Bonds Treasury

In: Business and Management

Submitted By rcna30
Words 1114
Pages 5
10. BONOS 3
10.1 CONCEPTOS BÁSICOS DE INTRUMENTOS DE DEUDA 3
10.1.1 Definiciones y clasificaciones generales 3
10.1.2 Indicadores Básicos 4
10.1.2.1 Valor residual 4
10.1.2.2 Monto en circulación (millones de $ a Valor nominal) 4
10.1.2.3 Renta anual (coupon yield, %) 4
10.1.2.4 Tasa Interna de RetornoTIR (yield to maturity –YTM- o discounted cash-flow yield -DCFY) 4
10.1.2.5 Intereses corridos ($) 5
10.1.2.6 Precio clean (limpio) o dirty (sucio) 6
10.1.2.7 Valor técnico ($) 6
10.1.2.8 Paridad (%) 6
10.2 TIPOS DE INSTRUMENTOS DE RENTA FIJA 7
10.2.1 Bonos cupón cero (zero coupon bonds): 7
10.2.2 Bonos Amortizables: 8
10.2.3 Bonos con período de gracia 8
10.2.4 Bonos a tasa fija o a tasa variable: 8
10.2.5 Bonos que incluyen contingencias 9
10.3 VALUACIÓN DE UN BONO 11
10.3.1 Flujo de Fondos esperados 11
10.4 LA CURVA DE RENDIMIENTOS Y LA ESTRUCTURA TEMPORAL DE LA TASA DE INTERES (ETTI) 13
10.4.1 Análisis de la curva de los bonos del tesoro americano de contado 14
10.4.2 Tasas de interés implícitas o forwards: 16
10.4.3 ¿Cómo se explica las diferentes formas que puede tomar ala ETTI? 17
10.4.4 La estructura temporal para bonos con riesgo de crédito (soberanos o corporativos) 19
10.5 VALUACIÓN DE UN BONO A TASA VARIABLE 23
10.5.1 Primer Método: utilizar la tasa de interes actual a todos los cupones de renta 23
10.5.2 Segundo método: proyectar una unica tasa de swap para todo el flujo del bono aproximado por el promedio de vida del bono. 23
10.5.3 Tercer método: calcular tasas de interes implícitas o forwards 23
10.6 RENDIMIENTO DE UN BONO 26
10.6.1 RENDIMIENTO CORRIENTE: (Current Yield) 26
10.6.2 Tasa Interna de rendimiento (yield to maturity) 27
10.6.3 Yield to call (tir hasta el momento del call). 28
10.6.4 Stripped Yield 28
10.6.5 TIR de un portfolio 29
10.6.6 Rendimiento total de un bono (Total Return) 30
10.7 SPREADS DE BONOS:…...

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