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考拉 · 2024年01月07日

为什么不选cashflow matching ?

NO.PZ2023032703000030

问题如下:

Beatriz Maestre is a fixed-income consultant who has been retained by Filipe Ruelas, the CFO of Cávado Produtos Agricolas, SA (Cávado). Cávado is a manufacturer of prepared foods headquartered in Braga, Portugal.

At a second meeting, Ruelas tells Maestre about a EUR22 million bond issue Cávado would like to retire. The issue is currently rated A–, and credit spreads for that rating are relatively high. Ruelas expects spreads to narrow in the future as the economy improves and as Cávado’s performance for the coming year is factored into markets. The bond is closely held by two investment funds, and Ruelas feels they would be willing to sell their bond exposure at a small premium over the market price. Ruelas also feels Cávado’s auditors would permit accounting defeasement if Cávado purchased a portfolio of high-quality government bonds whose cash flow characteristics closely matched the Cávado bonds or if it purchased a portfolio of corporate bonds with similar duration and convexity characteristics and higher yields. Maestre recommends a strategy for retiring the bond.

Which of the following strategies would Maestre most likely recommend for retiring the Cávado bond?

选项:

A.

Bond tender offer

B.

Cash flow matching with government bonds

C.

Duration matching with corporate bonds

解释:

A is correct. Because the outstanding bond issue can likely be purchased for a small premium over market value, there is no reason to engage in a more complicated and likely more expensive retirement process using a cash flow-matching or duration-matching strategy.

提干提到要实现accounting defeasement, cashflow matching就行啊,bond tend offer (his is accomplished by making an offer to its debt holders to repurchase a predetermined number of bondsat a specified price and during a set period of time. )是不是就是债券回购,但是题目说这些bond 目前只有两个基金在持有,溢价很高的,回购的话不会太不合算么?

3 个答案

pzqa31 · 2024年01月09日

嗨,努力学习的PZer你好:


债券价格上涨,你用cash flow matching成本不就更高了吗

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

考拉 · 2024年01月08日

为什么未来价格上涨,cashflow matching 更不合适呢?

pzqa31 · 2024年01月08日

嗨,努力学习的PZer你好:



这道题有几个关键信息点:一是预期未来spread变小,那么债券价格会上涨(现在买入,未来价格会上涨);二是债券被两只投资基金持有(投资者较为集中)且现在的premium比较小。根据这两个信息点判断,回购是最合适的(因为现在卖的并不贵,而且未来价格可能会上涨,同时现在好买,投资者相对集中)。


如果没有A的话,个人觉得cash flow matching更不合适,因为未来债券价格会上涨。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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