVN
24/3/2006
EVN
6/7/2006
EVN
8/11/2006
10
PVFC
6/06
Th ni (nm u 9.05%)
Nm 2007
Tp on 19/6/07
Ti chnh
du kh
8,6
Vinaconex
19/9/07
Vinashin
pht hnh
20/9/07
9,4
10
Vincom
22/10/07
10,3%
5
Nm 2009
CTCP u
t a c
Novaland
30/11/09
12
CTCP
Vincom
(VIC)
18/12/09
Ngun: UBCKNN
64
65
lng vn huy ng v cho vay tng lin tc qua cc nm. c bit nm 2007 d n
tn dng tng trng mnh, ti 53,89% p ng nhu cu vay vn ln ca nn kinh
t, trong khi tng trng huy ng vn ca ton h thng t chc tn dng l
22,87%. Nm 2008, vi chnh sch tht cht tin t trong 3 qu u nm, khng ch
tc tng trng d n tn dng trong gii hn 30% nhm chng lm pht, d n
tn dng ca ton h thng ngn hng tng mc 25,3% so vi nm 2007. Tuy
nhin, vi mt bng li sut huy ng cao, tc tng trng vn huy ng ti
47.64% so vi nm trc. Nm 2009, NHNN thc hin mt chnh sch tin t linh
hot, ni lng hn nhm chng suy gim kinh t, d n tn dng d tng ln
37,73%, tc tng vn huy ng l 28% so vi nm 2008 (Bng 2.15).
Bng 2.15: Tc tng huy ng vn v cho d n ca h thng ngn hng
(n vi: %/nm)
Mc tng vn huy ng
Mc tng d n TD
2000
43.3
38.1
2001
25.1
21.1
2002
19.4
22.2
2003
25.8
28.41
2004
33.2
41.6
2005
38.08
31.04
2006
36.53
25.43
2007
22,87
53.89
2008
47.64
25.3
2009
28
37.73
Ngun: Bo co thng nin, NHNN Vit Nam
66
(n v: nghn t ng)
D n tn dng
2000
1500
1000
500
0
2 9 6 .7
420
5 5 3 .1
6 9 3 .8
2003
2004
2005
2006
1 0 6 7 .7
2007
1 3 3 7 .8
2008
1 6 6 7 .3
2009
67
68
vay ngn hn. Theo Thng t 12/2010/Q-NHNN ngy 14/4/2010, TCTD thc
hin cho vay bng VND phi nim yt cng khai li sut cho vay mc hp l, trn
c s cung - cu vn th trng, nhu cu vay vn v mc tn nhim ca khch
hng vay. NHNN yu cu TCTD to iu kin tt nht cho khch hng tip cn vn
vay pht trin sn xut - kinh doanh, nht l khu vc nng nghip, nng thn,
doanh nghip xut khu, doanh nghip nh v va.
Nh vy, sau 2 nm thc hin c ch li sut c bn nhm kim ch lm
pht, thot khi khng hong, NHNN quay tr li c ch li sut tha thun.
iu ny s gip cho li sut tn dng ngn hng mang tnh th trng hn.
- Trong nhng thi im, thi k nht nh, tnh th trng ca li sut b
hn ch do c khng ch bi trn li sut v s can thip ca Hip hi ngn
hng
+ C ch li sut c bn thng 5/2008: Thc hin kin ca U ban
Thng v Quc hi kha XII v ch o ca Th tng Chnh ph, NHNN xy
dng c ch iu hnh li sut c bn trnh Thng trc Chnh ph xem xt, nht tr
ti vn bn s 3168/VPCP-KTTH ngy 16/5/2008 v c ch iu hnh li sut c
bn ca Vn phng Chnh ph. Trn c s , Thng c NHNN ban hnh
Quyt nh s 16/2008/Q-NHNN ngy 16/5/2008 v c ch iu hnh li sut c
bn bng ng Vit Nam. Theo , cc TCTD n nh li sut kinh doanh (li sut
huy ng vn, li sut cho vay) bng ng Vit Nam i vi khch hng theo
nguyn tc li sut kinh doanh khng vt qu 150% ca li sut c bn do NHNN
cng b p dng trong tng thi k. nh k hng thng, NHNN cng b li sut c
bn. Trong trng hp cn thit, NHNN cng b iu chnh kp thi li sut c bn.
Ti thi im 19/05/2008, li sut cho vay ca cc NHTM khng c vt qu
18%/nm. Vi c ch li sut c bn, NHNN s dng bin php hnh chnh
kim sot li sut.
+ Quy nh trc tip mc li sut trn huy ng: Trong nhiu thi im,
theo ngh ca Hip hi ngn hng, NHNN qui nh trn li sut huy ng.
u nm 2008, khi cc tc ng bng li sut ch o khng c hiu qu,
ngy 27/02/2008 NHNN quy nh trc tip mc li sut trn huy ng l 12%.
69
70
25
20
15
10
5
LS cho vay
Mc lm pht
20
09
20
08
20
07
20
06
20
05
20
04
20
03
20
02
20
00
-5
20
01
Tng trng KT
71
hnh lang php l i vi li sut cho vay ca cc NHTM. Li sut cho vay bnh
qun ca cc NHTM lun bm st trn li sut ti a.
T thng 10/2008 n 2/2009, NHNN chuyn hng iu hnh CSTT t
"tht cht" chng lm pht sang "ni lng" nhm mc tiu hng u l ngn chn
suy gim kinh t, iu chnh gim mnh cc li sut ch o. Cui nm 2008,
NHNN ba ln gim cc loi li sut ch o v li sut c bn (li sut ti cp
vn t 15%-14%-13%-12%/nm, li sut chit khu t 13%-12%-11%-10%/nm,
li sut c bn gim t 14%-13%-12%-11%/nm). S iu chnh ny nhm hn ch
tc ng ca cuc khng hong ti chnh v suy thoi kinh t ton cu, bo m n
nh kinh t v m, to iu kin cho cc cc t chc tn dng gim li sut cho vay,
duy tr tng trng bn vng.
