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西红柿面 · 2024年06月28日

可以问下Statement#2吗?

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NO.PZ202304070100008002

问题如下:

Hamilton is analyzing three bonds being considered for investment by Harding: CommCo, which is currently callable at par; StorageTech, which is currently putable at par; and NexTec, which has a make-whole call provision. All three bonds have a five-year maturity, are of equivalent credit quality, and pay the same coupon (3.5%). Harding believes that interest rates will increase more rapidly than currently implied by the market.


Harding asks Hamilton what the impact of increased interest rate volatility and changes to the shape of the yield curve would have on the value of these bonds. She states that all else being equal,

Comment 1 increased interest rate volatility decreases the value of the CommCo bond,

Comment 2 the value of NexTec’s make-whole call provision increases as the yield curve flattens,

Comment 3 and the value of StorageTech’s option will be more valuable with a downward-sloping yield curve than with a flat yield curve.

Which of Hamilton’s comments regarding interest rate volatility and the yield curve is most likely correct?

选项:

A.

Comment 2

B.

Comment 1

C.

Comment 3

解释:

Correct Answer: B

Increased interest rate volatility will increase the value of the call option, which will decrease the value of the CommCo bond.

Value of callable bond = Value of straight bond – Value of issuer call option

The make-whole call provision for the NexTec bond is not affected by the shape of the yield curve. With a make-whole call, the bondholders are more than “made whole” (compensated) in exchange for surrendering their bonds, as calculated by a narrow spread to an on-the-run sovereign bond, and investors should have no fear of receiving less than their bonds are worth. A downward-sloping yield curve decreases the value of the put option on StorageTech’s bond relative to a flat or upward-sloping curve.

Value of investor put option = Value of putable bond – Value of straight bond

为什么收益率曲线形状的变化是不影响不含权债券的价值的呢?曲线变Flattening,利率下降,这样Callable bond更好行权

2 个答案
已采纳答案

品职答疑小助手雍 · 2024年06月30日

是make-whole call条款的这个call的价值不受yield curve变化的影响

品职答疑小助手雍 · 2024年06月29日

同学你好,make-whole call条款需要发债方在赎回时付出本金以及未来剩余coupon的现值。这种情况下投资者是一定不会吃亏的。而发债方也很少会做这种事情,所以这个call的价值意义很小,也不太受yield curve变化的影响。

西红柿面 · 2024年06月30日

是所有债券都不受到yield curve变化的影响,还是说只有Make-whole Call不受到yield curve变化的影响?

Anna · 2024年11月08日

既然这个call的价值意义很小,那这个make whole call的存在意义是什么呢?

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