龐大的外匯儲(chǔ)備8-ValuationofBonds

27十二月20231龐大的外匯儲(chǔ)備8-ValuationofBondsValuationofBonds

Chapter6objectives1.

Distinguishbetweendifferentkindsofbonds.2.

Explainthemorepopularfeaturesofbonds.3.

Definethetermvalueasusedforseveraldifferent purposes.4.

Describethebasicprocessforvaluingassets.5.

Estimatethevalueofabond.6.

Computeabondholder’sexpectedrateofreturn.7.

Explainthreeimportantrelationshipsthatexistinbond valuation.TypesofbondsTerminologyandCharacteristicsofbondsDefinitionsofValueValuation:TheBasicProcessBondValuationTheBondholder’sExpectedRateofReturn(YieldtoMaturity)BondValuation:ThreeImportantRelationshipsWhymarketablebonds?MultiplefinancinginstrumentsMonopolyvsDiversificationMarketorientedvscentrallyplanningorientedbondAbond

isatypeofdebtorlong-termpromissorynote(期票),issuedbytheborrower,promisingtopayitsholderapredeterminedandfixedamountofinterestperyear.1. Debentures:公司債券2. Subordinateddebentures3. Mortgagebonds4. Eurobonds5. Zeroandverylowcouponbonds6 Junkbonds

CHARACTERISTICSOFBONDS

1. Claimsonassetsandincome2. Parvalue3. Couponinterestrate4. Maturity5. Indenture(契約)6. Currentyield7. BondratingsClaimsonassetsandincomeInterestanddividendsleadstoInsolvency:BondsCommonstockPreferredstockParvalueParvalueofabond:afacevaluethatisreturnedtothebondholderatmaturity.Denomination:$1000Quotation:101.375%CouponinterestrateCouponinterestrate: Indicatorofthepercentageoftheparvalueofthebondthatwillbepaidoutannuallyintheformofinterest.Forexample:Interestrate:8%Par:$10008%x$1000=$80.00MaturityLengthtimetoredeemthebonds.Forexample:3years10years30yearsIndenture(契約)

Legalagreement:Betweenissuingcompaniesandbondtrusteewhorepresentsthebondholders.Commonprovisions:ProhibitionsonthesaleofaccountsreceivableConstraintsontheissuanceofcommonstockdividendsRestrictionsonthepurchaseorsaleoffixedassetsConstraintsonadditionalborrowingCurrentyieldCurrentyield=(annualinterestpayment)/(marketpriceofthebond)=(0.08*$1,000)/$700=$80/$700=0.114=11.4%

StandardandPoor’sCorporateBondRatingsAAAAAABBBBB BCCCCCCCURNETBONDSYLDVOLCLOSECHGCaterplnc6s076.84988+ChsCp8s047.91101-ChsCp6086.8889-CPWV7137.83093-Chiquta100410.53100-1ChckFul7s12cv6584-1Chryslr10.4s9910.061104-Chryslr10.95s1710.08109…EconomicInfluencingonbonds1. Interestfluctuation2. Stockpricing3. ExchangeratesInflationdeflationDEFINITIONSOFVALUE1 Bookvalue

2 Liquidationvalue

3 Marketvalue

4 intrinsicoreconomicvalue=fair value

efficientmarket

V=

BONDVALUATIONParvalue(M):$1000Couponinterestrate:12%Maturity:5yearsExpectedreturn:12%(9%/10%/12%/15%)Vb?EXPECTEDRATEOFRETURN(YIELDTOMATURITY)

7%

8%PRESENTVALUEPRESENTPRESENT VALUEPRESEYEARSCASHFLOWFACTORSVALUEFACTorVALUE1-10$90peryear7.024$632.166.710$603.9010$1000inyear100.508508.000.463$463.00Presentvalue$1,140.16Presentvalue$1,066.90

at7%at8%

Parvalue(M):$1000Couponinterestrate:12%Maturity:5yearsExpectedreturn:12%(9%/10%/12%/15%)Vb?12%

Vb=$120(PVIFA12%,5yr)+$l,000(PVIF12%,5yr)Vb=$120(3.605)+$l,000(0.567)=$432.60+$567.00=$999.60≌$1,000,00PVIFAK,n=(1/k)[(1–1/(1+k)n]15%from12perceptto15percent,