Ngy 25/11/2009, NHNN thng bo tng li sut c bn bng ng Vit
Nam ln mc 8%/nm, p dng t ngy 1/12/2009. Li sut c bn c nng
ln 1%, sau 10 thng lin tip gi mc 7%/nm k t thng 2/2009, li sut ti
cp vn i vi cc TCTD s tng t 7% ln mc 8%/nm v li sut ti chit khu
ca NHNN tng t 5%/nm ln mc 6%/nm. Vi mc li sut c bn l 8%, mc
cho vay ti a ca cc NHTM i vi khch hng c tng ln n 12%. Vic
iu chnh tng cc li sut ch o v quy nh trn li sut huy ng nhm kim
sot cht ch quy m v cht lng tn dng, n nh mt bng li sut chung.
T cui thng 10/2008 n 2/2009, li sut c bn gim mnh lm cho trn
li sut 150% gim theo khin cc NHTM buc phi gim li sut cho vay. Vic
ngn hng tip tc h li sut l ng thi tch cc gp phn kch cu u t thng
qua tng cng kh nng tip cn ngun vn tn dng cho cc doanh nghip, c
bit l cc doanh nghip va v nh, doanh nghip sn xut kinh doanh ph hp vi
mc tiu kch cu ca chnh ph.
Biu 2.13: Din bin cc mc li sut ch o ca NHNN, li sut tn dng ngn
hng 2007-2009
72
25
20
15
10
5
0
c
De
7
-0
n
Ja
8
-0
bFe
08
M
8
8
8
8
08
08
09
08
08
08
08
09
-0
-0
-0
r- 0
nncgpbulctar
ay
ov
u
e
a
u
e
J
Ap
J
O
J
N
M
A
S
D
Fe
LS c bn
LS ti cp vn
LS chit khu
LS huy ng ngn hn
LS cho vay ti a
73
74
02/2009
3/2009
5/2009
7/2009
12/2009
12~15%
12~16,5%
14~16,5%
15~18%
Ngun: Thng tin v hot ng ngn hng hng thng ca NHNN, www.sbv.org.vn
u thng 12/2009, li sut huy ng tng ln mc 10,49% st vi trn quy
nh. Km theo nhiu ngn hng ang tung ra nhng chng trnh khuyn mi
hp dn, khng ch tng tin mt, vng hay li sut tng ng vi s tin v k hn
gi, m cn a ra nhng hnh thc rt thm trng thng vi gi tr gii thng rt
ln. Vi mc li sut huy ng chm nh nu cng thm li sut khuyn mi th li
sut huy ng thc t ti mt s ngn hng thi k ny vt trn li sut huy ng
cho php. Li sut cho vay cng tng ln ph bin mc 11-12%/nm (bng 2.16).
Bng 2.17: Li sut huy ng v cho vay bnh qun thng 12/2009 (%/nm)
Nhm NHTMNN
Nhm NHTMCP
2,4-3,0
10-10,2
10-10,3
10,4-10,49
2,4-4,2
10,0-10,49
10,0-10,49
10,0-10,49
75
Thng
Ngn hn
Trung,di hn
Nhm
NHTMNN
02/2010
12,0
12,0
3/2010
12,0
14,0-15,0
Nhm
NHTMCP
02/2010
12,0
12,0
3/2010
12,0
15,0-17,0
Ngun: Thng tin v hot ng ngn hng hng thng ca NHNN
76
in thoi). Chi ph lp t v tr tin thu bao cho Reuters tng i ln. Do vy,
ch c cc NHTM ln mi c iu kin lp t v s dng h thng giao dch
Reuters. a s cc NHTMCP vn thc hin cc giao dch tin t qua in thoi.
Cho n nay, cha xy ra tranh chp no lin quan ti giao dch cho vay, gi tin v
mua bn giy t c gi lin ngn hng. Th trng tin t hot ng an ton, t ri
ro. Trn th trng ang dn hnh thnh thi quen giao dch cho vay, gi tin lin
ngn hng theo chun mc quc t vi s tin ti thiu thng l trn 1 t ng,
thi hn 360 ngy; i vi cc giao dch repo, tri phiu Chnh ph tnh theo thi
hn 365 ngy...
b/ Qui m th trng tin t lin ngn hng
Doanh s giao dch trn th trng nhn chung c s tng trng mnh theo
tng nm, c bit l trong khong 10 nm tr li y. Ch tnh ring t nm 2005
n nay, doanh s cho vay, gi tin u duy tr mc cao, ph hp vi kh nng
cung ng ngn qu ca cc TCTD d tha v nhu cu b p thiu ht thanh khon
ca cc TCTD cn thiu trn th trng. S tng trng mc ln trong giao
dch cho vay, gi tin gia cc TCTD trn th trng lin ngn hng phn no
phn nh vai tr ngy cng quan trng ca TTTT vi t cch l knh iu tit,
huy ng vn th cp gia cc TCTD tham gia TTTT lin ngn hng. Tuy nhin,
th trng tin t lin ngn hng c s phn khc ngy cng r nt trong cc
TCTD nh nc vi li th v thng hiu, mng li huy ng rng ln, chi ph
huy ng vn r, d tr th cp cao thng l nhng i tng cung ng vn cho
th trng. Ngc li cc TCTD nh, lin doanh hoc nc ngoi, b hn ch v
ngun vn VN, thng l nhng i tng nhn tin gi hoc i vay trn th
trng.
+ Doanh s gi tin lun t mc cao nht. T cui nm 2005 n na u
nm 2007, trc s tng trng mnh m ca kinh t Vit Nam, chnh sch tin t
c ni lng trong thi gian di, s phc hi v pht trin mnh m ca th trng
chng khon, th trng bt ng sn... khin cho ngun cung vn t huy ng trn
th trng 1 tr nn di do, cc TCTD cng y mnh u t tn dng v s dng
77
phn ln ngun vn huy ng ny cho vay pht trin sn xut kinh doanh. Trong
giai on ny, nhu cu cho vay, gi tin trn th trng 2 ch mc khim tn do
hiu qu u t trn th trng ny km hn so vi th trng 1, doanh s gi tin
giai on ny ch dng trong khong di 100.000 t n 200.000 t VN. Tuy
nhin, vo thi im cui nm 2007 v u nm 2008, trc nhng du hiu ngy
cng nghim trng ca khng hong ti chnh ton cu, gi du, gi vng v cc loi
nguyn vt liu tng nh hng n chi ph sn xut, li sut huy ng t dn c
tng cao, NHTW thc hin Chnh sch tin t tht cht nhm i ph vi lm
pht cao khin cho lng tin cung ng gim. S iu chnh lin tc trong chnh
sch tin t ca NHNNVN (iu chnh tng li t l d tr bt buc, tng cng bn
GTCG trn th trng m, yu cu cc TCTD thc hin mua tn phiu bt buc...)
khin cho nhu cu vn ca cc TCTD tr nn v cng cp bch. Thi im ny
li sut trn TTTT tng rt cao v v vy doanh s cho vay, gi tin trn TTTT cng
c s gia tng t bin, c thi im doanh s gi tin VN trn TTTT lin ngn
hng ln n gn 300.000 t VN (gn bng tng mc u t tn dng ca
ton nn kinh t). C th ni y l thi k giao dch c doanh s cao nht tnh t
nm 2005 - 2008. T qu VI nm 2008 n nhng thng u nm 2009 tnh hnh
kh khn v vn kh dng ca h thng ngn hng v c bn c khc phc, v
vy doanh s giao dch trn th trng cng dn i vo n nh.
