định giá trái phiếu

Chng trnh Ging dy Kinh t Fulbright
MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
Bi 7 & 8:
nh gi tri phiu
Phn tch Ti chnh
Hc k Xun
Nm 2012
c im chnh ca mt tri phiu

Tri phiu (bond) l mt chng khon k hn t 1 nm tr ln trong chng
nhn ngi vay n mt khon tin c xc nh c th cng vi cc iu khon
lin quan ti vic hon tr khon tin ny v li trong tng lai.
Thut ng lin quan ti tri phiu:
Nguyn Xun Thnh
T chc pht hnh
Issuer
T chc vay n
Tri ch
Bondholder
Nh u t/ngi nm gi tri phiu
Mnh gi, n gc
Face value, par

value, principal
Gi tr m bn pht hnh cam kt hon tr khi o

hn; Gi tr lm c s tnh li coupon
Li sut coupon
Coupon rate
Li sut m t chc pht hnh cam kt chi tr theo

nh k
Li coupon
Coupon
Li tr nh k tnh bng li sut coupon nhn vi

mnh gi
Ngy o hn
Maturity date
Ngy hon tr vn gc sau cng
K hn
Term to maturity
Thi gian t khi pht hnh cho n khi tri phiu

o hn
Gi (tr) tri phiu
Bond price (value)
Gi tr hin ti (PV) ca tri phiu
Li sut
n khi o hn
Yield to Maturity
(YTM)
Sut sinh li ni ti (IRR) nu mua tri phiu by

gi v gi cho ti khi o hn

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
Phn loi tri phiu

Tri phiu
chnh ph
Tri phiu
chnh
ph
Tri phiu do
chnh ph bo
lnh
Tri phiu
doanh nghip
Tri phiu
chnh quyn
a phng
Tri
phiu
thng
Tri phiu
kho bc
Tri phiu c
quyn chn i
km
Tri phiu
chuyn
i
Tri phiu
cng trnh
trung
ng
Tri phiu
c quyn
bn li
Tri phiu
c quyn
mua li
Tri phiu
u t
Tri phiu
ngoi t
Cng tri
xy dng
t quc
C+F
Tri phiu thng thng

v kiu hnh ngn lu
c im ca tri phiu:
Mnh gi tr phiu: F
...
n-1
Li sut nh k c nh
hng nm: c
K hn (nm): n
Tr li: k tr li l 1 ln/nm vo cui k

Tr n gc: tr 1 ln bng mnh gi tri phiu vo ngy o hn
Kiu hnh ngn lu trn quan im ca nh u t tri phiu

Ngn lu ra: s tin b ra mua tri phiu, tc l gi tri phiu (P)
Ngn lu vo:
Ngn lu li vay: C = cF (n ln)
Ngn lu n gc: F (1 ln)
Nguyn Xun Thnh

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
Ri ro khi u t vo tri phiu

Ri ro li sut
Gi tri phiu thay i khi li sut th trng thay i
Ri ro ti u t
Li nhun ca vic ti u t tin li t tri phiu s thay i khi li sut th

trng thay i
Ri ro tn dng
Kh nng t chc pht hnh tri phiu khng c kh nng tr li v/hay n

gc
Ri ro lm pht
Li nhun thc t u t tri phiu thay i khi t l lm pht thay i
Ri ro t gi
T gi hi oi thay i c th lm cho li nhun tnh bng ng tin chnh

ca nh u t thay i cho d li nhun tnh theo ng tin ca mnh gi
tri phiu khng i.
Ri ro thanh khon
Kh nng tri phiu c th c chuyn i thnh tin mt mt cch d

dng hay kh khn.
Ri ro thu
Li nhun sau thu t u t tri hpiu thay i khi thu sut nh vo li
nhun u t tri phiu thay i.
Xc sut mt kh nng tr n theo S&P (%)
CCC
Investment
Speculative
Nguyn Xun Thnh
AA+
35
Aa2
AA
50
Aa3
AA-
60
A1
A+
70
A2
80
A3
A-
85
Baa1
BBB+
100
Baa2
BBB
115
15
Baa3
BBB-
135
0,19
1,06
1,06
Ba1
BB+
200
0,02
0,28
0,91
1,02
Ba2
BB
250
2,29
Ba3
BB-
300
4,22
B1
B+
350
B2
400
AA
Aa1
10
AAA
BB
B ri ro
BBB
AAA
K hn
S&P
Aaa
0,05
0,18
0,14
0,42
0,58
1,69
1,76
3,72
0,9
2,97
9,28
15,08
16,77
4,72
9,86
19,66
25,51
26,39
19,09
0,07
3,75
26,21
0,18
7,59
39,25
0,77
16,03
42,96
2,01
21,72
42,96
2,39
22,95
B3
B-
450
Caa1
CCC+
600
Caa2
CCC
675
Caa3
CCC-
750
Investment Grade
nh gi ri ro tn dng ca tri phiu.

