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Аналіз банківської діяльності - Gerasimovich А.М.
6.7. Analіiz дохідності операцій із цінними паперами
For portivnya ta otsinki Aktsіy, scho wrapped around the market і є об'єктом інвестицій, використовуть a number of showers, the essence of such is imposed lower.
Dokhid at rozraunku for one simple acceyu acquainted weary with a demonstrator of EPS (earning per share) , which is to be cleared for a one-time cleaning (in the case, in the statutory fund of the capital при privilejovanі acіії, слід зменшити суму прибутку, яка розподіляється, на суму виплат за Privlejonovaniem certificates).
Poєdnannya sub'єktivnih ochіkuvan bagatoh іnvestorіv formuє rinkovy popit on aktsії, unaslіdok chogo mozhna viznachiti spіvvіdnoshennya mіzh їh rinkovoyu tsіnoyu that rіchnim income per aktsіyu (price to earning ratio, P / E), yak Yea viznachalnim for Poshuk nedootsіnenih aktsіy i viznachaєtsya spіvvіdnoshennyam rinkovoї tsіni Акції to the її display EPS.
Krim tsikh dvuh otzaznikіv, for vasosnikv sutstvim є pokaznik divіendnogo pokrittya (dividend cover, DC) , yake viznachaetsya spivvidnoshennyam EPS to sumi diviendu for one simple act.
For otsіnki efektivnostі fіnansovih іnvestitsіy vikoristovuyut ponyattya dohіdnostі іnvestitsіy (simple rate of return, SRR; probability of investments), yaky Yea i forgive dosit to vikoristovuєtsya common for otsіnki dіyalnostі:
De NP - clean the surplus for a short time interval;
TIC - investment vithraty (deposit) for an interval of one hour.
Portivnichi Tsei ostentatnik іz planovanim рівнем дохідності, інвестор має можливість зробити висновок, чи справдились його очікування щодо інвестування.
Nedolikom ts'ogo pokaznika є te, scho vin not vrahovu vartostyi groscha u chasi, and takozh hour vikinnennya grooshovih streami ta їh
Uzgorodism.
Sered borovovyh zobov'jan, scho perebuyvat in obyga, naybіlsh znachnu grupu zaprodajayut CP, scho dayut fixovyh pributok (fixed income securities) . By the butts of the sub-central authorities є obligacii, the deposit of certificates and the activities of the people who see the zobov'azan. Prior to any kind of market shares, you can add and receive the preferred shares , but after them regularly make payments for dividends.
Yak rule, be-a kind of burgovy cp maє so basic characteristics: nominal value (par value, face value) , coupon rate , coupon rate , date of issue , date of maturity , sum of repayment ( Redemption value) . Nayvazhlivіshu role in analizі tsіnnih papperіv vіdіgrayut date and tsіna їh pridbanya, and takozh serdnaya trivalal payment (duration) .
Nominal vartism is a sum of sum, it is put on the form of the CPU, or in the vipus. Pіd the hour of extinguishment of the bargaining center of the clerks is turned up yogo nominal vart tast, as a rule, the percentage of prehid is rallied. However, the net price of the exchange can not be withdrawn from the nominal and can be stored in the situation on the market. Yaksho tsina, is paid for the CP, the bottom of the nominee, say, is sold out as a discount bond , and vice versa for the premium bond .
The coupon rate is pributkovosty - a percentage rate, for the alleged vlasniki obligacii viplachuyutsya periodichny pributok. Відповідно сума періодичного прибутку дорівнює добутку coupon rate on the nominal rate of the obligastі and payable for the cutaneous coupon period (time for the рік, піввіччя або квартал).
The date of redemption is the date the visa is issued by the issuer of the money (as a rule, after the nominee). The date of repayment is to be paid in the vipusku obligacii. At the practical level, the important role is played by the maturity period of the obligacies, and the date of the settlement date .
For korotkostrokovyh borghoviks, the CPU ix rozmischennya often zdіysnyuetsya for tsinoyu, sho menshe їх nomіnalnosti vartosty, and redemption - for nominolnoy vartіstyu. At tsiomu razi TsP in the market will be sold at a discount. Norm pributkovosty, yaku otrimaє іnvestor, lie in the rіznitsі між ціною купівлі - Р і nomіnalnoyu vartіstyu N (tsіnoy zapushennia). Оскільки номінал облігації відомий (for example, you can take 100%), for viznachennya pributkovosty operatsi to inform the nobility of the two values - the price of the purchase P (the course K) on the date of the operation and the term to maturity in days - t.
Розрахунок ціни придбання P discount rates for loans to урахуванням forgive percentages for rіchnymu rate Y (for a certain moment until the date of extinguishment, in the primary secondary market):
De t - the number of days before discharge;
Y is the national interest rate;
N - nominal;
В - hourly base (360 for zvichainih, 365 abbreviation 366 for exact percentages).