+ Doanh s cho vay trn TTTT lin ngn hng chim t trng nh hn so
vi doanh s gi tin v ch hn ch trong vic p ng nhu cu thanh khon ti cc
k hn rt ngn. Doanh s cho vay, gi tin bng ngoi t (USD) n nh hn v
mi ch bin ng vo cui nm 2008, u nm 2009 trc nhng tc ng xu do
khng hong ti chnh v suy thoi kinh t ton cu dn n bin ng v t gi
trong nc (Bng 2.13).
78
Bng 2.19: Doanh s giao dch trn TTTT lin ngn hng
n v: t VN, triu USD.
Thi gian
Doanh s gi tin
USD
VN
USD
Thng 3/2005
5.666,996
10,806
173.040,654
1.122,367
Thng 6/2005
3.607,946
126,474
54.270,735
9.581,736
Thng 9/2005
2.226,001
865,113
36.168,561
5.873,413
Thng 12/2005
3.114,982
1.097,279
52.016,579
5.412,309
Thng 3/2006
4.355,734
96,601
66.923,788
6.227,707
Thng 6/2006
5.064,782
59,629
73.365,203
6.985,973
Thng 9/2006
5.433,203
71,862
79.982,433
4.244,080
Thng 12/2006
2.113,922
50,202
101.414,707
5.802,178
Thng 3/2007
4.708,105
75,346
160.785,478
3.938,408
Thng 6/2007
5.315,113
95,652
182.096,691
7.014,132
Thng 9/2007
4.141,573
92,851
157.073,562
9.748,162
Thng 12/2007
9.081,304
332,282
288.894,953
9.064,491
Thng 3/2008
6.512,323
16.542,549
222.503,712
9.831,015
Thng 6/2008
8.184,298
67.800,000
190.322,905
74.515,960
Thng 9/2008
4.157,700
78.700,000
168.191,372
15.429,387
Thng 12/2008
4.208,455
37.100,000
129.085,297
15.061,279
Thng 3/2009
13.825,800
170.213,516
239.478,368
10.520,537
Ngun: NHNNVN
2.3.2.2. c im th trng trng tin t lin ngn hng
a/ Tnh thanh khon ca th trng: Tnh thanh khon ca th trng lin ngn hng
rt cao, cc giao dch trn th trng lin ngn hng din ra hng ngy vi doanh s
giao dch ngy cng ln, c bit trong nhng thi im cc ngn hng cng thng
v vn kh dng.
b/ Li sut trn th trng lin ngn hng
* Tnh th trng ca li sut lin ngn hng:
79
- Li sut lin ngn hng c tnh th trng cao, ngy cng phn nh st
thc hn cung cu vn kh dng ca cc ngn hng
T sau cuc khng hong ti chnh tin t Chu nm 1997-1998, d tr
cu cc ngn hng di do, li sut cho vay, gi tin VN bnh qun trn th trng
tin t lin ngn hng Vit Nam ti hu ht cc k hn u tng i n nh, c
bit l giai on 2005 n cui nm 2007. Li sut bnh qun VN trn th trng
tin t lin ngn hng ch mc 6 n 8%/nm v bin dao ng hng ngy ch
mc thp. Khi cc ngn hng cng thng v d tr, c bit t u nm 2008 n
khong thng 9/2008 li sut bnh qun trn th trng lin ngn hng tt c cc
k hn c s bin ng tng t bin v ng mc cao, bnh qun gn 18%/nm.
C bit c thi im ln n 43%/nm. T thng 9 nm 2008 n nhng thng u
nm 2009 li sut cc k hn trn th trng tin t lin ngn hng gim mnh
khi cc ngn hng c b sung thm d tr v dn i vo n nh.
Biu 2.15 phn nh din bin li sut trn th trng tin t lin ngn hng
vo thi im cui qu t 3/2005 3/2010 ph hp vi tnh trng cung cu vn kh
dng ca cc ngn hng trong mi thi k
Biu 2.15: Li sut th trng tin t lin ngn hng (2005-2010)
20
18
16
14
Qua m
12
1 thng
10
3 thng
6 thng
12 thng
4
2
3/
20
0
6/ 5
20
0
9/ 5
20
0
De 5
cM 05
ar
-0
Ju 6
n9/ 06
20
0
D 6
ec
-0
M 6
ar
-0
6/ 7
20
0
Se 7
pD 07
ec
3/ 07
20
0
Ju 8
n0
9/ 8
20
08
De
c0
3/ 8
20
0
Ju 9
nSe 09
pDe 09
cM 09
ar
-1
0
80
Biu 2.19 phn nh mi tng quan gia li sut qua m lin ngn hng
thi im cui thng v li sut huy ng, li sut cho vay ngn hn ph bin ca
cc ngn hng t u nm 2008 n nay. Nhn chung li sut lin ngn hng v li
sut trn th trng tn dng bin ng cng chiu. Song li sut lin ngn hng, c
bit l li sut qua m bin ng mnh. Mt mt do mc li sut ny phn nh
cung - cu vn kh dng ngay tc thi ca cc ngn hng, thm na thi hn li rt
ngn nn c nhng thi im li sut lin ngn hng ln rt cao v cc ngn hng
phi chu ng b p vn kh dng.
