Kha ngn hnChng trnh Ging dy Kinh t Fulbright
Phn tch ti chnh
Tri phiuTri phiu
Bi 12: nh gi tri phiuPhn tch Ti chnhThng 2 nm 2009
c im chnh ca mt tri phiuTri phiu (bond) l mt chng khon k hn t 1 nm tr ln trong chng nhn ngi vay n mt khon tin c xc nh c th cng vi cc iu khon lin quan ti vic hon tr khon tin ny v li trong tng lai. Thut ng lin quan ti tri phiu: T chc pht hnh Mnh gi, n gc Li sut nh k Li nh k Ngy o hn K hn Gi (tr) tri phiu Li sut n khi o hn Issuer Face value, par value, principal Coupon rate Coupon Maturity date Term to Maturity Bond price (value) Yield to Maturity (YTM) T chc vay n Gi tr m bn pht hnh cam kt hon tr khi o hn; Gi tr lm c s tnh li nh k Li sut m t chc pht hnh cam kt chi tr theo nh k Li tr nh k tnh bng li sut nh k nhn vi mnh gi Ngy hon tr vn gc sau cng Thi gian t khi pht hnh cho n khi tri phiu o hn Gi tr hin ti (PV) ca tri phiu Sut sinh li ni ti (IRR) nu mua tri phiu by gi v gi cho ti khi o hn
Nguyn Xun ThnhNguyn Xun Thnh
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Kha ngn hnChng trnh Ging dy Kinh t Fulbright
Phn tch ti chnh
Tri phiuTri phiu
Phn loi tri phiuTri phiu chnh ph Tri phiu chnh ph Tri phiu do chnh ph bo lnh Tri phiu kho bc Tri phiu cng trnh trung ng Tri phiu u t Tri phiu ngoi t Cng tri xy dng t quc Tri phiu chnh quyn a phng Tri phiu thng Tri phiu chuyn i Tri phiu doanh nghip Tri phiu c quyn chn i km Tri phiu c quyn bn li Tri phiu c quyn mua li
Tri phiu thng thng v kiu hnh ngn luc im ca tri phiu: Mnh gi tr phiu: F Li sut nh k c nh hng nm: c K hn (nm): n 0
C+F C 1 C 2 C 3 C
...
n-1
n
P
Tr li: k tr li l 1 ln/nm vo cui k Tr n gc: tr 1 ln bng mnh gi tri phiu vo ngy o hn
Kiu hnh ngn lu trn quan im ca nh u t tri phiu Ngn lu ra: s tin b ra mua tri phiu, tc l gi tri phiu (P) Ngn lu vo: Ngn lu li vay: C = cF (n ln) Ngn lu n gc: F (1 ln)
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Kha ngn hnChng trnh Ging dy Kinh t Fulbright
Phn tch ti chnh
Tri phiuTri phiu
Tri phiu vi quyn chn i km (embedded options)Tri phiu khng c quyn chn i km: straight bond Tri phiu vi quyn chn i km (embedded options) Tri phiu c quyn mua li (callable bond) Tri phiu c quyn bn li (putable bond) Tri phiu chuyn i (convertible bond)
Tri phiu c quyn mua li: call provisionT chc pht hnh c quyn mua li tri phiu (tc l hon tr ht n gc v thanh l tri phiu): Tri phiu c mua li mc gi bng mnh gi hay mt mc gi xc nh. Tri phiu c mua li vo mt thi im hay k t mt thi im xc nh.
T chc pht hnh thng chn mua li tri phiu khi li sut trn th trng gim ng k v v vy s c li hn khi hon tr n c v i vay n mi.
Quyn mua li tng thm li ch cho t chc pht hnhGi tr tri phiu c quyn mua li = Gi tr tri phiu tng ng nhng khng c quyn + Gi tr quyn mua li
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Kha ngn hnChng trnh Ging dy Kinh t Fulbright
Phn tch ti chnh
Tri phiuTri phiu
Tri phiu c quyn bn li: put provisionNgi nm gi tri phiu (bondholder) c quyn bn li tri phiu cho t chc pht hnh: Tri phiu c bn li mc gi bng mnh gi hay mt mc gi xc nh. Tri phiu c bn li vo mt thi im hay k t mt thi im xc nh.
