Financial Management -Bond valuation 채권평가

 

 

 

Finanical Management -Bond valuation

재무관리-채권평가

 

7-(1), 7-(2)

1. What Is Bond Valuation? 

Bond valuation is a technique for determining the theoretical fair value of a particular bond.

Bond valuation includes calculating the present value of a bond's future interest payments, also known as its cash flow, and the bond's value upon maturity, also known as its face value or par value.

 

2. valuation basics =summing over all the present values of future cash flows generated by the assets

가치평가의 원칙=투자대상으로부터 t기간에 얻게 되는 현금흐름을 할인율로 할인한 현재가치의 합

 

• come up with time horizon
• come up with estimates of future cash flows
• proper discount(or interest) rate

 

3. coupon bond =정기적으로 이자지급을 받고

만기에 원금을 상환받는 채권 

The price of a bond depends on several characteristics inherent in every bond issued.

 

These characteristics are:

 

• PV(T0) = Price at Time 0-> price of bond
• PMT(Tn) = coupon rate:표면이자율 x face value:액면금액 *일반적으로 $1,000
• F = Future Value, Par Value, Principal Value
• r = Yield to Maturity(YTM) = required return & discount rate: 할인율
• n = Number of Periods to maturity: 만기

 

 

주의

"coupon rate" is not necessarily the same as "the discount rate"

coupon rate="fixed", not change

YTM= "flutuated", always change

 

 

*만약 coupon rate= YTM이라면,

PV (Present value of the bond) = the face value of debt

즉, 채권의 가격=부채의 가치

 

* r = Yield to Maturity(YTM) =required return

 

 

 

*주의

interest rate=PMT은 항상 annual terms 1년 주기

investors require =YTM 거의 대부분 1년 주기

하지만 compounding인 경우도 생각해야함

 

 

4. simple coupon formula:

 

 

5. Using finanical calculator 

Bond pricing equation requires us to use 5 components;

PV, FV, N, YTM, PMT

 

  PMT=coupon rate X face value 

N=number of periods untill maturity

FV(Future Value)=Face Value of Bond

I/Y=Yield to maturity

PV=Present Value or Price of bond

 

ex) Bonds usually pay interest semi-annually

-> 6개월인 경우 재무계산기로 계산할 때,

 

N X 2

r / 2

FV=1,000

PMT=1,000 X coupon rate / 2

하고 CPT-> PV

 

 

 

 

6. some terminologies

PV(price of bond) & par value 비교

or

coupon rate & discount rate(YTM) 비교

 

 

즉,

• bond price > $1,000 -> premium : coupon rate > YTM
• bond price < $1,000 -> discount : coupon rate < YTM
• bond price = $1,000 -> "par" : coupon rate = YTM

 

 

Yield and price

 

PV (bond price )> Interest rate (YTM):  premium bond

PV (bond price )< Interest rate (YTM): discount bond

price와 YTM 의 관계

YTM 이랑  Price Value 는 반비례

 

7. Interest Rate risk

YTM fluctuation-> bond price : the interest rate risk

longer maturity 만기가 길수록

lower coupon 표면이자율이 낮을수록

변동폭이 더 큼-> 위험 증가함

 

 

*priced ar par value인 경우

bond price = $1,000

coupon rate = YTM

이라는 뜻이므로 

 

bond price 나와있지 않아도 알아서 $1,000 대응하기

PMT=coupon rate X face value 계산하기