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Tendo presente o princípio que define que o valor de uma obrigação corresponde ao valor do portfolio de cupões-zero que replica os seus cash-flows, para procedermos à avaliação da obrigação emitida pela EDP, começamos por determinar a spot-rate curve, utilizando para o efeito, as yields de títulos de divida alemã (Bunds) como sendo taxas de juro sem risco. Os títulos do Tesouro não são activos totalmente livres de risco, uma vez que apresentam, empiricamente, alguma volatilidade, no entanto são os activos financeiros, com menor risco, disponíveis. Uma vez que a empresa emitente é Portuguesa e como tal se insere na Zona Euro, o país que funciona como Benchmark é a Alemanha, daí a utilização de Bunds. As Obrigações do Tesouro alemãs encontradas distribuem cupão anual e apresentaram duas limitações que já eram esperadas. As maturidades destas, não coincidem exactamente com a data de pagamento do cupão da obrigação em estudo, no entanto, a diferença não é muito significativa, pelo que não se procedeu a nenhum tipo de ajustamento relativamente a este ponto. O site Bloomberg, escolhido, pela sua fiabilidade, para a recolha da informação sobre os títulos alemães, apenas tem disponível informação relativa aos títulos com maturidades de 6 meses, 1 ano, 2 anos e 3 anos. Com base nos dados acima apresentados e partindo da taxa spot respectiva à obrigação cupão-zero de maturidade igual a 6 meses, deduzimos as taxas spot para as maturidades 1 ano, 2 anos e 3 anos, através da TIR (determinando, para o efeito, a estrutura de Cash-Flows). As taxas spot para as maturidades de 1,5 anos e 2,5 anos, foram determinadas por interpolação linear. Após encontradas as taxas spot, focalizamos a nossa pesquisa e análise na melhor forma de determinar o credit spread exigido pelos investidores para a detenção desta obrigação em detrimento de outra com o mesmo rating e maturidade. Começamos por pesquisar obrigações com o mesmo Benchmark, o mesmo rating e maturidades próximas à obrigação da EDP, no entanto, verificamos que a EDP estava a cotar a um valor muito diferente das restantes obrigações alemãs com as características exigidas. Para contornar esta situação, optamos por reunir as obrigações da EDP com maturidades próximas à estudada e através de uma regressão linear calculamos a yield respeitante à data da maturidade, isto é, 07 Dezembro de 2014. Assim, pela diferença entre a yield determinada para a maturidade e a taxa spot 3 anos, encontramos o credit spread. A soma das respectivas taxas de juro spot com o credit spread, permite determinar as yield’s a utilizar na determinação do factor de actualização para posteriormente dedução do preço teórico. A soma das actualizações dos cash-flows e valor de reembolso pela yield presente na ficha da obrigação dá-nos o preço de mercado. Conclusão destes dois preços

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