Ngi nm gi tri phiu thng chn bn li tri phiu khi li sut trn th trng tng ln ng k v v vy s c li hn khi bn li tri phiu ang nm gi v u t vo tri phiu hin hnh khc. Quyn bn li lm tng thm li ch cho ngi nm gi tri phiu. Gi tr tri phiu c quyn bn li = Gi tr tri phiu tng ng nhng khng c quyn Gi tr quyn bn li
Tri phiu chuyn i Convertible bondTri phiu chuyn i cho php ngi nm gi tri phiu c quyn chuyn i tri phiu thnh mt s lng xc nh c phiu ca cng t chc pht hnh ti mt thi im xc nh trong tng lai. Ngi nm gi tri phiu chuyn i s chuyn i tri phiu nu nh gi c phiu ca t chc pht hnh tng ln lm cho tng gi tr ca lng c phiu c chuyn i tng ng ln hn mnh gi ca tri phiu. Quyn chuyn i lm tng li ch cho ngi nm gi tri phiu. Gi tr tri phiu chuyn i = Gi tr tri phiu tng ng nhng khng c quyn Gi tr quyn chuyn i
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Kha ngn hnChng trnh Ging dy Kinh t Fulbright
Phn tch ti chnh
Tri phiuTri phiu
Ri ro khi u t vo tri phiuRi ro li sut Gi tri phiu thay i khi li sut th trng thay i Li nhun ca vic ti u t tin li t tri phiu s thay i khi li sut th trng thay i Kh nng t chc pht hnh tri phiu khng c kh nng tr li v/hay n gc Li nhun thc t u t tri phiu thay i khi t l lm pht thay i T gi hi oi thay i c th lm cho li nhun tnh bng ng tin chnh ca nh u t thay i cho d li nhun tnh theo ng tin ca mnh gi tri phiu khng i. Kh nng tri phiu c th c chuyn i thnh tin mt mt cch d dng hay kh khn. Li nhun sau thu t u t tri hpiu thay i khi thu sut nh vo li nhun u t tri phiu thay i.
Ri ro ti u t
Ri ro tn dng
Ri ro lm pht
Ri ro t gi
Ri ro thanh khon
Ri ro thu
nh gi h s tn nhim Credit Ratingnh gi ri ro tn dng ca tri phiu. Aaa & AAA: An ton cao nht (prime) Aa & AA: Cht lng cao (high quality) A: Hng trung bnh cao (upper-medium grade) Baa & BBB: Trung bnh (medium grade) Thp hn: mang tnh u c C: khng tr li D: mt kh nng tr n (default)
Moodys Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3
S&P AAA AA+ AA AAA+ A ABBB+ BBB BBBBB+ BB BBB+ B BCCC+ CCC CCC-
B ri ro 0 35 60 70 80 85 100 115 135 250 300 350 400 450 600 675 750Poor Speculative Grade Investment Grade
50
Xc sut mt kh nng tr n theo S&P (%) K hn AAA AA A BBB BB B CCC Investment Speculative 1 0 0 0,05 0,18 0,9 4,72 19,09 0,07 3,75 2 0 0,02 0,14 0,42 2,97 9,86 26,21 0,18 7,59 5 0,19 0,28 0,58 1,69 9,28 19,66 39,25 0,77 16,03 10 1,06 0,91 1,76 3,72 15,08 25,51 42,96 2,01 21,72 15 1,06 1,02 2,29 4,22 16,77 26,39 42,96 2,39 22,95
200
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Kha ngn hnChng trnh Ging dy Kinh t Fulbright
Phn tch ti chnh
Tri phiuTri phiu
nh gi tri phiuC C C C
C+F
Li sut trn th trng ... ca mt khon u t 0 1 2 3 n-1 n cng ri ro v k hn nh tri phiu l y. Nh u t vo tri phiu s yu cu tri phiu c P sut sinh li ti thiu l y v l mc m h c c nu i u t trn th trng. Ni mt cch khc, gi tri phiu s c nh mc bng vi gi tr hin ti ca ngn lu tri phiu (gm li v n gc) tr trong tng lai, vi sut chit khu bng y.P C C 1 y 1 1 y C (1 y ) 2 1 (1 y ) 2 ... C (1 y ) n F (1 y ) n F (1 y ) n
1 ... (1 y ) n
P
C 1 1 y (1 y) n
F (1 y) n
V d 12.1: nh gi tri phiu lc pht hnhSut sinh li yu cu ca nh u t: cao hn 225 bps (2,25%) so vi li sut tri phiu chnh ph cng k hn. Li sut tri phiu chnh ph k hn 5 nm vo 20/9/2007: 8%/nm. Sut sinh li yu cu ca nh u t: 8% + 2,25% = 10,25% Gi tr tri phiu khi pht hnh:
Tn Mnh gi Li sut Tr li Tr n gc Ngy pht hnh Ngy o hn Gi tr pht hnh
Tri phiu Vincom 1 t VND 10,3%/nm 1 ln mt nm (22/10) Mt ln khi o hn 22/10/2007 22/10/2012 1.000 t VND
PVPVP
10,3 1 10, 25%
10,3 (1 10, 25%) 2
10,3 (1 10, 25%) 3100 (1 10, 25%)5
10,3 (1 10, 25%) 4100,188
10,3 100 (1 10, 25%)5