Biu 2.16: Li sut qua m lin ngn hng, li sut huy ng v cho vay ngn
hn ca cc ngn hng (2008-2010)
25
20
15
10
5
LS cho vay
3/
10
1/
10
Th
n
g
11
/0
9
Th
n
g
9/
09
Th
n
g
7/
09
Th
n
g
5/
09
Th
n
g
3/
09
LS huy ng
Th
n
g
1/
09
Th
n
g
11
/0
8
Th
n
g
9/
08
Th
n
g
7/
08
Th
n
g
5/
08
Th
n
g
3/
08
Th
n
g
Th
n
g
Th
n
g
1/
08
81
82
PHN 3
XY DNG NG CONG LI SUT CHUN CA VIT NAM
83
84
85
86
on tnh th trng ca vic hnh thnh li sut cha hon thin th khng th c
mt ng cong li sut chun cho c th trng.
3.2. Xy dng ng cong li sut chun ca Vit Nam
3.2.1. La chn m hnh xy dng ng cong li sut chun cho Vit Nam
3.2.1.1. Xc nh ng cong li sut hon vn mc tiu
im quan trng rt ra t qu trnh nghin cu l ng cong li sut c th
c xy dng da trn li sut hon vn giao ngay (cu trc k hn ca li sut)
hoc li sut hon vn n k o hn (yield to maturity) ca cng c n c la
chn. Tip cn ca gc NHNN v t c im th trng cng c n Vit Nam,
vic s dng cch tnh li sut hon vn giao ngay l thch hp xut pht t l do
sau:
Th nht, ng cong li sut hon vn giao ngay (on the run) khc phc
c nhng hn ch ca ng cong li sut hon vn n k o hn thng
thng (off the run) v do cht lng thng tin hm cha cng nh kh nng d
bo ca n s cao hn. Trong iu kin th trng l hon ho, s chnh lch gia
mc thu nhp gia loi tri phiu mi pht hnh v li sut hon vn ca loi tri
phiu pht hnh (c thi hn cn li tng ng) l khng ng k khi cc loi
tri phiu vi k hn khc nhau c th thay th cho nhau tng i hon ho. Tuy
nhin vi mt th trng c ri ro cao, thi hn u t ngn c a thch cng
vi tnh thanh khon thp nh ca Vit Nam th mc chnh lnh gia hai loi li
sut l rt ln.
Th hai, vic hnh thnh cu trc k hn ca li sut cng khng nht thit
i hi phi c d liu v li sut hon vn ca cc thi hn ca cng c n trung
di hn m hon ton c th da trn cc loi li sut ngn hn trn th trng tin
t xy dng ng cong li sut vi m hnh thch hp.
Th ba, v th trng th cp tri phiu chnh ph Vit Nam cha thc s
thanh khon nn cc giao dch ca cc tri phiu pht hnh khng ln hnh
87
88
89
90
91
92
93
94
(t 11/12/2008 n 7/3/20010)
Biu 3.4: Din bin ca li sut lin ngn hng loi 1 thng
(t 22/06/2005 ti 8/3/2010)
95
l lch chun ca r.
T tp d liu u vo ta s dng phng php MLE (maximum likehood
96
97
Loi li sut
Lin ngn hng 1MD
Lin ngn hng OND
Tri phiu chnh ph k
7.1861
7.696
0.1035
0.0906
0.0254
0.0493
hn 14 ngy
3.5841
0.094
0.0622
(1.6)
1 e a ( t T )
a
(1.7)
(B ( t, T ) ( T t ) ) a2b ( 2 / 2)
2 B2 ( t, T )
A ( t , T ) = exp
4a
a2
(1.8)
98
r ( t, T ) =
1
)
P (t , T )
T t
(1.9)
A(t,T)
P(t,T)
R(t,T)
(year)
0
0.083333
0.166667
0.25
0.333333
0.416667
0.5
0.75
0.833333
0.916667
1
1.083333
1.166667
1.25
1.333333
1.416667
1.5
1.583333
0
0.062698
0.097147
0.116075
0.126475
0.13219
0.13533
0.138523
0.13881
0.138967
0.139053
0.139101
0.139127
0.139141
0.139149
0.139153
0.139156
0.139157
1
0.997867
0.992831
0.986236
0.97882
0.970989
0.962964
0.938681
0.930648
0.922672
0.914757
0.906907
0.899122
0.891403
0.883749
0.876161
0.868638
0.861179
1
0.99412
0.987061
0.979391
0.971421
0.963318
0.955177
0.930911
0.922929
0.915011
0.907157
0.899369
0.891648
0.883992
0.876401
0.868876
0.861415
0.854019
6.0000%
7.0769%
7.8140%
8.3297%
8.6987%
8.9691%
9.1717%
9.5455%
9.6243%
9.6894%
9.7440%
9.7903%
9.8301%
9.8646%
9.8948%
9.9215%
9.9452%
9.9665%
99
1.666667
1.75
1.833333
1.916667
2
2.25
2.75
3
3.25
3.5
3.75
4
4.25
4.5
4.75
5
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.853784
0.846453
0.839185
0.831979
0.824835
0.803769
0.763237
0.743744
0.724749
0.706239
0.688202
0.670626
0.653498
0.636808
0.620544
0.604695
0.846685
0.839415
0.832207
0.825061
0.817977
0.797086
0.756891
0.73756
0.718723
0.700367
0.68248
0.665049
0.648064
0.631513
0.615384
0.599667
9.9856%
10.0028%
10.0186%
10.0329%
10.0461%
10.0797%
10.1286%
10.1469%
10.1624%
10.1757%
10.1873%
10.1973%
10.2062%
10.2142%
10.2212%
10.2276%
Time to maturity
0
0.083333
0.166667
0.25
0.333333
0.416667
0.5
B(t,T)
0
0.063225
0.098613
0.118422
0.129509
0.135715
0.139189
A(t,T)
1
0.998185
0.993871
0.988184
0.981756
0.974939
0.967931
P(t,T)
1
0.994405
0.988008
0.981187
0.974156
0.967033
0.959882
100
0.75
0.833333
0.916667
1
1.083333
1.166667
1.25
1.333333
1.416667
1.5
1.583333
1.666667
1.75
1.833333
1.916667
2
2.25
2.75
3
3.25
3.5
3.75
4
4.25
4.5
4.75
5
0.142831
0.143172
0.143362
0.143469
0.143529
0.143562
0.143581
0.143592
0.143598
0.143601
0.143603
0.143604
0.143604
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.946629
0.939559
0.932529
0.925545
0.918609
0.911722
0.904887
0.898102
0.891367
0.884682
0.878048
0.871463
0.864928
0.858442
