台湾大学财务廖咸兴-Valuing Bonds Training.pptx

台湾大学财务廖咸兴-Valuing Bonds Training.pptx

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,Chapter4,FundamentalsofCorporateFinanceThirdEdition,ValuingBonds,BrealeyMyersMarcusslidesbyMatthewWill,Irwin/McGraw-Hill,TopicsCovered,BondCharacteristicsreadingthefinancialpagesBondPricesandYieldsBondpricesandinterestratesYTMvs.currentyieldRateofReturnInterestRateRiskTheYieldCurveNominalandRealRatesofInterestDefaultRisk,Bonds,TerminologyBond-Securitythatobligatestheissuertomakespecifiedpaymentstothebondholder.Coupon-Theinterestpaymentsmadetothebondholder.FaceValue（ParValueorMaturityValue）-Paymentatthematurityofthebond.CouponRate-Annualinterestpayment,asapercentageoffacevalue.,Bonds,WARNINGThecouponrateISNOTthediscountrateusedinthePresentValuecalculations.Thecouponratemerelytellsuswhatcashflowthebondwillproduce.Sincethecouponrateislistedasa%,thismisconceptionisquitecommon.,BondPricing,ThepriceofabondisthePresentValueofallcashflowsgeneratedbythebond（i.e.couponsandfacevalue）discountedattherequiredrateofreturn.,BondPricing,ExampleWhatisthepriceofa6%annualcouponbond,witha$1,000facevalue,whichmaturesin3years?

Assumearequiredreturnof5.6%.,BondPricing,Example（continued）Whatisthepriceofthebondiftherequiredrateofreturnis6%?

BondPricing,Example（continued）Whatisthepriceofthebondiftherequiredrateofreturnis15%?

BondPricing,Example（continued）Whatisthepriceofthebondiftherequiredrateofreturnis5.6%ANDthecouponsarepaidsemi-annually?

BondPricing,Example（continued）Q:

Howdidthecalculationchange,givensemi-annualcouponsversusannualcouponpayments?

TimePeriodsPayingcouponstwiceayear,insteadofoncedoublesthetotalnumberofcashflowstobediscountedinthePVformula.,DiscountRateSincethetimeperiodsarenowhalfyears,thediscountrateisalsochangedfromtheannualratetothehalfyearrate.,BondYields,CurrentYield-Annualcouponpaymentsdividedbybondprice.YieldToMaturity-Interestrateforwhichthepresentvalueofthebondspaymentsequaltheprice.,BondYields,CalculatingYieldtoMaturity（YTM=r）Ifyouaregiventhepriceofabond（PV）andthecouponrate,theyieldtomaturitycanbefoundbysolvingforr.,BondYields,ExampleWhatistheYTMofa6%annualcouponbond,witha$1,000facevalue,whichmaturesin3years?

Themarketpriceofthebondis$1,010.77,BondYields,WARNINGCalculatingYTMbyhandcanbeverytedious.Itishighlyrecommendedthatyoulearntousethe“IRR”or“YTM”or“i”functionsonafinancialcalculator.,BondYields,RateofReturn-Earningsperperiodperdollarinvested.,InterestRateRisk,PremiumBond,DiscountBond,InterestRateRisk,30yrbond,3yrbond,NominalandRealrates,YieldonUKnominalbonds,YieldonUKindexedbonds,DefaultRisk,CreditriskDefaultpremiumInvestmentgradeJunkbonds,DefaultRisk,CorporateBonds,ZerocouponsFloatingratebondsConvertiblebonds,TheYieldCurve,TermStructureofInterestRates-Alistingofbondmaturitydatesandtheinterestratesthatcorrespondwitheachdate.YieldCurve-Graphofthetermstructure.,WebResources,ClicktoaccesswebsitesInternetconnectionrequired,WebLinks,