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Interest Rates and Bond Valuation Chapter 5

Interest Rates and Bond Valuation Chapter 5. Dr. Chisheng Hsu Department of International Business Tunghai University. Bonds and Bond Valuation. Face value 面額：公司債到期時，發行公司需給付面額給債權人；就是本金。 Coupon value 票面利率：公司債上明定之利率，非市場上的利率。 Coupon 利息：購買公司債所收到的利息。 Yield to maturity (YTM) 到期殖利率：市場上的利率，隨時會變動。.

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Interest Rates and Bond Valuation Chapter 5

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  1. Interest Rates and Bond ValuationChapter 5 Dr. Chisheng Hsu Department of International Business Tunghai University

  2. Bonds and Bond Valuation • Face value面額：公司債到期時，發行公司需給付面額給債權人；就是本金。 • Coupon value票面利率：公司債上明定之利率，非市場上的利率。 • Coupon利息：購買公司債所收到的利息。 • Yield to maturity (YTM)到期殖利率：市場上的利率，隨時會變動。

  3. Bonds and Bond Valuation • Discount bond：當YTM>coupon rate，會跌價發行。 • Premium bond：當YTM<coupon rate，會溢價發行。 • 當YTM=coupon rate時，是按面額發行。 • =>市場利率與債券價格呈反向變動。

  4. Valuing a Discount Bond • Consider a bond with a coupon rate of 10% and annual coupons. The par value is $1000 and the bond has 5 years to maturity. The yield to maturity is 11%. What is the value of the bond? • Using the calculator: • N = 5; i% = 11; PMT = 100; FV = 1000 • PV = -963.04

  5. YTM with Semiannual Coupons • Suppose a bond with a 10% coupon rate and semiannual coupons, has a face value of $1000, 20 years to maturity and is selling for $1197.93.What is the YTM? • N = 20*2; PV = -1197.93; PMT = 100/2; FV = 1000;  i% = 4% (Is this the YTM?) • YTM = 4%*2 = 8%

  6. Interest Rate Risk • 利率風險：利率變動，造成債券價格變動之風險。 • 其他條件不變，到期日越長，利率風險越大。 • <figure 5.2> • 藍線(30-year bond)的利率風險>紅線(1-year bond)。 • 假設其他條件不變，30年期和1年期債券相比較，則當利率上漲1%，30年期債券的價格下跌較多。

  7. Interest Rate Risk • 其他條件不變，票面利率(coupon rate)越低，利率風險越大。 • <例>債券A的票面利率5%，債券B的票面利率20%，面額皆為1000，到期年限為10年，當YTM市場利率由5%上升至20%則債券價格漲跌為多少? • 債券A=(371.13-1000)/1000=-62.89% • 債券B=(1000-2158.26)/2158.26=-53.67%

  8. More on Bond Feature • Registered form 記名公司債 • Bearer form 不記名公司債 • Debenture 無擔保公司債：沒有擔保品的公司債，風險大，所以給的利率較高。 • Secured bond 有擔保公司債 • Subordinated 次級(優先受償順序)：優先受償順序次於原始債權人。

  9. More on Bond Feature • Sinking fund 償債基金：公司每年要提撥某部份的款項出來成立償債基金，避免公司債到期時沒有錢償付。 • Call provision 贖回條款：公司有權可將公司債在到期前買回。在此條款下，發行公司可以利用利率下降時，發行新債來買回舊債，以求降低利率。 • Call premium 贖回溢酬：由於發行公司提前贖回公司債會造成投資者之損失（再投資風險），故其贖回價格一般會高於面額，高出部份就是贖回溢酬。 • Deferred call provision 遞延贖回條款：禁止公司在某段時間內贖回債券。

  10. More on Bond Feature • Call protected bond：指具有遞延贖回條款的債券。 • Zero coupon bond零息債卷：債券存續期間沒有利息給付的債券。 • Current yield= annual coupon/price • 每花1元購買公司債，可拿多少利息。

  11. Pure Discount Bonds: Example Find the value of a 30-year zero-coupon bond with a $1,000 par value and a YTM of 6%.

  12. Term Structure of Interest Rates • Term structure is the relationship between time to maturity and yields. • Yield curve – graphical representation of the term structure • Normal – upward-sloping, long-term yields are higher than short-term yields • Inverted – downward-sloping, long-term yields are lower than short-term yields

  13. US Treasury Yield Curve20081104

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