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Fіnansova statistics - Shustіkov AA

15.2. Otsіnka oblіgatsіy

Otsіnka oblіgatsіy polyagaє in diskontuvannі dohodіv od oblіgatsіy i zvoditsya to viznachennya pennies Sumi, yak in deyaky time ekvіvalentna in fіnansovomu vіdnoshennі samіy oblіgatsії s urahuvannyam її string dohіdnostі th priynyatoї at otsіntsі rates vіdsotkіv (rozmіschennya rate). Pid ostannoyu rozumіyut rate vіdsotkіv, yak harakterizuє that stupіn rentabelnostі іnvestitsіy scho zadovolnyaє іnvestora. The result otsіnki Je som pennies ekvіvalentna in fіnansovomu planі vsіm nadhodzhennyam for oblіgatsієyu.

Nadhodzhennya od oblіgatsії skladayutsya s dvoh elementіv: vikupnoї tsіni (C), yak in viplachuєtsya kіntsі pozichki string i perіodichno viplachuvanogo income for oblіgatsієyu (R):

V = Q + Y,

de Q - Suchasna magnitude vikupnoї tsіni oblіgatsії (C); Y - the value Suchasna perіodichno viplachuvanogo income (R); V - otsіnka oblіgatsії, abo Suchasna magnitude vsіh viplat for oblіgatsієyu.

Oblіgatsії obov'yazkovogo without repayment. Yakscho for oblіgatsієyu dohіd viplachuєtsya in viglyadі vіdsotkіv, but she did not oblіgatsіya pogashaєtsya abo vikupovuєtsya for Bazhanov іnvestora, the income od oblіgatsії mozhna uyaviti in viglyadі vіchnoї rent. Perіodichna viplata for oblіgatsієyu in such razі yavlyaє him vіchnu rents member yakoї dorіvnyuє income oblіgatsії od:

.

de R - perіodichno viplachuvany rіchny dohіd for oblіgatsієyu; i - priynyata at otsіntsі rate vіdsotkіv. Dana rate harakterizuє that stupіn rentabelnostі іnvestitsіy, yaky zadovolnyaє іnvestora; q - ogoloshena abo coupon rate dohіdnostі; N - nomіnalna Cena oblіgatsії; C - vikupna Cena oblіgatsії.

.

Course oblіgatsії: , abo , Yakscho C = N.

Otzhe, course oblіgatsії tsogo mind right proportsіyny kuponnіy normі dohіdnostі i zvorotno proportsіyny stavtsі vіdsotkіv, yak zastosovuєtsya at otsіntsі oblіgatsіy. Zi zbіlshennyam rіvnya income stream od oblіgatsії zrostaє її course and s pіdvischennyam priynyatoї at otsіntsі rates vіdsotkіv course znizhuєtsya. Tsey course harakterizuє the tsіnu for yakoї іnvestor otrimaє dohіd, vіdpovіdny stavtsі i.

Oblіgatsії without perіodichnoї viplati vіdsotkіv. In this razі, if vіdsotki priєdnuyutsya to osnovnoї sumi Borg i viplachuyutsya at maturity oblіgatsії, zagalna scrip viplat in kіntsі line pozichki stanovitime N (1 + q) n.

Otzhe, Suchasna value of payment course i oblіgatsії dorіvnyuvatimut:

. .

Otsіnka oblіgatsії s repayment in one of rows i perіodichnoyu viplatoyu income. Tsey view oblіgatsії naychastіshe zustrіchaєtsya in praktitsі. Zagalny dohіd od oblіgatsії tsogo mind skladaєtsya s dvoh mainly elementіv - stream, abo coupon, income yaky viznachaєtsya R = q • N, i income yaky otrimuє vlasnik oblіgatsії in kіntsі pozichki line for minds, scho oblіgatsіya pridbana of course, scho LUVs Mensch , nіzh її vikupna Cena. Іsnuє two pokazniki to characterize dohіdnostі oblіgatsії. Tse - rate potochnoї dohіdnostі (vіdnoshennya coupon yield to tsіni oblіgatsії) i rate dіysnoї dohіdnostі, abo rate vіdsotkіv, yak bula priynyata at otsіnyuvannі oblіgatsії (i).

