Chapter_24ValuingDebt(公司金融)

ValuingDebtPrinciplesofCorporateFinanceSeventhEditionRichardA.BrealeyStewartC.MyersSlidesbyMatthewWillChapter24McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.Allrightsreserved24-2McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTopicsCoveredTheClassicalTheoryofInterestDurationandVolatilityTheTermStructureandYTMExplainingtheTermStructureAllowingfortheRiskofDefault24-3McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedValuingaBondNNrCrCrCPV)1(000,1...)1()1(221124-4McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedValuingaBondExampleIftodayisOctober2002,whatisthevalueofthefollowingbond?AnIBMBondpays$115everySeptfor5years.InSept2007itpaysanadditional$1000andretiresthebond.ThebondisratedAAA(WSJAAAYTMis7.5%)CashFlowsSept0304050607115115115115111524-5McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedValuingaBondExamplecontinuedIftodayisOctober2002,whatisthevalueofthefollowingbond?AnIBMBondpays$115everySeptfor5years.InSept2007itpaysanadditional$1000andretiresthebond.ThebondisratedAAA(WSJAAAYTMis7.5%)84.161,1$075.1115,1075.1115075.1115075.1115075.11155432PV24-6McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedBondPricesandYields02004006008001000120014001600024681012145Year9%Bond1Year9%BondYieldPrice24-7McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedDebt&InterestRatesClassicalTheoryofInterestRates(Economics)developedbyIrvingFisher24-8McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedDebt&InterestRatesClassicalTheoryofInterestRates(Economics)developedbyIrvingFisherNominalInterestRate=Therateyouactuallypaywhenyouborrowmoney24-9McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedDebt&InterestRatesClassicalTheoryofInterestRates(Economics)developedbyIrvingFisherNominalInterestRate=TherateyouactuallypaywhenyouborrowmoneyRealInterestRate=Thetheoreticalrateyoupaywhenyouborrowmoney,asdeterminedbysupplyanddemandSupplyDemand$QtyrRealr24-10McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedDebt&InterestRatesNominalr=Realr+expectedinflationRealristheoreticallysomewhatstableInflationisalargevariableQ:Whydowecare?A:ThistheoryallowsustounderstandtheTermStructureofInterestRates.Q:SoWhat?A:TheTermStructuretellsusthecostofdebt.24-11McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedDebt&RiskYearCFPV@YTM%ofTotalPV%xYear168.7565.54.0600.060268.7562.48.0580.115368.7559.56.0550.165468.7556.78.0520.209568.75841.39.7753.8751085.741.00Duration4.424Example(Bond1)Calculatethedurationofour67/8%bond@4.9%YTM24-12McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedDebt&RiskYearCFPV@YTM%ofTotalPV%xYear19082.95.0810.08129076.45.0750.15039070.46.0690.20749064.94.0640.25651090724.90.7113.5551019.701.00Duration=4.249Example(Bond2)Givena5year,9.0%,$1000bond,witha8.5%YTM,whatisthisbond’sduration?24-13McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.Allrightsreservedexample1000=1000(1+R3)3(1+f1)(1+f2)(1+f3)Spot/Forwardrates24-14McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedForwardRateComputations(1+rn)n=(1+r1)(1+f2)(1+f3)....(1+fn)Spot/Forwardrates24-15McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedExampleWhatisthe3rdyearforwardrate?2yearzerotreasuryYTM=8.9953yearzerotreasuryYTM=9.660Spot/Forwardrates24-16McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedExampleWhatisthe3rdyearforwardrate?2yearzerotreasuryYTM=8.9953yearzerotreasuryYTM=9.660AnswerFVofprincipal@YTM2yr1000x(1.08995)2=1187.993yr1000x(1.09660)3=1318.70IRRof(FV1318.70&PV=1187.99)=11%Spot/Forwardrates24-17McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedExampleTwoyearsfromnow,youintendtobeginaprojectthatwilllastfor5years.Whatdiscountrateshouldbeusedwhenevaluatingtheproject?2yearspotrate=5%7yearspotrate=7.05%Spot/Forwardrates24-18McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedcouponspayingbondstoderiveratesSpot/ForwardratesBondValue=C1+C2(1+r)(1+r)2BondValue=C1+C2(1+R1)(1+f1)(1+f2)d1=C1d2=C2(1+R1)(1+f1)(1+f2)24-19McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.Allrightsreservedexample8%2yrbondYTM=9.43%10%2yrbondYTM=9.43%Whatistheforwardrate?Step1valuebonds8%=97510%=1010Step2975=80d1+1080d2-------solveford11010=100d1+1100d2-------insertd1&solveford2Spot/Forwardrates24-20McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedexamplecontinuedStep3solvealgebraicequationsd1=[975-(1080)d2]/80insertd1&solve=d2=.8350insertd2andsolveford1=d1=.9150Step4Insertd1&d2andSolveforf1&f2..9150=1/(1+f1).8350=1/(1.0929)(1+f2)f1=9.29%f2=9.58%PROOFSpot/Forwardrates24-21McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTermStructureSpotRate-Theactualinterestratetoday(t=0