Aaa & AAA: An ton cao nht (prime)
Aa & AA: Cht lng cao (high quality)
A: Hng trung bnh cao (upper-medium grade)
Baa & BBB: Trung bnh (medium grade)
Thp hn: mang tnh u c
C: khng tr li
D: mt kh nng tr n (default)
Moodys
Speculative Grade
nh gi h s tn nhim
Credit rating
Poor

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
C+F
nh gi tri phiu
C
Li sut trn th trng

...
ca mt khon u t
0
1
2
3
n-1
n
cng ri ro v k hn
nh tri phiu l y.
Nh u t vo tri phiu
s yu cu tri phiu c
P
sut sinh li ti thiu l y
v l mc m h c c nu i u t trn th trng.
Ni mt cch khc, gi tri phiu s c nh mc bng vi gi
tr hin ti ca ngn lu tri phiu (gm li v n gc) tr trong
tng lai, vi sut chit khu bng y.
P
C
C
C
F
...
1 y (1 y ) 2
(1 y ) n (1 y ) n
1
1
1
F
C
...
2
n
1
y
(
1
y
)
(
1
y
)
(
1
y) n
V d 1a: nh gi tri phiu

lc pht hnh
Sut sinh li yu cu ca nh u
t cao hn 225 bps (2,25%) so
vi li sut tri phiu chnh ph
cng k hn.
Li sut tri phiu chnh ph k hn
5 nm vo 20/9/2007:
8%/nm.
Sut sinh li yu cu ca nh u t:
8% + 2,25% = 10,25%
C
1
F
1
n
y (1 y ) (1 y ) n
Tn
Tri phiu Vincom
Mnh gi
1 t VND
Li sut coupon
10,3%/nm
Tr li
1 ln mt nm (22/10)
Tr n gc
Mt ln khi o hn
Ngy pht hnh
22/10/2007
Ngy o hn
22/10/2012
Gi tr pht hnh
1.000 t VND
10,3+100
10,3
0
P
Gi tr tri phiu khi pht hnh:
10,3
10,3
10,3
10,3
10,3 100
PV
1 10, 25% (1 10, 25%)2 (1 10, 25%)3 (1 10, 25%)4 (1 10, 25%)5
PV
Nguyn Xun Thnh
10,3
1
100
1
100,188
10, 25% (1 10, 25%)5 (1 10, 25%)5
= 100,188% 1 t VND
= 1.001.880.000 VND

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
V d 1a: nh gi tri phiu bng Excel

Cng thc: = PRICE(ngy thanh ton, ngy o hn, li sut coupon,
sut chit khu, n gc, s ln tr li trong nm)
B
NH GI TRI PHIU
1
2
3
Nhp d liu
Ngy thanh ton
22/10/2007 C4=DATE(2007,10,22)
Ngy o hn
22/10/2012 C5=DATE(2012,10,22)
Li sut coupon hng nm
10.30%
Sut chit khu
10.25%
Tr n gc (% mnh gi)
S ln tr li trong nm
100
1
10
11
12 Kt qu
13 Gi (% mnh gi)
100.188 C13=PRICE(C4,C5,C6,C7,C8,C9)
V d 1b: nh gi tri phiu

vo ngy tr li
Vo na cui thng 10/2008, li
sut tri phiu chnh ph (k hn
3 nm) vo mc 15%/nm.
Mc b ri ro ca tri phiu
Vincom l 300 bps.
Vy, nh u t yu cu sut sinh
li 18%/nm khi u t vo tri
phiu.
Gi tri phiu Vincom m h sn
sng tr vo ngy 22/10/2008
bng:
PV
Nguyn Xun Thnh
Tri phiu Vincom
Mnh gi
1 t VND
Li sut coupon
10,3%/nm
Tr li
1 ln mt nm (22/10)
Tr n gc
Mt ln khi o hn
Ngy pht hnh
22/10/2007
Ngy o hn
22/10/2012
Gi tr pht hnh
1.000 t VND
10,3
10,3
10,3
10,3 100
1 18% (1 18%)2 (1 18%)3 (1 18%)4
PV
Tn
10,3+100
10,3
0
10,3
1
100
1
79, 287
18% (1 18%)4 (1 18%)4
= 792.870.000 VND

