Professional Documents
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Qua ket qua tnh toan tren ta rut ra nhan xet: oi vi n n, lai suat
n bang vi lai suat hoan von
PHNG PHAP XAC NH LAI SUAT
Trai phieu chiet khau: ngi i vay tra cho ngi cho vay mot khoan thanh toan n bang
ung menh gia cua trai phieu
Cong thc tnh lai suat hoan von cua trai phieu chiet khau co thi han 1 nam (i*) nh
sau:
Trong o: F: menh gia trai phieu; P: Gia hien hanh cua trai phieu chiet khau
Neu trai phieu chiet khau co thi gian n nam, th lai suat hoan von c tnh nh sau:
T cong thc tnh lai kep ta suy ra:
Bien oi cong thc lai suat hoan von
P
P F
i
=
*
n
i
F
P
) 1 (
*
+
=
n
P
F
i 1
*
=
PHNG PHAP XAC NH LAI SUAT
Trai phieu coupon: ngi i vay thc hien thanh toan nhieu lan so tien lai theo nh ky chang
han nh na nam hoac mot nam mot lan va thanh toan tien goc khi ao han.
Cong thc tnh gia ca hien hanh cua coupon (P) vi lai suat hoan von (i*)
Hay
Tren c s biet c cac tham so P, C, va F, giai phng trnh tren chung ta se tm c lai
suat hoan von i*
n n
i
F
i
C
i
C
i
C
i
C
P
) 1 ( ) 1 (
...
) 1 ( ) 1 ( 1
* * 3 * 2 * *
+
+
+
+ +
+
+
+
+
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=
n
n
j
j
i
F
i
C P
) 1 ( ) 1 (
1
*
1
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+
+
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=
=
Cac cong cu n
N vay thanh toan co nh: ngi i vay phai thanh toan cho ngi cho vay theo nh ky:
thang, quy hoac nam. So tien thanh toan bao gom lai va tien goc; v the, khi ao han se
khong thanh toan tong tien goc
P la so tien cho vay hoan tra co nh; FP la so tien tra co nh hang nam
e tnh lai suat hoan von i* chung ta giai phng trnh tren
n
i
FP
i
FP
i
FP
P
) 1 (
...
) 1 ( 1
* 2 * *
+
+ +
+
+
+
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|
|
.
|
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+
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=
n
j
j
i
FP P
1
*
) 1 (
1
Hay
Moi quan he gia lai suat va gia trai phieu: 3 moi quan he gia lai suat ao
han, lai suat hien hanh va lai suat coupon cua trai phieu nh sau:
Neu nh gia hien hanh cua trai phieu P bang vi gia danh ngha F, th khong co nay sinh
khoan li von hay lo von t viec nam gi trai phieu cho en khi ao han. V the lai suat
hoan von i bang vi lai suat hien hanh C/P, va bang vi lai suat coupon
PHNG PHAP XAC NH LAI SUAT
Moi quan he gia lai suat va gia trai phieu
Neu nh gia hien hanh nho hn gia danh ngha (P < F), mot nha au t nhan
c khoan li von khi nam gi trai phieu cho en khi ao han. V the, lai
suat hoan von i ln hn lai suat hien hanh C/P va ln hn lai suat coupon
C/F .
Neu nh gia hien hanh ln hn gia danh ngha (P > F), mot nha au t b lo
von khi nam gi trai phieu cho en khi ao han. V the, lai suat hoan von i
nho hn lai suat hien hanh C/P va nho hn lai suat coupon C/F.
Ty suat li tc cua trai phieu: la tong so cua lai suat hien hanh
cong vi mc li cua von hoac mc lo cua von.
1 t t
t t
P P C
R
P P
+
= +
LAI SUAT VA TY SUAT LI TC
C CHE HNH THANH LAI SUAT
.
Trai phieu la hang hoa Quyen s dung von la hang hoa
Ngi mua Ngi cho vay mua trai phieu Ngi i vay huy ong von
Ngi ban Ngi i vay phat hanh trai phieu Ngi cho vay cung cap von
Gia ca Gia ca trai phieu Lai suat
Lai suat th trng c quyet nh bi quan he cung cau trai phieu va quy cho vay. e
xem xet lai suat thiet lap nh the nao, chung ta tap trung vao phan tch s thay oi cung
cau trai phieu va quy cho vay.
