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程咬金的程 · 2024年07月05日

为什么不选B,记得复习课的时候老师说的就是买国债

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.

B为什么不选,复习课上讲过

1 个答案

pzqa31 · 2024年07月05日

嗨,爱思考的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)。

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