0.852004
0.845615
0.826732
0.790223
0.772578
0.755326
0.73846
0.721971
0.705849
0.690088
0.674678
0.659613
0.644884
0.938551
0.931523
0.924542
0.917612
0.910732
0.903903
0.897125
0.890397
0.88372
0.877093
0.870515
0.863987
0.857508
0.851077
0.844694
0.83836
0.81964
0.783444
0.76595
0.748846
0.732125
0.715777
0.699794
0.684167
0.66889
0.653954
0.639352
101
0
0.07204
0.12548
0.165122
0.194528
0.216342
0.232524
0.260037
0.264936
0.268571
0.271267
0.273267
0.274751
0.275852
0.276668
0.277274
0.277723
0.278056
0.278303
0.278487
0.278623
0.278724
0.278799
0.278926
0.278999
0.279008
0.279011
0.279013
0.279013
A(t,T)
1
0.998939
0.996137
0.992056
0.987044
0.981358
0.975189
0.955029
0.948023
0.940956
0.93386
0.926756
0.919663
0.91259
0.905548
0.898543
0.891579
0.884659
0.877786
0.870961
0.864185
0.857459
0.850783
0.831059
0.792958
0.774566
0.7566
0.73905
0.721908
P(t,T)
R(t,T)
1
0.993198
0.986187
0.979038
0.971802
0.964519
0.957217
0.935367
0.928141
0.920954
0.913812
0.906716
0.899669
0.892672
0.885726
0.878831
0.871988
0.865198
0.858459
0.851771
0.845136
0.838551
0.832018
0.81272
0.775456
0.757469
0.739899
0.722737
0.705973
8.0000%
8.1897%
8.3454%
8.4740%
8.5808%
8.6701%
8.7451%
8.9088%
8.9486%
8.9831%
9.0131%
9.0393%
9.0624%
9.0829%
9.1011%
9.1173%
9.1319%
9.1451%
9.1570%
9.1678%
9.1777%
9.1868%
9.1951%
9.2164%
9.2474%
9.2591%
9.2690%
9.2774%
9.2848%
102
4
4.25
4.5
4.75
5
0.279013
0.279013
0.279014
0.279014
0.279014
0.705163
0.688807
0.672829
0.657223
0.641978
0.689597
0.673602
0.657978
0.642715
0.627807
9.2912%
9.2968%
9.3019%
9.3064%
9.3104%
103
thc can thip vo th trng ti chnh cng nh s pht trin ca th trng tri
phiu chnh ph ( c trnh by ti nghin cu m s NH/2007-03)
Trc mt, th nghim ny mi dng li vic m phng mt m hnh
ng cong li sut vi h thng d liu cha y . ng cong li sut ca Vit
nam cha th gi l ng cong chun c tc dng nh hng k vng ca th
trng v lm cn c xc nh ng cong li sut ca cc ch th pht hnh cng
c n trn th trng ti chnh. ng cong li sut m phng cho bit xu hng
vn ng ca li sut v cung cp mt cn c tham kho cho cc ch th tham gia
trn th trng ti chnh. i vi NHNN, vic quan st din bin hai ng cong li
sut cho php nh gi c mc chnh lch gia li sut mc tiu v li sut th
trng- i tng cn kim sot. Trn c s c th iu chnh mc can thip
cn thit.
104
KT LUN
ng cong li sut chun l mt trong nhng ch bo kinh t rt quan trng
trong iu hnh kinh t v m v cho c cc ch th kinh t trong hot ng kinh t
vi m. Phn ln cc nc u xy dng ng cong li sut chun da trn c
im th trng cc cng c n, li sut vi m hnh ph hp. c mt s t chc
quc t cng b ng cong li sut chun ca Vit Nam theo li sut kho bc nn
cha mang tnh thc t cao. V vy vic la chn mt hoc mt s loi li sut thay
th vi m hnh ph hp xy dng ng cong li sut chun ca Vit Nam l
rt cn thit.
Xut pht t yu cu trn, d tp trung gii quyt cc vn sau:
Mt l: Nghin cu cc m hnh xy dng ng cong li sut chun vi c
im, iu kin p dng v ngun s liu, mc pht trin ca th trng cc cng
c n v ngha ca mi m hnh.
Hai l: Tm hiu thc t xy dng ng cong li sut chun ca mt s
quc gia trn th gii v rt ra bi hc b ch cho Vit Nam.
Ba l: Kho st thc trng qui m th trng cc cng c n Vit Nam v
c im v tnh thanh khon, li sut ca mi th trng nhm tm ra mc li sut
ca mt th trng ph hp xy dng ng cong li sut chun cho Vit Nam.
Bn l: Nu r quan im ca nhm d n ti v la chn m hnh xy dng
ng cong li sut chun cho Vit Nam.
Nm l: Th nghim xy dng ng cong li sut chun ca Vit Nam vi
ng cong li sut m phng da trn d liu ca li sut lin ngn hng v li
sut hot ng th trng m.
Trn c s l thuyt, kinh nghim ca cc nc v thc t Vit Nam, nhm
d n xy dng ng cong li sut chun trong iu kin hin ti ca Vit
Nam. Trong kh nng ca mnh, nhm d n c gng thc hin mc tiu nghin
105
106
1. Ting Vit
1. B Ti chnh (2008), n xy dng th trng giao dch tri phiu chnh
107
16. Nguyn Th Hng Lin Pht hnh v giao dch tri phiu chnh ph ti
trung tm giao dch chng khon thnh ph H Ch Minh Hn ch v gii
php Tp ch ti chnh s 10/2001
17. T Kim Ngc (2008), Hon thin iu kin xy dng ng li sut chun
108
35. http://www.hse.org.vn/
36. http://www.hsx.vn/
37. http://www.sacombank.com
38. http://www.sbv.gov.vn
39. http://www.vcb.com.vn/
40. http://www.vnexpress.net
41. http://vpbank.com.vn
2. Ting Anh
1. Benniga, Simon & Wiener, Zvi (1998) - Term Structure of Interest Rates -
Prentice Hall.
10. James, Jessica & Webber, Nick (2004) Interest Rate Modelling - John
109
11. Kim, Don & Orphanides, Athanasios (2005) Term Structure Estimation
Rates:
Estimation
&
Interpretation
Suomen
Pankin
keskustelualoitteita19/96.