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
V d 1b: nh gi tri phiu bng Excel

Cng thc: = PRICE(ngy thanh ton, ngy o hn, li sut coupon,
sut chit khu, n gc, s ln tr li trong nm)
B
1
NH GI TRI PHIU
2
3
Nhp d liu
Ngy thanh ton
22/10/2008 C4=DATE(2008,10,22)
Ngy o hn
22/10/2012 C5=DATE(2012,10,22)
10.30%
Sut chit khu
18.00%
Tr n gc (% mnh gi)
S ln tr li trong nm
100
1
10
11
12 Kt qu
13 Gi (% mnh gi)
79.287 C13=PRICE(C4,C5,C6,C7,C8,C9)
Li sut n khi o hn
Trn th trng tri phiu, gi tri phiu c nim yt.
Cn c vo gi yt, mt nh u t s tnh sut sinh li trong
vng i cn li ca tri phiu.
Li sut n khi o hn (yield to maturity hay vit tt l YTM) l
sut chit khu sao cho gi tr hin ti ca cc khon chi tr ca
tri phiu bng ng vi gi ca n.
YTM thng c xem l thc sut sinh li bnh qun s
c hng nu mua tri phiu by gi v gi n cho n tn khi
o hn.
tnh li sut n khi o hn, ta gii phng trnh gi tri
phiu tm li sut n khi o hn trn c s bit gi tri
phiu.
P PV
C
C
C
F
...
2
n
1 y (1 y)
(1 y) (1 y) n
y chnh l li sut n khi o hn
Nguyn Xun Thnh

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
V d 2: Tnh li sut n khi o hn, YTM

Gi tri phiu ti thi im
pht hnh: 96.000 .
Tnh theo ngn lu:
P
C
C
CF
...
1 y (1 y) 2
(1 y) n
96
9
9
109
...
1 y (1 y) 2
(1 y)15
Tnh theo cng thc:
C
1
F
P 1
n
y (1 y ) (1 y ) n
96
TP4A4804
Mnh gi
100.000 VND
Li sut coupon
9%/nm
Tr li
1 ln mt nm (18/11)
Tr n gc
Mt ln khi o hn
Ngy pht hnh
18/11/2004
Ngy o hn
18/11/2019
Gi tr pht hnh
1.050 t VND
9
1
100
1
y (1 y )15 (1 y ) n
Gii phng trnh tm y, ta c: YTM = y = 9,511%
V d 2: Tnh YTM bng Excel

Cng thc: = YIELD(ngy thanh ton, ngy o hn, li sut coupon,
gi tri phiu, n gc, s ln tr li trong nm)
B
1
NH GI TRI PHIU
2
3
Nhp d liu
Ngy thanh ton
18/11/2004 C4=DATE(2004,11,18)
Ngy o hn
18/11/2019 C5=DATE(2019,11,18)
9.00%
Gi tri phiu
96.000
Tr n gc (% mnh gi)
S ln tr li trong nm
100
1
10
11
12 Kt qu
17 YTM
Nguyn Xun Thnh
9.511% C17=YIELD(C4,C5,C6,C7,C8,C9)

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
Mi quan h nghch bin gia gi tri phiu v YTM

250
Gi tri phiu
200
150
100
64.9
50
0
0%
9%
10%
5%
15%
Tn
Tri phiu chnh ph

TP4A4804
Mnh gi
100.000 VND
Li sut coupon
9%/nm
Tr li
1 ln/nm (18/11)
Tr n gc
Mt ln khi o hn
Ngy pht hnh
18/11/2004
Ngy o hn
18/11/2019
Gi tr pht hnh
1.050 t VND
20%
Li sut n khi o hn
Gi tri phiu v mnh gi tri phiu

Nu c = y th C = yF
P
C
1
F
yF
1
F
1
F
y (1 y) n (1 y) n
y (1 y) n (1 y) n
Nu li sut n khi o hn bng li sut nh k, th gi tri

phiu bng mnh gi.
y=cP=F
y>cP<F
y<cP>F
Nguyn Xun Thnh

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
Gi tri phiu nghch bin vi li sut th trng

Da vo cng thc nh gi tri phiu, ta bit rng P v YTM c
quan h nghch bin.
Nu nh u t b ra P u t vo tri phiu v gi cho n
khi o hn, th t sut li nhun m nh u t c hng
bng ng li sut n khi o hn, YTM.
Ni mt cch khc, nh u t s chp nhn gi P nu sut sinh
li yu cu ca h khi u t vo tri phiu bng YTM.
Sut sinh li yu cu ca nh u t ph thuc vo li sut trn
th trng:
Khi li sut th trng tng, nh u t yu cu sut sinh li cao
hn gi tri phiu gim
Khi li sut th trng gim, nh u t s yu cu sut sinh li
thp hn gi tri phiu tng
nh gi tri phiu ti thi im khng trng vi ngy tr li