Приклад 9. Яку ціну готовий заплатити інвестор за дисконтну облаігацію з номіналом у 1000,00 грн і погашенням через 90 днів, якщо бажана norm прибутковості 12% річних?
P = 1000 / (1 + 0.12 • 90/365) = 971.2 UAH.
Otzhe, protsessy otsinki vartostі diskontnoy oblogatії polegay u viznachennyi suhasnoi magnitude of the elementary element to the flow of payments for the formula of the forgiven percentages vyhodachi y neobhidnoy normi pributkovosty (rinkovoy betting) Y.
Тоді курсова вартість (rate) дисконтної облаігації at any time, hour is calculated for the formula:
De t - the number of days before redemption at the date of the assessment;
Y is the national interest rate;
В - hourly base (trivalvost calendar calendar - 360 abac 365/366 dniv).
Rate of interest borgovogo zobov'yazannya s viplatoyu protsentіv at the time of repayment dorіvnyuє potochnіy vartostі maybutnіh potokіv platezhіv, rozrahovanіy of simple interest, yak zabezpechuє otrimannya neobhіdnoї normalized pributkovostі (pributkovіst to maturity). In the case of losses accumulated at the time of the performance of the operation, the income S, the number of P1, and the amount of the required amount of Yp, can be identified as such:
De t is the number of days before discharge.
At Y = r, the rhinocity of the zobovian at the time of the wake-up is equal to the nominal (toto P1 = N). At Y> r, the P1 <N, i borgoi CP will be biodegrated with a discount, and in the course of the course Y <r - with the premiere (tobto P1> N). Key infrastructure Oskіlki oblіgatsіy peredbachaє reєstratsіyu minds їh Key infrastructure іz zazdalegіd announced dohіdnіstyu on praktitsі traplyayutsya vipadki often, if at zv'yazku Zi zmіnami to date realіzatsії oblіgatsіy normalized pributkovostі, yakoї vimagayut іnvestori, protsentnі oblіgatsії navіt in vipadku Pervin rozmіschennya rozmіschuyutsya not for nomіnalnoyu vartіstyu, But with a discount (yakshto vimagayetsya vishcha dohіdnіst vіd ogoloshenoї) аbout the premiere (yakshоo investorіya zadovolnyayutsya дохідністю, нижкою від оголошеноїї).
At the date, but do not zbіgaєtsya datoyu pothar rozmіschennya, rinkovu vartіst borgo tsentralnoy CP uryahuvannamam accumulated income mozhe vidhilyatisya vіd nomіnalnoy vartostі. Подібні відхилення on the date of operation, quotations are entered in percentages prior to the nominal price of the CPU. With the money, the rate of income for the zobovans is outgassed. Kursov vartizhest 'K borgozogo zobov' zazannya viznachaetsya at yum yak:
De t - the number of days before redemption;
N is the nominal value;
S is the absolute value of income, accumulated up to the date of the previous operation.
Oskilki value S can be connected with the following:
De t1 - kіlkіst днів vід moment vipusku up to the date of operation, rnkova vartіst r1 of the borough Cp mozhe bouti takozh vyzachena yak suma nominalnogo vartostі CPU N ta accumulated interest income S:
Розрахунок дохідності короткострокових облігацій, yakі rozmіschuyutsya z discount, zdіysnyuyatsya for the formula pity percent. In tsiomu vypadku the formula for viznachennya pributkovostі short-rowed zobov'yazanya mozhe mati such viglyad:
De t - the number of days before discharge;
Р1 - price of purchase;
N - nominal;
K - coursework vartist;
В - hourly base (360 - for zvichaynih, 365 abo 366 - for exact percent).
Приклад 10. Короткострокові державні облаігації з терміном погашення 90 днів було придбано за ціною 98,22% від номінальної вартості. Viznachit pributkovist operation for the investor:
A) to vicarities of zuchaynih percent;
B) the exact values of the vicarities.
A) Y = (100 - 98.22) / 98.22 • 360/90 = 0.0725, abo 7.25% of the richest;
B) Y = (100 - 98.22) / 98.22 • 365/90 = 0.07349, or 7.35% of the richest.
Zauvazhimo, scho rozrahovany for the formula forgive percentyov pokazniki mait, yak mininimum, two nedoliki:
- Їх it is not possible використати for порівняння ефективності spent ккрокострокових operation in the other kinds of investments, at that number - догогостроковими;
- Stink not vrahovuyot mozhnostystі non-diversified reinvestuvannya otrimanyh pributkiv in the course of rock for the active types krestokostrokovyh zobov'azan (napriklad deposit certificates nbu, three-six six-monthly PODS tochno).