18. Svoboda, Simona (2004) Interest Rate Modelling. Palgrave Macmillan.
19. Vasicek, Oldrich A (1977) An equilibrium characterization of the term
110
PH LC
PH LC 1 - BO CO THNG K
TNG HP KT Qu U THU TPCP THEO PHIN GIAO DCH
Ngy u
thu
15/01/2009
11/01/2010
5/2/2009
14/01/2010
09/02/2009
18/01/2010
16/02/2010
25/01/2010
23/02/2009
28/01/2010
02/03/2009
01/02/2010
09/03/2009
16/03/2009
01/03/2010
23/03/2009
04/03/2010
30/03/2009
08/03/2010
09/04/2009
11/03/2010
23/04/2009
15/03/2010
11/05/2009
18/03/2010
18/05/2009
22/03/2010
21/05/2009
25/03/2010
25/05/2009
29/03/2010
28/05/2009
30/10/2008
01/06/2009
03/11/2008
04/06/2009
06/11/2008
08/06/2009
10/11/2008
11/06/2009
13/11/2008
15/06/2009
17/11/2008
18/06/2009
LS trng thu
(%/nm)
7,49
10,06
0
10,59
0
10,59
0
10,06
0
0
0
0
0
0
0
0
0
0
11,07
0
11,69
7,2
11,68
7,5
0
7,40
0
0
11,68
7,50
11,68
0
13,45
8,00
12,99
8,00
12,48
0
11,88
0
11,10
0
10,05
0
Ngy n hn
thanh ton
18/01/2010
12/01/2011
08/02/2010
17/01/2011
10/02/2010
19/01/2011
17/02/2010
26/01/2011
24/02/2010
31/01/2011
03/03/2010
02/02/2011
10/03/2010
17/03/2010
02/03/2011
24/03/2010
07/03/2011
31/03/2010
09/03/2011
12/04/2010
14/03/2011
26/04/2010
16/03/2011
12/05/2010
21/03/2011
19/05/2010
23/03/2011
24/05/2010
28/03/2011
26/05/2010
30/03/2011
31/5/2010
02/11/2009
02/06/2010
04/11/2009
07/06/2010
09/11/2009
09/06/2010
11/11/2009
14/06/2010
16/11/2009
16/06/2010
18/11/2009
21/06/2010
Ngy u
thu
20/11/2009
22/06/2009
24/11/2008
25/06/2009
27/11/2008
29/06/2009
01/12/2008
02/07/2009
04/12/2008
LS trng thu
(%/nm)
9,88
0
9,00
8,40
9,00
0
8,98
8,4
0
Ngy n hn
thanh ton
23/11/2009
23/06/2010
25/11/2002
28/06/2010
30/11/2009
30/06/2010
02/12/2009
05/07/2010
07/12/2009
06/07/2009
08/12/2008
09/07/2009
12/11/2008
13/07/2009
15/12/2008
16/07/2009
16/07/2009
20/07/2009
23/07/2009
27/07/2009
03/08/2009
13/08/2009
17/08/2009
19/10/2009
22/10/2009
26/10/2009
29/10/2009
02/11/2009
05/11/2009
09/11/2009
12/11/2009
16/11/2009
19/11/2009
23/11/2009
26/11/2009
30/11/2009
03/12/2009
17/12/2009
24/12/2009
24/12/2009
29/12/2009
29/12/2009
0
8,38
0
8,5
8.3
8,38
8,35
8,3
8,3
0
8,3
0
8,3
0
9,0
9,0
9,0
0
0
0
0
0
0
0
9,7
9,7
0
9,70
10,20
10,20
10,40
10,20
10,40
07/07/2010
09/12/2009
12/07/2010
14/12/2009
13/01/2010
16/12/2009
19/04/2010
18/01/2010
20/01/2010
26/07/2010
27/01/2010
04/08/2010
16/08/2010
18/08/2010
20/10/2010
25/10/2010
27/10/2010
01/11/2010
04/08/2010
10/05/2010
10/11/2010
15/10/2010
17/11/2010
22/11/2010
24/11/2010
29/11/2010
01/12/2010
07/06/2010
21/06/2010
28/06/2010
27/09/2010
01/07/2010
30/09/2010
111
112
113
Ngy Hp
TRES
TRES u thu
TRES - u thu
VDB t 1
VDB t 2
TRES BL T 4
NH CHNH SCH
TRES - u thu t 2
VDB t 3
TRES BL
TRES - u thu t 3
NHCS u thu
KBNN TP USD (trieu)
Tres - BL t 5
KBNN TP USD (trieu)
KBNN TP USD (trieu)
NHCS u thu
Tres - BL t 6
KBNN u thu t 4
Tres u thu t 5
Tres - BL t 7
NHCS u thu
CTCP ng cao tc
u thu NHPT pht
hnh
KBNN u thu t 6
CTCP ng cao tc
NHCS u thu
KBNN BL t 8
KBNN BL t 9
CTCP ng cao tc
VDB u thu
CTCP ng cao tc
NHCS u thu
VDB u thu
Cng ty TPT ng
cao tc VN
KBNN bo lnh t
10/2009
12/1/2009
9/2/2009
12/2/2009
13/02/2009
20/02/2009
23/02/2009
24/02/2009
26/02/2009
27/02/2009
9/3/2009
12/3/2009
16/03/2009
20/03/2009
23/03/2009
24/03/2009
27/03/2009
13/04/2009
8/4/2009
16/04/209
14/05/2009
19/05/2009
20/05/2009
27/05/2009
Li sut
Ngy pht
hnh
1 nm 2 nm 3 nm 5 nm 10 nm
14/01/2009
8
8.05
8.15
11/2/2009
6.7
6.75
16/02/2009
6.7
17/02/2009
7
7
24/02/2009
7
7
25/02/2009
6.95
7.2
27/02/2009
7.00
2/3/2009
6.95
7.00
3/3/2009
7
7
7.2
7.3
7.5
16/03/2009
7.2
7.3
18/03/2009
7.45
24/03/2009
3
25/03/09
7.2
7.3
26/03/09
3.2
31/03/2009
3.6
15/04/2009
7.9
10/4/2009
7.6
7.7
20/04/2009
7.6
7.9
18/05/2009
8.3
8.4
20/05/2009
8.1
8.3
22/05/2009
8.4
29/05/2009
8.8
29/05/2009
2/6/2009
4/6/2009
9/6/2009
10/6/2009
9/6/2009
17/06/2009
17/6/2009
19/06/2009
23/06/2009
24/06/2009
26/06/2009
8/6/2009
11/6/2009
12/6/2009
11/6/2009
18/6/2009
19/6/2009
23/06/2009
25/06/2009
26/06/2009
30/06/2009
30/06/2009
