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FrankSun · 2023年04月24日

可以解释一下选B的原因吗?谢谢

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NO.PZ202209060200004202

问题如下:

Which bond from Exhibit 1 is most likely callable?

选项:

A.Bond A B.Bond B C.Bond C

解释:

Solution

B is correct. Bond B is most likely callable because of the difference between its option-adjusted spread (OAS) and its Z-spread. The Z-spread is the yield spread that must be added to each point of the implied spot yield curve in order for the present value of the bond’s cash flows to equal its market price. The OAS considers the value of optionality in a bond’s cash flows. The theoretical value of a callable bond is less than that for an otherwise equivalent non-callable bond because of the value of the call option (the issuer’s right to retire the bond prior to maturity) being sold by the investor. The OAS is the constant spread that when added to all the one-period forward rates makes the arbitrage-free value of the bond equal to its market price.

A is incorrect because Bond A is likely a non-callable bond because its Z-spread and OAS are equal.

C is incorrect because Bond C is likely a non-callable bond because its Z-spread and OAS are equal.

可以解释一下选B的原因吗?谢谢

1 个答案

pzqa31 · 2023年04月24日

嗨,爱思考的PZer你好:


OAS经常会拿来和z-spread进行对比,因为他们之间只相差Option带来的影响。

 

Z-spread和OAS都是公司债利率高于基准利率的spread。

不含权债的Z-spread主要用来补偿credit risk,liquidity risk,tax影响;

含权债的Z-spread主要用来补偿credit risk,liquidity risk,tax影响以及option影响。

OAS就是将z-spread剔除Option影响的spread。对于不含权债,OAS=Z-spread,反之,含权债券的OAS和Z-spread不相等。

 

对于callable bond,Z-spread > OAS

因为callable bond相当于投资者承担了发行人可能提前赎回债券的风险,所以需要给投资者更多补偿,OAS剔除了对投资者的这块补偿,所以Z-spread>OAS。

 

本题中只有bond B的z-spread不等于OAS,且Z-spread > OAS,所以bond B是callable bond。

 

 

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