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小叶子11 · 2021年09月20日

经济变好对用哪个方法retire bond 有影响吗

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. 

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

  1. Bond tender offer
  2. Cash flow matching with government bonds
  3. Duration matching with corporate bonds

请问 ,spreads to narrow in the future as the economy improves and as Cávado’s performance for the coming year is factored into markets,经济变好,credit spread收窄对用哪个方法retir bond有影响吗

2 个答案
已采纳答案

pzqa015 · 2021年09月22日

嗨,努力学习的PZer你好:


不好意思

之前的回答忽略了这道题特殊点:它的债券只有两只基金持有,且两个投资人愿意以高于市场价很小的premium卖出债券。这种情况情况下tender offer可以避免买回债券过程中的market impact,所以可以选择tender offer的。

另外,如果预期未来spread变小,那么未来价格会上涨,现在tender offer买回的话,未来可以享受资本利得上涨的部分。

这两个原因决定了tender offer比cash flow matching更好吧。


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pzqa015 · 2021年09月22日

嗨,爱思考的PZer你好:


这道题解题思路与经济变好spread变化无关,关键点是accounting defeasement,这是cash flow matching特有的优点。题干说公司审计师允许accounting defeasement,那么就用cash flow matching。

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小叶子11 · 2021年09月22日

这道题答案是选tender offer

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