C CHE HNH THANH LAI SUAT
Gia ca
trai phieu (P:$)
KL gia tr trai phieu, (B $)
9.500
8.000
B
A
Lai suat ( i %)
Quy cho vay, (L $)
25%
5,3%
A
B
Cau trai phieu Cung quy cho vay
B
d
L
s
ng cau ng cung
C CHE HNH THANH LAI SUAT
Gia ca
trai phieu (P:$)
KL gia tr trai phieu, (B $)
9.500
8.000
C
D
Lai suat
( i %)
Quy cho vay, (L :$)
25%
5,3%
D
C
Cung trai phieu
Cau quy cho vay
B
s
L
d
ng cung ng cau
C CHE HNH THANH LAI SUAT
iem can bang
Gaia ca
trai phieu (P $)
KL gia tr trai phieu, (B $)
9.500
8.000
C
D
Lai suat ( i %)
Quy cho vay, (L $)
25%
5,3%
D
C
Cung cau trai phieu Cung - cau quy cho vay
B
d
L
d
B
A
A
B
L
s
B
s
Cau vt qua Cau vt qua
Cung vt qua Cung vt qua
P
*
i
*
E E
CAC NHAN TO ANH HNG EN LAI SUAT
Gaia ca
(P $)
KL gia tr trai phieu, (B $)
P
1
P
2
Lai
suat
( i %)
Quy cho vay, (L $)
i
2
i
1
E
1
B
d0
L
d
L
s0
B
s
P
0
i
0
E
1
E
0
E
2
B
d1
B
d2
2b. Gaia
giam
1a.Gia tang
1b
.
Nhu cau trai
phieu tang
2a. Nhu cau trai
phieu giam
E
0
E
2
L
s1
L
s2
2b. LS tang
1b. LS giam
2a
.
Kha nang
cho vay giam
2a
.
Kha nang
cho vay tang
Cung cau trai phieu Cung - cau quy cho vay
Thu nhap bnh quan
Cac nhan to lam thay oi ng cau trai phieu va quy cho vay
CAC NHAN TO ANH HNG EN LAI SUAT
Li tc va lam phat ky vong
S gia tang li tc ky vong oi vi tai san khac se lam giam i nhu cau
trai phieu. ng cau trai phieu dch chuyen sang trai, gia ca trai phieu
giam va lai suat th trng tang len. Ngc lai
S gia tang lam phat ky vong se lam giam nhu cau trai phieu. ng cau
trai phieu dch sang trai, gia ca trai phieu giam va lai suat tang len.
Ngc lai
Cac nhan to lam thay oi ng cau trai phieu va quy cho vay
CAC NHAN TO ANH HNG EN LAI SUAT
Rui ro
Rui ro au t trai phieu se lam giam nhu cau trai phieu; ng cau trai
phieu dch chuyen sang trai va gia ca trai phieu giam xuong, va ngc lai.
Mot s giam i rui ro trai phieu se lam gia tang kha nang cua ngi cho
vay trong viec cung cap von. ng cung quy cho vay dch chuyen sang phai va
lam giam lai suat, va ngc lai
Cac nhan to lam thay oi ng cau trai phieu va quy cho vay
CAC NHAN TO ANH HNG EN LAI SUAT
Tnh long
Trai phieu co tnh long cao th cong chung san long nam gi trai phieu
nhieu hn. ieu nay lam gia tang nhu cau trai phieu. ng cau trai phieu
dch chuyen sang phai va gia ca trai phieu tang len
S thay oi tnh long cua cac tai san khac cau trai phieu se dch sang trai
va gia ca trai phieu giam.
Cac nhan to lam thay oi ng cau trai phieu va quy cho vay
CAC NHAN TO ANH HNG EN LAI SUAT
Chi ph thong tin
Th trng co ay u thong tin se lam giam i rat nhieu chi ph thu thap thong tin
cua cac nha au t lam cho trai phieu hap dan hn so vi cac tai san khac, ng
cau trai phieu se dch chuyen sang phai va gia ca trai phieu tang len.
Chi ph thong tin cang thap se lam gia tang tnh san long cua ngi cho vay e cung
cap von. ng cung quy cho vay dch chuyen sang phai va lai suat giam xuong.
Cac nhan to lam thay oi ng cau trai phieu va quy cho vay
CAC NHAN TO ANH HNG EN LAI SUAT
Li nhuan ky vong cua von au t
Cac nhan to lam thay oi ng cung trai phieu va quy cho vay
Quy cho vay, (L $)
Gia ca
(P $)
KL gia tr trai phieu, (B $)
i
1
i
2
Lai
suat
( i %)
P
2
P
1
E
1
Cung cau quy cho vay
Cung - cau trai phieu
L
d0
B
d
B
s0
L
s
i
0
P
0
E
1
E
0
E
2
L
d1
L
d2
2b. LS
giam
1b.LS tang
1b
.