C+F
Ngy nh gi nm
gia 2 thi im tr li
C
1
Thi im nh gi
n ln tr li k tip
cch nhau d ngy
...
n-1
Trc tin, nh gi ti thi im tr li k tip:
P1
P1 C
d ngy
C
C
C
F
...
1 y (1 y ) 2
(1 y ) n 1 (1 y ) n 1
C (1 y )
1
F
1
n
n 1
y
(1 y ) (1 y )
Chit khu gi tr P1 v hin ti vi khong thi gian l d ngy:

P
P1
1 y
d
365
1 y
d
365
C
C
C
F
C 1 y (1 y) 2 ... (1 y) n1 (1 y) n1
Ta cng c th dng cng thc sau y:
(Hai cng thc cho kt qu gn nh bng nhau)
Nguyn Xun Thnh
P1
d
1
y
365

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
V d 3: Tri phiu NHPTVN TP4A4804

Thng tin:
TP4A4804
Ngy 16/02/2009, li sut di hn trn

th trng l 9,8%/nm.
Ln tr li k tip: 18/11/09
S ngy t 16/02 n 18/11: 275
S ln tr li cho n khi o hn: 11
Mnh gi
100.000 VND
Li sut coupon
9%/nm
Tr li
1 ln mt nm
(18/11)
Ngy pht hnh
18/11/2004
Ngy o hn
18/11/2019
Gi tri phiu tnh th cng:
1 y
d
365
C
C
CF
C 1 y (1 y ) 2 ... (1 y ) n 1
1 9,8%
275
365
9
9
109
9 1 9,8% (1 9,8%) 2 ... (1 9,8%)10 96,965
V d 3: nh gi tri phiu bng Excel

B
1
NH GI TRI PHIU
2
3
Nhp d liu
Ngy thanh ton
16/02/2009 C4=DATE(2009,02,16)
Ngy o hn
18/11/2019 C5=DATE(2019,11,18)
9.00%
Sut chit khu
9.80%
Tr n gc (% mnh gi)
S ln tr li trong nm
100
1
10
11
12 Kt qu
13 Gi (% mnh gi)
Nguyn Xun Thnh
94.746 C13=PRICE(C4,C5,C6,C7,C8,C9)
10

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
Gi tri phiu tnh th cng v gi tnh bng Excel

So snh hai cch tnh:
Gi tri phiu tnh th cng:
P = 96,965
Gi tri phiu tnh bng Excel:
P = 94,746
Gi tri phiu tnh th cng phn nh ng nguyn tc chit khu

ngn lu v do vy l gi thanh ton thc s.
Kt qu ca Excel khng phi l gi thanh ton thc s m l gi
yt trn sn giao dch. Quy c trn hu ht cc sn giao dch tri
hiu l gi yt khng bao gm khon li tch t k t ln tr li
trc cho n ngy giao dch.
iu chnh gi
tnh bng Excel
S ngy ngi
bn nm gi TP
90 ngy
18/11/08
Ln tr li
trc
16/02/09
Ngy thanh
ton hay ngy
nh gi
S ngy ngi
mua nm gi TP
275 ngy
18/11/09
Ln tr li
k tip
Ngi mua l ngi hng trn vn khon li k tip (vo ngy

18/11/09).
Tuy nhin, trong 365 ngy ca k tnh li t 18/11/08 n
18/11/09, ngi mua ch nm gi tri phiu trong 275 ngy, nn
ch xng ng c hng mt phn ca khon li trong k.
Cng trong k tnh li , ngi bn nm gi tri phiu 90 ngy,
nhng khng h c hng khon li no.
Cng thc PRICE trong Excel cho kt qu l gi yt. Gi yt khng
bao gm khon li tch t m l ra ngi bn phi c hng
Gi yt c gi l gi sch (clean price) hay gi phng (flat price).
tnh gi thanh ton trn thc t, ta phi cng thm khon li
tch t vo gi yt.
Nguyn Xun Thnh
11