2/7/2009
6/7/2009
8/7/2009
8.5
8.7
8.5
8.7
8.8
9
8.9
9.1
8.8
9
9
9.1
8.7
9.2
9.3
9.4
9
8.7
8.7
9.2
9.3
9.4
9.1
114
KBNN u thu t 8
VDB u thu
VDB u thu
VDB u thu
Cng ty TPT ng
cao tc VN (u thu)
KBNN bo lnh t
112009
9/7/2009
10/7/2009
17/07/2009
24/07/2009
13/07/2009
14/7/2009
21/07/2009
28/07/2009
14/07/2009
16/07/2009
21/7/2009
23/7/2009
8.7
9.1
8.9
9.2
9.3
115
Ngy
LS trng thu(%/nm)
Thi hn GTCG(ngy)
11/8
15.5
364
25/8
1/9
8/9
15/9
22/9
29/9
6/10
9/10
13/10
15.7
15.5
15.5
15.5
15.5
15.5
14.9
14.5
14.39
364
364
364
364
364
364
364
364
364
16/10
20/10
23/10
27/10
30/10
3/11
6/11
10/11
13/11
17/11
20/11
24/11
27/11
1/12
4/12
8/12
11/12
15/12
15/1
5/2
9/2
16/2
23/2
2/3
9/3
16/3
23/3
30/3
14.4
14
13.89
13.7
13.45
12.99
12.48
11.88
11.1
10.5
9.88
9
9
8.98
0
8.38
8.5
8.38
7.49
0
0
0
0
0
0
0
0
0
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
116
t 11
t 12
t 13
t 14
t 15
t 16
t 17
t 18
t 19
t 20
t 21
t 22
t 23
t 24
t 25
t 26
t 27
t 28
t 29
t 30
t 31
t 32
t 33
t 34
t 35
t 36
t 37
t 38
t 43
t 44
t 45
t 46
t 47
t 48
t 49
t 50
t 51
t 52
t 53
t 54
t 55
t 56
t 57
t 58
9/4
23/4
11/5
18/5
21/5
25/5
28/5
1/6
4/6
8/6
11/6
15/6
18/6
22/6
25/6
29/6
2/7
6/7
9/7
13/7
16/7
16/7
20/7
23/7
27/7
3/8
13/8
17/8
19/10
22/10
26/10
29/10
2/11
5/11
9/11
12/11
16/11
19/11
23/11
26/11
30/11
3/12
0
7.2
7.5
7.4
0
7.5
0
8
8
0
0
0
0
0
8.4
0
8.4
0
0
8.3
8.35
8.3
8.3
0
8.3
0
8.3
0
9
9
9
0
0
0
0
0
0
0
9.7
9.7
0
9.7
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
182
273
182
182
364
182
364
364
364
364
364
364
364
273
182
364
364
364
364
364
364
364
182
117
t 59
t 60
t 61
t 62
t 63
17/12
24/12
24/12
29/12
29/12
10.2
10.2
10.4
10.2
10.4
182
182
273
182
273
118
Li sut trng
thu (%/nm)
8.00
8.00
8.00
Ngy n hn
18/01/2010
18/01/2010
19/01/2010
Thi gian
giao dch
14
14
14
8.00
20/01/2010
14
8.00
8.00
8.00
8.00
8.00
21/01/2010
21/01/2010
22/01/2010
22/01/2010
25/01/2010
14
14
14
14
14
8.00
26/01/2010
14
8.00
27/01/2010
14
8.00
8.00
8.00
28/01/2010
28/01/2010
29/01/2010
14
14
14
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
02/01/2010
02/01/2010
02/02/2010
02/02/2010
02/03/2010
02/03/2010
18/2/2010
18/2/2010
19/2/2010
14
14
14
14
14
14
28
28
28
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
22/2/2010
22/2/2010
23/2/2010
23/2/2010
24/2/2010
24/2/2010
25/2/2010
25/2/2010
26/2/2010
26/2/2010
28
28
28
28
28
28
28
28
28
28
119
t 41/2010 01/02/2010
t 42/2010 01/02/2010
t 43/2010 02/02/2010
t 44/2010 02/02/2010
t 45/2010 03/02/2010
t 46/2010 03/02/2010
t 47/2010 04/02/2010
t 48/2010 04/02/2010
t 49/2010 05/02/2010
t 50/2010 05/02/2010
t 51/2010 08/02/2010
t 52/2010 08/02/2010
t 53/2010 09/02/2010
t 54/2010 09/02/2010
t 55/2010 10/02/2010
t 56/2010 10/02/2010
t 57/2010 11/02/2010
t 58/2010 11/02/2010
t 59/2010 12/02/2010
t 60/2010 12/02/2010
t 61/2010 22/02/2010
t 62/2010 22/02/2010
t 63/2010 23/02/2010
t 64/2010 23/02/2010
t 65/2010 24/02/2010
t 66/2010 24/02/2010
t 67/2010 25/02/2010
t 68/2010 25/02/2010
t 69/2010 26/02/2010
t 70/2010 26/02/2010
t 71/2010 27/02/2010
t 72/2010 27/02/2010
8.00
8.00
8.00
03/01/2010
03/01/2010
03/02/2010
28
28
28
8.00
8.00
8.00
03/03/2010
03/03/2010
03/04/2010
28
28
28
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
7.80
8.00
7.80
8.00
7.80
8.00
7.80
8.00
7.80
8.00
03/05/2010
03/05/2010
03/08/2010
03/08/2010
03/09/2010
03/09/2010
03/10/2010
03/10/2010
03/11/2010
03/11/2010
03/12/2010
03/12/2010
22/03/2010
03/01/2010
23/03/2010
03/02/2010
24/03/2010
03/03/2010
25/03/2010
03/04/2010
26/03/2010
03/05/2010
27/03/2010
28
28
28
28
28
28
28
28
28
28
28
28
28
7
28
7
28
7
28
7
28
7
28
888
t 73/2010 27/02/2010
t 74/2010 01/03/2010
t 75/2010 01/03/2010
t 76/2010 02/03/2010
t 77/2010 03/03/2010
t 78/2010 03/03/2010
t 79/2010 04/03/2010
t 80/2010 04/03/2010
t 81/2010 04/03/2010
t 82/2010 05/03/2010
8.00
7.80
8.00
7.80
8.00
7.80
8.00
7.80
8.00
1/3/2010
2/3/2010
3/3/2010
29/03/2010
03/08/2010
30/03/2010
03/09/2010
31/03/2010
03/10/2010
04/01/2010
11/3/2010
19/03/2010
2 34
28
7
28
7
28
7