Nhu cau vay n tang
2a. Nhu cau vay n giam
E
0
E
2
B
s1
B
s2
2b. Gia tang
1b. Gia giam
2a
.
Nhu cau phat hanh trai phieu giam
1a
.
Nhu cau phat hanh trai
phieu tang
CAC NHAN TO ANH HNG EN LAI SUAT
Chnh sach thue
Chnh sach u ai thue co tac ong en li nhuan ky vong va gia tang tnh
san long cua cong ty trong viec phat hanh trai phieu huy ong von gia ca
trai phieu giam. Thue lam gia tang nhu cau vay mn von cua cac cong ty.
ng cau quy cho vay dch chuyen sang phai lai suat tang.
Ganh nang thue anh vao li nhuan cang cao se lam giam tnh san long cua
cac cong ty trong viec phat hanh trai phieu gia trai phieu tang. ng cau
quy cho vaydch chuyen sang trai lai suat giam
Cac nhan to lam thay oi ng cung trai phieu va quy cho vay
CAC NHAN TO ANH HNG EN LAI SUAT
Lam phat ky vong
Lam phat ky vong cang cao lam dch chuyen ng cung trai phieu sang phai
gia trai phieu giam. oi vi quy cho vay, lam phat ky vong cang cao lam
gia tang nhu cau vay von cua ngi i vay lai suat tang.
Ngc lai, ng cung trai phieu dch chuyen sang trai, gia trai phieu tang,
lai suat giam.
Cac nhan to lam thay oi ng cung trai phieu va quy cho vay
CAC NHAN TO ANH HNG EN LAI SUAT
Vay n cua chnh phu
Vay n cua chnh phu lam cho ng cung trai phieu dch chuyen sang phai,
gia ca trai phieu giam xuong, se lam gia tang lai suat
Ngc lai, gia trai phieu tang, lai suat se giam.
Cac nhan to lam thay oi ng cung trai phieu va quy cho vay
CAU TRUC RUI RO VA CAU TRUC KY HAN CUA LAI SUAT
Cau truc rui ro cua lai suat
Tom tat cau truc rui ro cua lai suat
Mot s gia tang .
Dan en lai suat cua
tai san .
Bi v
Rui ro v n gia tang
nhng ngi tiet kiem phai c bu ap do phai ganh
chu them rui ro
Tnh long giam
nhng ngi tiet kiem ton t chi ph trong viec oi tai
san sang tien mat
Chi ph thong tin tang
nhng ngi tiet kiem mat nhieu chi ph e anh gia
tai san
Thue tang
nhng ngi tiet kiem quan tam en tien li sau thue
va phai c bu ap tien nop thue
ng cong lai suat la o th phan anh moi quan he gia lai suat so vi ky han cua no. Lai suat trai phieu dai
han bang trung bnh lai suat ngan han co ky au t giong nhau ` Q1098
DF ][POFFD
CAU TRUC RUI RO VA CAU TRUC KY HAN CUA LAI SUAT
Tom tat cac ly thuyet cau truc ky han lai suat
Ly thuyet Gia thiet Tien oan anh gia
Th
trng
b
phan
khuc
Cac ky han khong co s thay the.
Ky han cang ngan hn c a chuong
hn ky han dai han
Lai suat oi vi cac ky han khac nhau c
quyet nh trong nhng th trng rieng biet
Giai thch hnh dang ng cong nhng khong giai
thch tai sao lai suat ngan han va lai suat dai han
cung di chuyen vi nhau
Ky
vong
Cac ky han
c thay
the hoan hao
Lai suat cua trai phieu co n ky bang trung
bnh cong nhng lai suat cua trai phieu 1 ky qua n
ky tiep theo cua ng cong lai suat
Giai thch tai sao lai suat ngan han va lai suat dai
han cung di chuyen vi nhau nhng khong giai thch
tai sao o doc thng hng i len
La
chon
ky
han
Cac ky han c thay the nhng khong
hoan hao
Lai suat cua trai phieu co n ky bang trung bnh
cong cua nhng lai suat cua trai phieu 1 ky qua n
ky tiep theo cong them phan bu ap rui ro.
Giai thch va hnh dang ng cong lai suat va tai
sao lai suat ngan han va lai suat dai han cung di
chuyen vi nhau