For podolannya vkazaneh obmezhen vikoristovuyot bilsh universal shade - efektivna pributkovist (pripuschennya about bagatorezove reinvestuvannya bilsh korektno vrahovuyu proroshchenya formula for folding interest).
In the case of zyzem for the rosraunku pributkovosty short-rowed craws, the body of Mozhobi is such that the formula of yield-maturity (YTM) :
De t - the number of days before discharge;
Р1 - price of purchase;
N - nominal;
В - hourly base (360 - for zvichaynih, 365 abo 366 - for exact percent).
For butt 10 rosraunok pributkovosty YTM for short-stemmed zobov'yanya for exact percentages is the result:
YTM = (100 / 98.22) 365/90 - 1 = 0.075, or 7.5% of the richest.
Розрахункові дані schodo pributkovoostі for the various methods of calculating the amount to be paid for the port in Table. 6.10.
Table 6.10
PORIVYANNYA PRIBUTKOVOSTI INVESTITSIY U CP
FOR PROSTIMUS (zvichaynimi that exact) I FOLDING PERCENTAGE
Прості проценти |
Кількість днів On the ric |
Termin Obogu Облігацій, днів |
Price Придбання, грн |
Дохід при погашенні, грн |
Pributkovist for the investor,% |
Zvichaini percenty |
360 |
90 |
98.22 |
1.78 |
7.25 |
Precision Percent |
365 |
90 |
98.22 |
1.78 |
7.35 |
Складні проценти |
365 |
90 |
98.22 |
1.78 |
7.50 |
Yak Wisnowski, zauvazhimo, scho hocha diskontuvannya for the formula of folding percentages is carried out, as a rule, for those who are happy with the construction of investments, YTM showers, kotriy vysnachaetsya for the formula of folding percentages, may be foreclosures for working hours, to be carried out with local paupers, yakі mayut rіznі termіni Repayment (in the number and short-row). Але оскільки для різних боргових ЦП періодичність нарахування проценів (фити доход) може суттєво відізнятися, YTM showers will be unreachable. In the case of a bankruptcy, it is efficient to ref bet :
De n - the nominal interest rate;
K - кількість нарахувань проценних доходів за рік.
Yaksho short-stalk bezuponnina oblіgatsіya kupuyutsya z metoi podal'shoї realizatsii (tobto for conducting arbitrazhnih operations), її прибутковість визначається цінами і тмтінами купівлі-sale:
At tsiomu vipadku at the time of t2 dniv before redemption of the price of resale P2, sho ozbezpechuyu otrymnya neobhidnoy normi pributkovosty Y, viznachaetsya z sopivvidnoshennya:
De P1 - purchase price;
T1 - number of days before redemption at the time of purchase;
T2 - the number of days before redemption at the time of resale.
Розглянемо питання визначення дохідності за проценщими борговими цінними паперми, які розміщ заться за nomінальною варістю, а підтити виплачуться в момента погашення. Until the whole form of money, pay attention to, as a rule, deposit accounts (short-term deposits), short-term loans, and such loans to narkahuvannya percent. For the sake of simplicity, the pributkovist tilki for deposit certificates has been increased in detail.
Дохід за сертифікатом виплачується at the time of repayment at the same time with the main sum of the borgo, you vyhodachi z obmovlenoi with rozmіschennіi certificate of interest rate r.
In the hurricane introductions of the early acquaintances, the absolute rozmir income for the certificate S can be as follows:
De N - nominal;
R - the interest rate for the certificate;
T - term until the date of extinguishment in days;
В - hourly base (360 - for zvichaynih, 365 abo 366 - for exact відсотків).
Відповідно річна прибутковість до погашення Y, it is calculated for the formula forgive відсотків, буде дорівнювати:
W tsogo viplivaє, scho if zobov'yazannya rozmіschene for nomіnalom i pred'yavlene to maturity at viznacheny termіn, yogo Bude pributkovіst rіvna ogoloshenіy stavtsі protsentіv (tobto Y = r).
Yakscho sertifіkat prodaєtsya (kupuєtsya) mіzh dates Key infrastructure i repayment, the absolute value of S pributku bude rozpodіlena mіzh pokuptsem i vіdpovіdno owner to rinkovoї rate (rate pributkovostі pokuptsya) Y for analogіchnimi CPU at the time of Danian hour i proportsіyna termіnu volodіnnya CPU cutaneous Zi storіn. Partial pributku, nalezhna buktytsev (S2) for the term t2, scho zalishivsya to the date of extinction, dorivnyuatime:
De t2 is the number of days from the moment of purchase until the date of the redemption of the certificate.
For example, the vendor otrimay value value S1:
S1 = S-S2.