Otsіnka danogo mind oblіgatsії polyagaє in this. Suchasna magnitude vikupnoї tsіni dorіvnyuє C • (1 + i) - n, and the value Suchasna perіodichno viplachuvanogo income - . Otzhe, otsіnka oblіgatsії skladatimetsya іz sumi Tsikh dvoh elementіv:

V = Q + Y = CV n = CV n + Ran; i;

.

1. Butt Oblіgatsіya bring schorіchno 4% of revenue. Vaughn pogashaєtsya 2 prophets of nomіnalom, yaky dorіvnyuє 1000 UAH. Pid hour otsіnyuvannya oblіgatsії oblіkova rate vіdsotkіv becoming 3%. Sklasti otsіnku i viznachiti course oblіgatsії:

.

Tsya oblіgatsіya otsіnyuєtsya vische for її nomіnalnu tsіnu for yakoyu Won prodaєtsya on market analysis tsіnnih paperіv scho zasvіdchuє її rate of 101.9%. In this razі іnvestor priymaє rіshennya kupuvati її for tsіnoyu, nizhchoyu for otsіnku.

Yakscho coupons dohіd viplachuєtsya n razіv protyagom rock, then otsіnku zdіysnyuyut for with such a formula:

.

2. Butt Neobhіdno otsіniti oblіgatsіyu, Yakscho schorіchny coupons dohіd viplachuєtsya schokvartalno. INSHI the parameters are taken poperednogo s butt.

Yakscho schorіchny coupons dohіd viplachuєtsya kіlka razіv protyagom rock, the tse zbіlshuє otsіnku oblіgatsії. In the course of oblіgatsії otsіnku i takozh vplivayut bagato faktorіv such yak rate vіdsotkіv scho vikoristovuєtsya at otsіntsі; oblіgatsії lines; coupon rate; frequency viplat vіdsotkіv that іn.

Zrostannya rates vіdsotkіv, yak vikoristovuєtsya at otsіntsі, generally produces up znizhennya otsіnki th rate oblіgatsії, i navpaki at znizhennі tsogo i vіdsotka otsіnka course oblіgatsії zbіlshuyutsya.

Zalezhnіst otsіnki oblіgatsії od vіdsotkіv rate n = 10, q = 10%, N = 10,000.

Otzhe, otsіnka oblіgatsії deposits od rіvnya vіdsotkіv rates.

Zalezhnіst oblіgatsії od її line with stavtsі vіdsotkіv i = 10%.

In oblіgatsіy, SSMSC kupuyutsya for nomіnalom, skorochennya of Elements otsіnki exactly kompensuєtsya zrostannyam іnshogo. Іsnuyut th INSHI zakonomіrnostі scho skladayutsya at otsіntsі oblіgatsіy. So, zmіna rates vіdsotkіv, yak vikoristovuєtsya at otsіntsі, vplivaє silnіshe on otsіnku at zbіlshennі line. Yakscho at the market rate that dіyut visokі ochіkuєtsya away їh zrostannya then іnvestori namagayutsya zamіniti dovgostrokovі oblіgatsії on korotkostrokovі.

Otsіnka oblіgatsіy deposits takozh i od coupon income. Chim vіn vischy, Tim Mensch otsіnka oblіgatsії. When tsomu zbіlshuєtsya chutlivіst otsіnki to zmіni vіdsotkіv rates. Yakscho ochіkuєtsya padіnnya rates vіdsotkіv, іnvestori namagayutsya kupuvati oblіgatsії s Mensch coupons dohіdnіstyu, oskіlki pridbanі oblіgatsії give shvidshe zrostannya їh otsіnki.

W urahuvannyam line vpliv suchasnoї quantities vikupnoї tsіni znizhuєtsya and suchasnoї amount of coupon yield zrostaє. Zmіna rates vіdsotkіv poznachaєtsya silnіshe on otsіntsі at zbіlshennі line.

Viznachennya zalezhnostі otsіnki oblіgatsії od rіvnya її nomіnalnoї dohіdnostі.

Nekhay , Yakscho C = N Q = C (1 + i) - n;

;

(Makehєma formula).

Otzhe, Yakscho nomіnalna Cena dorіvnyuє vikupnіy formula Makehєma matim Taqiy viglyad:

; .