MPP4, 2011-2013
Phn tch ti chnh
S ngy ngi
bn nm gi TP
90 ngy
Li tch t
Li tch t (accrued
interest) l khon li m
ngi bn tri phiu phi
c hng do gi
tri phiu k t ln tr
li trc cho n ngy
thanh ton.
18/11/08
Ln tr li
trc
Bi 7 & 8: Tri phiu
S ngy ngi
mua nm gi TP
275 ngy
16/02/09
Ngy thanh
ton hay ngy
nh gi
Li thuc ngi bn =
9*(90/365) = 2,219
18/11/09
Ln tr li
k tip
Li thuc ngi mua =
9*(275/365) =6,781
(Li trong k = 9%*100 = 9)
Lai tich tu Lai trong ky
So ngay ke tu lan tra lai truoc

So ngay giua hai lan tra lai
V d 3:
Li tch t = 9*(90/365) = 2,219
V li tch t l khon m ngi bn c hng, nn bn cnh vic
ch tr gi yt (tc l gi theo nh cng thc PRICE ca Excel),
ngi mua cn phi tr thm cho ngi bn mt khon bng vi li
tch t.
Gi thanh ton ca tri phiu = Gi yt + Li tch t
V d 3:
Gi thanh ton = 94,746 + 2,219 = 96,965
V d 3: nh gi tri phiu bng Excel

B
1
NH GI TRI PHIU
2
3
Nhp d liu
Ngy thanh ton
16/02/2009 C4=DATE(2009,02,16)
Ngy o hn
18/11/2019 C5=DATE(2019,11,18)
9.00%
Sut chit khu
9.80%
Tr n gc (% mnh gi)
S ln tr li trong nm
10
C s tnh ngy
100
11
Nguyn Xun Thnh
12
Kt qu
13
Gi yt (% mnh gi)
14
S ngy k t ln tr li trc
15
S ngy trong k tr li
16
Li tch t
17
Gi thanh ton (% mnh gi)
94.746 C13=PRICE(C4,C5,C6,C7,C8,C9,C10)
90 C14=COUPDAYBS(C4,C5,C9,C10)
365 C15=COUPDAYS(C4,C5,C9,C10)
2.219 C16=(C14/C15)*C6*C8/C9
96.965 C17=C13+C16
12

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
V d 4: Tnh li sut n khi o hn

Thng tin
Gi giao dch 25/10/07: 103.700 VND

S ngy t 25/10 n 18/11: 24
S ln tr li cho n khi o hn: 13
YTM tnh th cng:

P
1 y
103, 7
d
365
TP4A4804
Mnh gi
100.000 VND
Li sut coupon
9%/nm
Tr li
1 ln mt nm
(18/11)
Ngy pht hnh
18/11/2004
Ngy o hn
18/11/2019
C
C
CF
C 1 y (1 y ) 2 ... (1 y) n 1
1 y
24
365
9
9
109
9 1 y (1 y ) 2 ... (1 y)12
Gii phng trnh bng php th hay

dng goal seek trong Excel:
YTM = y = 9,674%

B
1
NH GI TRI PHIU
2
3
Nhp d liu
Ngy thanh ton
25/10/2007 C4=DATE(2007,10,25)
Ngy o hn
18/11/2019 C5=DATE(2019,11,18)
9.00%
Gi yt (% mnh gi)
95.292 C7=C13-C16
Tr n gc (% mnh gi)
S ln tr li trong nm
10
C s tnh ngy
100
11
Nguyn Xun Thnh
12
Kt qu
13
Gi phng (% mnh gi)
14
15
S ngy trong k tr li
16
Li tch t
17
YTM
103.700
8.408 C16=(C14/C15)*C6*C8/C9
9.674% C17=YIELD(C4,C5,C6,C7,C8,C9,C10)
13

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
Giao dch khng hng li

Cc s giao dch tri phiu thng quy nh ngy ng
k cui cng hng li tri phiu khi gn ti ngy tr
li coupon. Ti S giao dch chng khon H Ni
(HNX), ngy ng k cui cng c xc nh trc
ngy tr li 14 ngy.
Khi tri phiu c giao dch trc ngy ng k cui
cng (trng hp thng thng), th ngi mua c
hng li trong ln tr li k tip.
Khi tri phiu c giao dch t ngy ng k cui
cng tr i cho n trc ln tr li k tip (gi l giao
dch ex-interest), th ngi bn vn c hng li
trong ln tr li k tip. i vi giao dch ny:
Gi thanh ton = Gi yt Li tch t
Tri phiu tr li bn nin