10,3 1 1 10, 25% (1 10, 25%)5= 100,188% 1 t VND = 1.001.880.000 VND
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Kha ngn hnChng trnh Ging dy Kinh t Fulbright
Phn tch ti chnh
Tri phiuTri phiu
V d 12.1: nh gi tri phiu bng ExcelCng thc: = PRICE(ngy thanh ton, ngy o hn, li sut nh k nm, sut chit khu, n gc, s ln tr li trong nm)B 1 2 3 4 5 6 7 8 9 10 11 Kt qu 12 Gi (% mnh gi) 100.188 C12=PRICE(C3,C4,C5,C6,C7,C8) NH GI TRI PHIU Nhp d liu Ngy thanh ton Ngy o hn Li sut hng nm Sut chit khu Tr n gc (% mnh gi) S ln tr li trong nm 22/10/2007 C3=DATE(2007,10,22) 22/10/2012 C4=DATE(2012,10,22) 10.30% 10.25% 100 1 C D
V d 12.1: nh gi tri phiu vo ngy tr liVo na cui thng 10/2008, li sut tri phiu chnh ph (k hn 3 nm) vo mc 15%/nm. Mc b ri ro ca tri phiu Vincom l 300 bps. Nu nh u t yu cu sut sinh li 18%/nm, th gi tri phiu Vincom m h sn sng vo ngy 22/10/2008 tr l:
Tn Mnh gi Li sut Tr li Tr n gc Ngy pht hnh Ngy o hn Gi tr pht hnh
Tri phiu Vincom 1 t VND 10,3%/nm 1 ln mt nm (22/10) Mt ln khi o hn 22/10/2007 22/10/2012 1.000 t VND
PV
10,3 1 18%
10,3 (1 18%) 2
10,3 (1 18%)3
10,3 100 (1 18%) 4
PV
10,3 1 1 18% (1 18%)4
100 (1 18%)5
79, 287
P
= 792.870.000 VND
Nguyn Xun ThnhNguyn Xun Thnh
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Kha ngn hnChng trnh Ging dy Kinh t Fulbright
Phn tch ti chnh
Tri phiuTri phiu
V d 12.1: nh gi tri phiu bng ExcelCng thc: = PRICE(ngy thanh ton, ngy o hn, li sut nh k nm, sut chit khu, n gc, s ln tr li trong nm)B 1 2 3 4 5 6 7 8 9 10 11 Kt qu 12 Gi (% mnh gi) 79.287 C12=PRICE(C3,C4,C5,C6,C7,C8) NH GI TRI PHIU Nhp d liu Ngy thanh ton Ngy o hn Li sut hng nm Sut chit khu Tr n gc (% mnh gi) S ln tr li trong nm 22/10/2008 C3=DATE(2008,10,22) 22/10/2012 C4=DATE(2012,10,22) 10.30% 18.00% 100 1 C D
Li sut n khi o hnTrn th trng tri phiu, gi tri phiu c nim yt. Cn c vo gi nim yt, mt nh u t s tnh sut sinh li trong vng i cn li ca tri phiu. Li sut n khi o hn (yield to maturity hay vit tt l YTM) l sut chit khu sao cho gi tr hin ti ca cc khon chi tr ca tri phiu bng ng vi gi ca n. YTM thng c xem l thc sut sinh li bnh qun s c hng nu mua tri phiu by gi v gi n cho n tn khi o hn. tnh li sut n khi o hn, ta gii phng trnh gi tri phiu tm li sut n khi o hn trn c s bit gi tri phiu.
P
PV
C 1 y
C (1 y ) 2
...
C (1 y ) n
F (1 y ) n
y chnh l li sut n khi o hn
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Kha ngn hnChng trnh Ging dy Kinh t Fulbright
Phn tch ti chnh
Tri phiuTri phiu
V d 12.2: Tnh li sut n khi o hn, YTMGi tri phiu ti thi im pht hnh: 96.000 . Tnh theo ngn lu:P 96 C 1 y 9 1 y C (1 y ) 2 9 (1 y ) 2 ... ... C F (1 y ) n 109 (1 y )15Tn Mnh gi Li sut Tr li Tr n gc Ngy pht hnh Tri phiu chnh ph TP4A4804 100.000 VND 9%/nm 1 ln mt nm (18/11) Mt ln khi o hn 18/11/2004 18/11/2019 1.050 t VND
Tnh theo cng thc:P 96 C 1 1 y (1 y) n 9 1 1 y (1 y)15 F (1 y) n 100 (1 y) n
Ngy o hn Gi tr pht hnh
Gii phng trnh tm y, ta c: YTM = y = 9,511%
V d 12.2: Tnh YTM bng ExcelCng thc: = YIELD(ngy thanh ton, ngy o hn, li sut nh k nm, gi tri phiu, n gc, s ln tr li trong nm)B 1 2 3 4 5 6 7 8 9 10 11 Kt qu 12 YTM 9.511% C12=YIELD(C3,C4,C5,C6,C7,C8) NH GI TRI PHIU Nhp d liu Ngy thanh ton Ngy o hn Li sut hng nm Gi tri phiu Tr n gc (% mnh gi) S ln tr li trong nm 18/11/2004 C3=DATE(2007,10,22) 18/11/2019 C4=DATE(2012,10,22) 9.00% 96.000 100 1 C D
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Kha ngn hnChng trnh Ging dy Kinh t Fulbright
Phn tch ti chnh
Tri phiuTri phiu
Gi tri phiu v mnh gi tri phiuNu c = y th C = yFP C 1 1 y (1 y) n F (1 y) n yF 1 1 y (1 y) n F (1 y) n F
Nu li sut n khi o hn bng li sut nh k, th gi tri phiu bng mnh gi. y=c y>c y
