人民大學 國際金融市場：信貸與債券-全文預覽
【正文】 Principal + Coupon (FV) Settlement Amount (PV) = ( 1 + (r x n ) / 360*) CD Pricing ? We discount the cash flows received at the end (Principal + Interest = future value) to current value R x ( 1 + (C x __t__ )) = 360*_________ ( 1 + (r x n ) ) 360* ? where: R = Face Value of the CD C = Coupon rate of the CD expressed in decimal form (. 5% is ) t = Number of days from issue to maturity r = Current market interest rates for n days expressed in decimal n = Number of days left to maturity * = 360 or 365 depending on the currency An example of CD pricing Issuer: BOA Rating: A1 Issue Date: 1 January 1996* Maturity: 1 January 1997 Face Value: $1,000,000 Interest Payable: 81/2% Settlement Date: 1 November 1996 * this is a leap yr, thus it has 366 days At maturity the holder of this CD will receive FV = 1,000,000 x ( 1 + x 366/ 360) = $1,086, From 1 Nov 96’ to 1 Jan 97’ there are 61 Days left. An example of CD pricing ? Assuming the current 2 months deposit rate is at 93/4%, What should be the price that we are willing to pay for the CD? R x ( 1 + (C x t__ )) PV = 360*____ _ ( 1 + (r x n ) ) 360* 1,000,000 x ( 1 + ( x 366_ )) PV = 360*____ _ ( 1 + ( x 61 ) ) 360* = $1,068, ? This would represent a fair value of the CD . The buyer will pay $1,068, for the papers from 1 Nov 96’ until maturity where he will receive $ 1,086,. This would represent a return of 9 3/4% An example of CD pricing ? But the market could be trading at a different price. For example at $1,065,000. What would the return of the interest be like for the remaining 61 Days? 1,000,000 x ( 1 + ( x _366_ )) 1,065,000 = 360*_____ ( 1 + (r x 61 ) ) 360* r = 360 x (1,086, 1,065,000) 61 1,065,000 = or % ? This is also called the yield of the CD at the time of purchase. The interest return from the CD trading at the market could be a higher or lower than the current inter
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