Trong khi tri phiu ni
a Vit Nam thng
tr li thng nin (1
ln trong nm), tri
phiu nc ngoi (k
c tri phiu quc t
ca Vit Nam) thng
tr li bn nin (2 ln
trong nm)
V d: li sut mnh
gi 1 triu VND, tr li
bn nin vi li sut
8%/nm.
Li tr bn nin:
1.000.000 8%/2
= 40.000 VND
Nguyn Xun Thnh
P
P
C/2+F
C/2 C/2
C/2
C/2
...
2n-1
2n
Thi im nh gi trng vi ngy tr li

Li tr bn nin: C/2
S ln tr li: 2*n
C/2
C/2
C/2
F
...
2n
2n
y y 2
y
y
1
1
2 2
2
2
C
1
F
P 1
y y 2n y 2n
1 1
2 2
14

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
V d 5: Tri phiu quc t ca Vit Nam

Ngy tnh YTM: 15/1/06, ngay sau
khi tr li ln u tin
Gi yt: P = 103,625
S ln tr li n khi o hn: 20
Li tr coupon:
C/2 = 6,875%*100/2 = 3,4375
C
1
F
P 1
2n
2n
y
y
y
1

2 2
6,875
1
100
103,625
1
y y 20 y 20
1 1
2 2
T chc pht hnh
Chnh Ph Vit Nam
Tn tri phiu
Tri phiu Vit Nam
Li sut coupon
6,875%
Tr li
2 ln/1 nm, 15/1 v 15/7
Tr n gc
1 ln vo ngy o hn
Ngy pht hnh
27/10/2005
Ngy o hn
15/1/2016
Tin
USD
Gi tr pht hnh
750 triu -la
YTM = 6,379%
Li sut TPCP Hoa K cng k hn
ngy 16/1/06 l 4,340%
Mc b ri ro quc gia ca Vit Nam =
Chnh lch li sut = 2,039%

B
1
NH GI TRI PHIU
2
3
Nhp d liu
Ngy thanh ton
15/01/2006 C4=DATE(2006,01,15)
Ngy o hn
15/01/2016 C5=DATE(2016,01,15)
6.875%
Gi yt (% mnh gi)
103.625
Tr n gc (% mnh gi)
S ln tr li trong nm
10
C s tnh ngy
100
11
Nguyn Xun Thnh
12
Kt qu
13
14
15
S ngy trong k tr li
16
Li tch t
17
YTM
103.625
0.000 C16=(C14/C15)*C6*C8/C9
6.379% C17=YIELD(C4,C5,C6,C7,C8,C9,C10)
15

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
Tri phiu tr li bn nin gia 2 thi im tr li

C/2+F
Ngy nh gi nm
gia 2 thi im tr li C/2
C/2
C/2
...
2n-1
2n
Trc tin, nh gi ti thi im tr li k tip:
P1
P1 C / 2
d ngy
m ngy
C/2
C/2
C /2 F
...
1 y / 2 (1 y / 2) 2
(1 y / 2) 2 n 1
C (1 y / 2)
1
F
1 (1 y / 2) 2 n (1 y / 2) 2 n 1
y
Chit khu gi tr P1 v hin ti vi khong thi gian l d ngy:

P
P1
1 y / 2
1
d
1 y / 2 m
d
m
1 y / 2
d
m
C/2
C/2
C/2 F
C / 2 1 y / 2 (1 y / 2) 2 ... (1 y / 2) 2 n 1
C (1 y / 2)
1
F
1
2n
2 n 1
y
(1 y / 2) (1 y / 2)

Ngy tnh YTM: 5/10/07
Gi yt: P = 105
Gi thanh ton: Pd = 106,528
S ngy t 5/10/07-15/1/08: 100
S ln tr li n khi o hn: 17
Li tr coupon:
C/2 = 6,875%*100/2 = 3,4375
P
106,528
1 y / 2
1
1 y / 2
100
180
d
m
Tn tri phiu
Tri phiu Vit Nam
Li sut coupon
6,875%
Tr li
2 ln/1 nm, 15/1 v 15/7
Tr n gc
1 ln vo ngy o hn
Ngy pht hnh
27/10/2005
Ngy o hn
15/1/2016
Tin
USD
C (1 y / 2)
1
F
1
2n
2 n 1
y
(1 y / 2) (1 y / 2)
6,875(1 y / 2)
1
100
1 (1 y / 2)17 (1 y / 2)16
y
YTM = 6,095%
Quy c tnh ngy:

30/360E
Nguyn Xun Thnh
16

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu

Ngy tnh YTM: 5/10/07
Ln tr li trc y: 15/7/07
Gi yt: 105
S ngy t 5/10/07-15/1/08: 100
S ngy t 15/7/07-5/10/07: 80
Li tch t Accrued Interest
Tri phiu quc t VN c giao dch trn th trng tri phiu th cp quc t, trong
gi thanh ton cng bng gi yt cng li tch t. C th, khi ngy mua bn nm
gia 2 ln tr li th gi nim yt trn th trng ca tri phiu quc t Vit Nam
khng phi l gi thc t thanh ton gia ngi mua v ngi bn. Ngi mua tri
phiu c nhn li trong k tr li gn nht. Nhng ngi bn v nguyn tc phi
c hng li sut trong thi gian tnh t k tr li trc n ngy bn tri phiu.
Do vy, ngi mua tri phiu s tr cho ngi bn khon li pht sinh t k tr li
trc n ngy bn tri phiu gi l li tch t.
80 ngy
15/7/07
100 ngy
5/10/07
Quy c tnh ngy:

15/1/08
30/360E
Li pht sinh trong 180 ngy (15/7/07-15/1/08): 3,4375 USD

Ngi bn phi c hng khon li tch t trong 80 ngy (15/7/07-5/10/07)
Ngi mua c nhn li vo 15/1/08, nhng phi hon tr khon li tch t cho ngi bn.
Li tch t = AI = 3,4375*(80/180) = 1,528 USD
Gi thc t thanh ton = Gi yt + Li tch t = 105,000 + 1,528 = 106,528 USD

B
1
NH GI TRI PHIU
2
3
Nhp d liu
Ngy thanh ton
05/10/2007 C4=DATE(2007,10,05)
Ngy o hn
15/01/2016 C5=DATE(2016,01,15)
Li sut hng nm
Gi yt (% mnh gi)
105
Tr n gc (% mnh gi)
100
S ln tr li trong nm
10
C s tnh ngy
6.875%
11
Nguyn Xun Thnh
12
Kt qu
13
14
15
S ngy trong k tr li
16
Li tch t
17
106.528 C13=C7+C16
1.528 C16=(C14/C15)*C6*C8/C9
6.095% C17=YIELD(C4,C5,C6,C7,C8,C9,C10)
17

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
Cc loi ngn lu ca tri phiu

Tri phiu thng thng
Li tr nh k c nh
N gc bng mnh gi tr mt ln khi o hn
Tri phiu c ngn lu c bit

Lch tr n gc c th
Li tr c th
Lch tr n gc
Tr mt ln khi o hn (bullet payment)
Tr u hng k
n hn tr n gc trong mt s nm u, ri tr u hng k cho
ti khi o hn
Tr u hng k tr mt s nm cui phi tr theo mc ln hn.
Nguyn Xun Thnh
18

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
Hnh thc tr li
Li tr c nh hng k (fixed coupon):
Li sut c nh theo t l % mnh gi
Khng tr li (zero-coupon bond):

Ch tr vn gc khi o hn. Tri phiu c bn mc chit khu
so vi mnh gi.
n hn tr li trong nhng nm u (deferred coupon)

Li sut bc thang (step-up coupon):
Li sut c nh trong mt s nm u sau tng dn cho n khi
o hn.
Li tr theo li sut th ni (floating rate):

Li sut tham chiu + chnh lch
V d 7: Vietnam Discount Bond
Nguyn Xun Thnh
T chc pht hnh:
Chnh ph Vit Nam
Li sut:
Libor 6 thng + 81,25 im c bn
Phng thc tr li:
Hai ln mt nm (vo 12/9 v 12/3).
Tr n gc:
Mt ln khi o hn
Ngy o hn:
12/3/2028
Ngy pht hnh:
12/3/1998
Bo m n gc:
100% n gc c bo m bng tri phiu kho bc Hoa K

khng tr li
Bo m li:
Bo m tin li cun chiu bng cch k qu tin li phi tr

cho 18 thng
Gi tr pht hnh:
25,8 triu USD
Tin t:
-la M (USD)
19

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
V d 8: Vietnam Par Bond

T chc pht hnh:
Chnh ph Vit Nam
Li sut:
Tng dn t mc c nh 3%/nm
3/98 9/99: 3,00%;
3/00 9/01: 3,25%;
3/02 9/03: 3,50%;
3/04 9/06: 3,75%;
3/07 9/17: 4,00%;
3/18 o hn: 5,50%.
Phng thc tr li:
Tr n gc:
30 ln bng nhau (2 ln/nm), mi ln bng 1,667% mnh gi