Vb=$120(PVIFA15%,5yr)+,000(PVIF15%,5yr)Vb=$120(3.352)+$l,000(0.497)=$402.24+$497.00=$899.24Howcanyoudetermine15%?9%Vb=$120(PVIFA9%,5yr)+$l,000(PⅥF9%,5yr)Vb=$120(3.890)+$l,000(0.650)=$466.80+$650.00 =$1,116.80RELATIONSHIPSWehavenowlearnedtofindthevalueofabond(Vb),(1)

themountofinterestpayment(It),(2)

thematurityvalue(M),(3)

thelengthoftimetomaturity(nyears),and(4)

theinvestor’srequiredrateofreturn,kb.expectedrateofreturn(kb),.requiredrate>couponrate,

marketvalue<parvalue15％>12％,then$899.24<$l,000discountbond.

requiredrate<couponrate,marketvalue>parvalue

9％<12％,then$1,116.18>$1,000premiumbond.12%COUPON-RATE

MARKETVALUEFORA12%COUPON-RATEBONDMATURINGINREOUIREDRATE5YEARS10YEARS9%$1,116.80$1,192.16121,000.001,000.0015899.24849.28

5個(gè)融資階段“繁榮—低谷—高峰—衰退—恢復(fù)”的規(guī)律。5個(gè)融資發(fā)展階段50年代:內(nèi)部融資時(shí)期；60年代:租賃時(shí)期，70年代:高峰時(shí)期；80年代:倒退；90年代后期:恢復(fù)期。內(nèi)部融資時(shí)代世界航運(yùn)市場(chǎng):航運(yùn)業(yè)龐大的營(yíng)業(yè)現(xiàn)金流舉債:經(jīng)營(yíng)無(wú)方英國(guó)船東:僅有16%找到可以獲利的項(xiàng)目來(lái)投資。

融資租賃時(shí)代日本經(jīng)濟(jì)的起步:融資方式的變革。規(guī)模經(jīng)濟(jì):中型和大型化銀行業(yè):開(kāi)展了與航運(yùn)業(yè)的合作。過(guò)低成本的“方便旗”:船廠(chǎng)造船，租賃給船公司，銀行接受船舶抵押。船舶運(yùn)量達(dá)到了9000萬(wàn)噸之多。日本、香港的船東發(fā)展到了極致。

高峰時(shí)期

造船熱潮,大肆造船。貿(mào)易增長(zhǎng)迅速，只要有了船就有了生意，1973年達(dá)到了1.2億噸（圖3）。1973年的石油危機(jī)，徹底粉碎了這一造船夢(mèng)想。最大的崩潰。衰退時(shí)期航運(yùn)界對(duì)船隊(duì)進(jìn)行了大規(guī)模的削減，到1984年，世界上將近四分之一的貨輪宣布退休（如圖4所示）。銀行業(yè)的非理性行為，加劇了這場(chǎng)災(zāi)難。1983——1987四年間，船東拖欠貸款達(dá)100億美元之多，銀行徹底取消整個(gè)航運(yùn)投資，

OBJECTIVE1avarietyoftypesofbonds,including·Debentures·Subordinateddebentures·Mortgagebonds·Eurobonds·Zeroandverylowcouponbonds

·JunkbondsOBJECTIVE2characteristicsthatyoumighthearaboutbondsincludethefollowing:·Claimsonassetsandincome·Parvalue·Couponinterestrate·Maturity·Indenture·Currentyield·Bondratings恢復(fù)時(shí)代十年中，重新投入兩千億美元。航運(yùn)業(yè)呼喚新的投融資方式。債券成為組成的絕大部分，而另一部分則是權(quán)益，第三部分是政府的造船貸款。每年20億美元增加到20世紀(jì)90年代末的每年近100億美元。航運(yùn)辛迪加越來(lái)越大，卻越來(lái)越不容易管理。，德國(guó)政府擔(dān)保的銀行對(duì)造船業(yè)貸款超過(guò)5000億美元。

ConvertiblebondsTheoryandpractise可兌換證券可兌換證券是指可以在規(guī)定的期限內(nèi)轉(zhuǎn)換為一定股票數(shù)量的證券