公司理财第十版PPTChap007

Chapter7InterestRatesandBondValuationMcGraw-Hill/IrwinCopyright©2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved.KeyConceptsandSkills•Knowtheimportantbondfeaturesandbondtypes•Understandbondvaluesandwhytheyfluctuate•Understandbondratingsandwhattheymean•Understandtheimpactofinflationoninterestrates•Understandthetermstructureofinterestratesandthedeterminantsofbondyields7-2ChapterOutline•BondsandBondValuation•MoreaboutBondFeatures•BondRatings•SomeDifferentTypesofBonds•BondMarkets•InflationandInterestRates•DeterminantsofBondYields7-3BondDefinitions•Bond•Parvalue(facevalue)•Couponrate•Couponpayment•Maturitydate•YieldorYieldtomaturity7-4PresentValueofCashFlowsasRatesChange•BondValue=PVofcoupons+PVofpar•BondValue=PVofannuity+PVoflumpsum•Asinterestratesincrease,presentvaluesdecrease•So,asinterestratesincrease,bondpricesdecreaseandviceversa7-5ValuingaDiscountBondwithAnnualCoupons•Considerabondwithacouponrateof10%andannualcoupons.Theparvalueis$1,000,andthebondhas5yearstomaturity.Theyieldtomaturityis11%.Whatisthevalueofthebond?Usingtheformula:•B=PVofannuity+PVoflumpsum•B=100[1–1/(1.11)5]/.11+1,000/(1.11)5•B=369.59+593.45=963.04Usingthecalculator:•N=5;I/Y=11;PMT=100;FV=1,000•CPTPV=-963.047-6ValuingaPremiumBondwithAnnualCoupons•Supposeyouarereviewingabondthathasa10%annualcouponandafacevalueof$1000.Thereare20yearstomaturity,andtheyieldtomaturityis8%.Whatisthepriceofthisbond?Usingtheformula:•B=PVofannuity+PVoflumpsum•B=100[1–1/(1.08)20]/.08+1000/(1.08)20•B=981.81+214.55=1196.36Usingthecalculator:•N=20;I/Y=8;PMT=100;FV=1000•CPTPV=-1,196.367-7GraphicalRelationshipBetweenPriceandYield-to-maturity(YTM)6007008009001000110012001300140015000%2%4%6%8%10%12%14%BondPriceYield-to-maturity(YTM)7-8BondPrices:RelationshipBetweenCouponandYield•IfYTM=couponrate,thenparvalue=bondprice•IfYTMcouponrate,thenparvaluebondpriceWhy?ThediscountprovidesyieldabovecouponratePricebelowparvalue,calledadiscountbond•IfYTMcouponrate,thenparvaluebondpriceWhy?HighercouponratecausesvalueaboveparPriceaboveparvalue,calledapremiumbond7-9TheBondPricingEquationttr)(1FVrr)(11-1CValueBond7-10Example7.1•FindpresentvaluesbasedonthepaymentperiodHowmanycouponpaymentsarethere?Whatisthesemiannualcouponpayment?Whatisthesemiannualyield?B=70[1–1/(1.08)14]/.08+1,000/(1.08)14=917.56OrPMT=70;N=14;I/Y=8;FV=1,000;CPTPV=-917.567-11InterestRateRisk•PriceRiskChangeinpriceduetochangesininterestratesLong-termbondshavemorepriceriskthanshort-termbondsLowcouponratebondshavemorepriceriskthanhighcouponratebonds•ReinvestmentRateRiskUncertaintyconcerningratesatwhichcashflowscanbereinvestedShort-termbondshavemorereinvestmentrateriskthanlong-termbondsHighcouponratebondshavemorereinvestmentrateriskthanlowcouponratebonds7-12Figure7.27-13ComputingYieldtoMaturity•YieldtoMaturity(YTM)istherateimpliedbythecurrentbondprice•FindingtheYTMrequirestrialanderrorifyoudonothaveafinancialcalculatorandissimilartotheprocessforfindingrwithanannuity•Ifyouhaveafinancialcalculator,enterN,PV,PMT,andFV,rememberingthesignconvention(PMTandFVneedtohavethesamesign,PVtheoppositesign)7-14YTMwithAnnualCoupons•Considerabondwitha10%annualcouponrate,15yearstomaturityandaparvalueof$1,000.Thecurrentpriceis$928.09.Willtheyieldbemoreorlessthan10%?N=15;PV=-928.09;FV=1,000;PMT=100CPTI/Y=11%7-15YTMwithSemiannualCoupons•Supposeabondwitha10%couponrateandsemiannualcoupons,hasafacevalueof$1,000,20yearstomaturityandissellingfor$1,197.93.IstheYTMmoreorlessthan10%?Whatisthesemiannualcouponpayment?Howmanyperiodsarethere?N=40;PV=-1,197.93;PMT=50;FV=1,000;CPTI/Y=4%(IsthistheYTM?)YTM=4%*2=8%7-16Table7.17-17CurrentYieldvs.YieldtoMaturity•CurrentYield=annualcoupon/price•Yieldtomaturity=currentyield+capitalgainsyield•Example:10%couponbond,withsemiannualcoupons,facevalueof1,000,20yearstomaturity,$1,197.93priceCurrentyield=100/1,197.93=.0835=8.35%Priceinoneyear,assumingnochangeinYTM=1,193.68Capitalgainyield=(1,193.68–1,197.93)/1,197.93=-.0035=-.35%YTM=8.35-.35=8%,whichisthesameYTMcomputedearlier7-18BondPricingTheorems•Bondsofsimilarrisk(andmaturity)willbepricedtoyieldaboutthesamereturn,regardlessofthecouponrate•Ifyouknowthepriceofonebond,youcanestimateitsYTMandusethattofindthepriceofthesecondbond•Thisisausefulconceptthatcanbetransferredtovaluingassetsotherthanbonds7-19BondPriceswithaSpreadsheet•ThereisaspecificformulaforfindingbondpricesonaspreadsheetPRICE(Settlement,Maturity,Rate,Yld,Redemption,Frequency,Basis)YIELD(Settlement,Maturity,Rate,Pr,Redemption,Frequency,Basis)SettlementandmaturityneedtobeactualdatesTheredemptionandPrneedtobeinputas%ofparvalue•ClickontheExceliconforanexample7-20DifferencesBetweenDebtandEquity•DebtNotanownershipinterestCreditorsdonothavevotingrightsInterestisconsideredacostofdoingbusinessandistaxdeductibleCreditorshavelegalrecourseifinterestorprincipalpaymentsaremissedExcessdebtcanleadtofinancialdistressandbankruptcy•EquityOwnershipinterestCommonstockholdersvotefortheboardofdirectorsandotherissuesDividendsarenotconsideredacostofdoingbusinessandarenottaxded