28
7
14
120
t 83/2010 08/03/2010
t 84/2010 09/03/2010
t 85/2010 10/03/2010
t 86/2010 11/03/2010
t 87/2010 12/03/2010
t 88/2010 15/03/2010
t 89/2010 16/03/2010
t 90/2010 17/03/2010
t 91/2010 18/03/2010
t 92/2010 19/03/2010
t 93/2010 22/03/2010
t 94/2010 23/03/2010
t 95/2010 24/03/2010
t 96/2010 25/03/2010
t 97/2010 26/03/2010
t 98/2010 29/03/2010
t 99/2010 30/03/2010
t 100/2010 31/03/2010
t 101/2010 01/04/2010
t 102/2010 01/04/2010
t 103/2010 01/04/2010
t 104/2010 02/04/2010
t 105/2010 02/04/2010
t 106/2010 05/04/2010
t 107/2010 05/04/2010
t 108/2010 06/04/2010
t 109/2010 06/04/2010
t 110/2010 07/04/2010
t 111/2010 07/04/2010
t 112/2010 08/04/2010
t 113/2010 08/04/2010
t 114/2010 09/04/2010
t 115/2010 09/04/2010
t 116/2010 12/04/2010
t 117/2010 12/04/2010
t 118/2010 13/04/2010
t 119/2010 13/04/2010
t 120/2010 14/04/2010
t 121/2010 14/04/2010
t 122/2010 15/04/2010
t 123/2010 15/04/2010
t 124/2010 16/04/2010
t 125/2010 16/04/2010
t 126/2010 19/04/2010
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
22/03/2010
23/03/2010
24/03/2010
25/03/2010
26/03/2010
29/03/2010
30/03/2010
31/03/2010
14
14
14
14
14
14
14
14
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.00
04/02/2010
04/05/2010
04/06/2010
04/07/2010
04/08/2010
04/09/2010
04/12/2010
13/04/2010
28/04/2010
04/07/2010
29/04/2010
04/08/2010
30/04/2010
04/09/2010
05/03/2010
04/12/2010
05/04/2010
13/04/2010
05/05/1020
14/04/2010
05/06/2010
15/04/2010
05/07/2010
16/04/2010
05/10/2010
19/04/2010
05/11/2010
20/04/2010
05/12/2010
21/04/2010
14
14
14
14
14
14
14
14
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
7.00
8.00
7.00
8.00
22/04/2010
14/05/2010
23/04/2010
17/05/2010
7
28
7
28
121
t 127/2010 19/04/2010
t 128/2010 20/04/2010
t 129/2010 20/04/2010
t 130/2010 21/04/2010
t 131/2010 21/04/2010
t 132/2010 22/04/2010
t 133/2010 22/04/2010
t 134/2010 26/04/2010
t 135/2010 26/04/2010
t 136/2010 27/04/2010
t 137/2010 27/04/2010
t 138/2010 28/04/2010
t 139/2010 28/04/2010
t 140/2010 29/04/2010
t 141/2010 29/04/2010
t 142/2010 04/05/2010
t 143/2010 04/05/2010
t 144/2010 05/05/2010
t 145/2010 05/05/2010
t 146/2010 06/05/2010
t 147/2010 06/05/2010
t 148/2010 07/05/2010
t 149/2010 07/05/2010
t 150/2010 10/05/2010
t 151/2010 10/05/2010
t 152/2010 11/05/2010
t 153/2010 11/05/2010
t 154/2010 12/05/2010
t 155/2010 12/05/2010
t 156/2010 13/05/2010
t 157/2010 13/05/2010
t 158/2010 14/05/2010
t 159/2010 14/05/2010
t 160/2010 17/05/2010
t 161/2010 17/05/2010
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
26/04/2010
18/05/2010
27/04/2010
19/05/2010
28/04/2010
20/05/2010
29/04/2010
24/05/2010
05/03/2010
25/05/2010
05/04/2010
26/05/2010
05/05/2010
27/05/2010
05/06/2010
06/01/2010
05/11/2010
06/02/2010
05/12/2010
06/03/2010
13/05/2010
06/04/2010
14/05/2010
06/07/2010
17/05/2010
06/08/2010
18/05/2010
06/09/2010
19/05/2010
06/10/2010
20/05/2010
06/11/2010
21/05/2010
14/06/2010
24/05/2010
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
122
OND
1MD
3MD
1/01/2010
9.5
9.8
10.5
1/04/2010
10
10
10.5
1/05/2010
10
11.8
10.5
1/06/2010
10
10
10.25
1/07/2010
10
10.8
9.9
1/08/2010
10
11
11.5
1/11/2010
7.8
11
10.2
1/12/2010
10
10
10.8
1/13/2010
7.8
10
11
1/14/2010
8.7
9.8
11
1/15/2010
10
10
11
1/18/2010
10
10
11
1/19/2010
7.5
10
11
1/20/2010
7.25
10
11
1/21/2010
10
11
1/22/2010
7.5
10
11
1/25/2010
9.25
10.25
10.75
1/26/2010
10
10.25
10.75
1/27/2010
8.7
10
11.5
1/28/2010
9.25
11
11.5
1/29/2010
10.5
11.5
2/01/2010
10.25
11.5
2/02/2010
10.3
10.5
2/03/2010
9.25
10.5
10.5
2/04/2010
11
10.5
2/05/2010
11
11
2/08/2010
11
11
11
2/09/2010
11
11.5
2/10/2010
10.5
11
10.7
2/11/2010
10
11
10.7
2/12/2010
10.25
11
11.8
2/15/2010
10.25
11
11.8
2/16/2010
10.25
11
11.8
2/17/2010
10.25
11
11.8
123
2/18/2010
10.25
11
11.8
2/19/2010
10.5
11
11.5
2/22/2010
11.8
11
11.8
2/23/2010
9.25
11
11.8
2/24/2010
6.8
10
10
2/25/2010
10
10
2/26/2010
6.8
10
10.5
3/01/2010
10
10.5
3/02/2010
10
11.5
3/03/2010
7.8
10
11.5
3/04/2010
6.8
10
11
3/05/2010
6.65
10
11
3/08/2010
10.5