Zaznacheni spіvvidnoshennya vidobrazhayut situatsiyu rivnivagi na rinku (tobto "fair" rozpodilu income up to the betting rate Y and proportional terminu volodnnya CPU kozhnoy zі storin). Bud-yake vidhilennya in the chi інший бік спричинить перерозподіл доход на користь одного з учасників операції. Unwantedly, when r <Y accumulations, the seller's sales surplus will be lowered for assignments for the vouchers.
Boundary value of the Rink bet Y, for the anchor vendor of the CPU, everything is taken away from the pributok, it is guilty zadovolnyati nervivnosti:
De r - the rate for the certificate;
Y is the stake;
T1 - number of days before redemption at the time of purchase;
T2 - the number of days before redemption at the time of resale.
In the case of pributkovіst operatsії for sellers bude дорівнювати:
.
Applied 11. The package of discounted loans with a regular number of UAH 500,000.00, the price for some of the secondary market is to be indicated by interest-rate interest rates, bought for 6 months before redemption, and sold for 3 months prior to redemption. Interest rates stored 40 і 30% відповідно. For an estimated price of the operation of the sale of a package of regional securities? Який дохід та дохідність цієї операції?
The price of the purchase was 500 000,00 • (1 - 0,50 • 0,4) = 400 000,00 UAH.
The price for the sale is 500,000.00 • (1 - 0,25 • 0,3) = 462,500.00 UAH, the tobto for the 1/4 of the rostock of the warehouses is 62 500,00 UAH, the commissioned amount is 62 500,00 / 400 000.00 / (1/4) • 100% = 62.5% of the richest.
Yakby interest rates did not fall, but, navpak, zrostali (napriklad, 30 to 40% per tse same period), then:
The price of the purchase was 500 000.00 • (1 - 0.50 • 0.3) = 425 000.00 UAH;
Selling price 500 000,00 • (1 - 0,25 • 0,4) = 450 000,00 UAH,
Tobto for 1/4 roku of warehouses 25 000,00 UAH, the commissioned amount of operations: 25 000,00 / 425 000,00 / (1/4) • 100% = 23% of the richest.
Otzhe at padіnnі interest rates іnvestor otrimuє vischu dohіdnіst (62.5 vs. 40%, the CPU yakbi utrimuvav to maturity), while interest rates zrostannі іnvestor otrimuє dohіdnіst Mensch (in Nashomu prikladі - 23 versus 30%, the CPU yakbi utrimuvalis to maturity) .
Pid hour periodichnyh coupon payments for the borrows of the CPU to be brought to otsinyuati at chasi not odinichnyi groshni sumi, and the streams of grotesque koshtiv. Calculating the discounted sums of sums of groschen kosh tіv у цьому випадку здійснюється through використання відповідних formulas for a skin element of a penny-shorter flow. Element of a penny flow was introduced to CFK (for cash flow), de k - number periodu, in a certain rozglyadayatsya groshovy potik. Groshovy potik, a kind of warehouse for you, but a few souvenirs, nazivayutsya anuyutetom.
At vipadku n rіvnih behind the coupon of coupon wypes the formula for sums of interest payments PV% for coupon dividends, пo має n couponів, bude мати вигляд:
And sumarny penny potik investoru, including zapushennia, stanovitime:
De PVn - stream number of the nominee N of the standard paperman;
PV% - streaming vartіst usіh percentage payments;
D - discount rate;
CFk - the absolute rate of k-і percent interest.
Analogіchna formula vikoristovuєtsya for otsіnki potochnoї vartostі neskіnchennogo (per hour) flow penny koshtіv (napriklad for privіleyovanimi aktsіyami), yak obchislyuєtsya pіdsumovuvannyam neskіnchennogo number (pripuskayuchi scho CFk = CF = const):
In razі korotkotermіnovogo volodіnnya tsіnnimi Papero for yakimi, napriklad, dohіd od zaznachenogo volodіnnya skladaєtsya іz mozhlivih divіdendnih abo interest viplat D i zmіni kursovoї vartostі CPU dohіdnіst becoming:
Де Sin - ціна купівлі ЦП;
Sout - tsn sale of CPU;
T - кількість днів володіння ЦП;
В - hourly base (360 - for zvichaynih, 365 abo 366 - for exact percent).
For mezhami tsogo rozdіlu zalishilis power formuvannya optimal portfolio tsіnnih paperіv, vihodyachi Zi spіvvіdnoshennya "rizik-dohіdnіst" modelі otsіnki aktivіv, the power of the fundamental is the tehnіchnogo analіzu on market analysis tsіnnih paperіv, power opodatkuvannya that number іnshih power, SSMSC TER mozhna rozglyadati s Look analіzu dіyalnostі Commercial bank on the market of the CPU.
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