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Bonds and Their Valuation.ppt


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Bonds and Their Valuation.ppt
文档介绍:
KeyFeaturesofaBond1. Parvalue:Faceamount;paid atmaturity.Assume$1,000.2. Couponinterestrate:Stated interestrate.Multiplybypar toget$ofinterest.Generally fixed.3. Maturity:Yearsuntilbond mustberepaid.Declines.4. Issuedate:Datewhenbond wasissued.Howdoesaddinga“callprovision”affectabond?Issuercanrefundifratesdecline.Thathelpstheissuerbuthurtstheinvestor.Therefore,borrowersarewillingtopaymore,andlendersrequiremore,oncallablebonds.Mostbondshaveadeferredcallandadecliningcallpremium.What’sasinkingfund?Provisiontopayoffaloanoveritsliferatherthanallatmaturity.Similartoamortizationonatermloan.Reducesrisktoinvestor,shortensaveragematurity.Butnotgoodforinvestorsifratesdeclineafterissuance.1. Callx%atparperyearforsinking fundpurposes.2. panywouldcallifkdisbelowthecouponrateandbondsellsatapremium.Useopenmarketpurchaseifkdisabovecouponrateandbondsellsatadiscount.Sinkingfundsaregenerallyhandledin2waysFinancialAssetValues()()()PV=CF1+k...+CF1+k1n1221CFkn.012nkCF1CFnCF2Value...+++Thediscountrate(ki)istheopportunitycostofcapital,i.e.,theratethatcouldbeearnedonalternativeinvestmentsofequalrisk.ki=k*+IP+LP+MRP+DRP.What’sthevalueofa10-year,10%couponbondifkd=10%?()()()VkkBdd=$100$1,1000111010...+$1001+kd1001000121010%100+1,000V=?...=$90.91+...+$38.55+$385.54=$1,000.++++10 10 1001000 N I/YR PV PMT FV -1,000Thebondconsistsofa10-year,10%annuityof$100/yearplusa$1,000lumpsumatt=10:$614.46 385.54 $1,000.00PVannuityPVmaturityvaluePVannuity===INPUTSOUTPUT10 13 1001000 N I/YR PV PMTFV -837.21Whenkdrises,abovethecouponrate,thebond’svaluefallsbelowpar,soitsellsatadiscount.Whatwouldhappenifexpectedinflationroseby3%,causingk=13%?INPUTSOUTPUT 内容来自淘豆网www.taodocs.com转载请标明出处.