t 12/3/2013 n 12/9/2027, v 50% mnh gi vo 12/3/2028.
Ngy o hn:
12/3/2028
Ngy pht hnh:
12/3/1998
Bo m n gc:
50% n gc bo m bng TPKB Hoa K khng tr li
Bo m li:
Cun chiu bng cch k qu tin li phi tr cho 18 thng
Gi tr pht hnh:
238,9 triu USD
Tin t:
-la M (USD)
V d 9: Vietnam Par Bond
Nguyn Xun Thnh
T chc pht hnh:
Chnh ph Vit Nam
Li sut:
3/98 9/99: 3,00%;
3/00 9/01: 3,25%;
3/02 9/03: 3,50%;
3/04 9/06: 3,75%;
3/07 9/17: 4,00%;
3/18 o hn: 5,50%.
Phng thc tr li:
Tr n gc:
30 ln bng nhau (2 ln/nm), mi ln bng 1,667% mnh gi

t 12/3/2013 n 12/9/2027, v 50% mnh gi vo 12/3/2028.
Ngy o hn:
12/3/2028
Ngy pht hnh:
12/3/1998
Bo m n gc:
50% n gc bo m bng TPKB Hoa K khng tr li
Bo m li:
Cun chiu bng cch k qu tin li phi tr cho 18 thng
Gi tr pht hnh:
238,9 triu USD
Tin t:
-la M (USD)
20

MPP4, 2011-2013
Phn tch ti chnh
Bi 7 & 8: Tri phiu
V d 10: Vietnam Past Due Interest Bond
Nguyn Xun Thnh
T chc pht hnh:
Chnh ph Vit Nam
Li sut:
3/98 9/98: 3,00%;
3/99 9/99: 3,50%;
3/00 9/00: 3,75%;
3/01 9/04: 4,00%;
3/05 o hn: Libor 6 thng + 81,25 im c bn
Phng thc tr li:
Tr n gc:
23 ln bng nhau (2 ln 1 nm) vi gi tr bng 4,3478% mnh

gi t 12/3/2005 n 12/3/2016.
Ngy o hn:
12/3/2016
Ngy pht hnh:
12/3/1998
Bo m n gc:
Khng c
Bo m li:
Khng c
Gi tr pht hnh:
294,8 triu USD
Tin t:
-la M (USD)
21

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Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh

Bi 7 & 8: Tri phiu

c im chnh ca mt tri phiu

Nguyn Xun Thnh

T chc pht hnh

Nh u t/ngi nm gi tri phiu

Face value, par

Gi tr m bn pht hnh cam kt hon tr khi o

Li sut m t chc pht hnh cam kt chi tr theo

Li tr nh k tnh bng li sut coupon nhn vi

Ngy hon tr vn gc sau cng

Thi gian t khi pht hnh cho n khi tri phiu

Gi (tr) tri phiu

Bond price (value)

Gi tr hin ti (PV) ca tri phiu

Sut sinh li ni ti (IRR) nu mua tri phiu by

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh

Bi 7 & 8: Tri phiu

Phn loi tri phiu

Tri phiu thng thng

Tr li: k tr li l 1 ln/nm vo cui k

Kiu hnh ngn lu trn quan im ca nh u t tri phiu

Nguyn Xun Thnh

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh

Bi 7 & 8: Tri phiu

Ri ro khi u t vo tri phiu

Gi tri phiu thay i khi li sut th trng thay i

Li nhun ca vic ti u t tin li t tri phiu s thay i khi li sut th

Kh nng t chc pht hnh tri phiu khng c kh nng tr li v/hay n

Li nhun thc t u t tri phiu thay i khi t l lm pht thay i

T gi hi oi thay i c th lm cho li nhun tnh bng ng tin chnh

Kh nng tri phiu c th c chuyn i thnh tin mt mt cch d

Xc sut mt kh nng tr n theo S&P (%)

Nguyn Xun Thnh

nh gi ri ro tn dng ca tri phiu.

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh

Bi 7 & 8: Tri phiu

Li sut trn th trng

V d 1a: nh gi tri phiu

Tri phiu Vincom

Ngy pht hnh

Nguyn Xun Thnh

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh

Bi 7 & 8: Tri phiu

V d 1a: nh gi tri phiu bng Excel

Ngy thanh ton

Li sut coupon hng nm

Sut chit khu

V d 1b: nh gi tri phiu

Nguyn Xun Thnh

Tri phiu Vincom

Ngy pht hnh

1 18% (1 18%)2 (1 18%)3 (1 18%)4

Chng trnh Ging dy Kinh t Fulbright

Phn tch ti chnh

Bi 7 & 8: Tri phiu

V d 1b: nh gi tri phiu bng Excel

Ngy thanh ton

Li sut coupon hng nm