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CFA考试知识点一览:【固收】第二讲
2016-12-23
摘要理解Puttable bond和Callable bond的关系 Callable bond(可赎回债券): Gives the issuer the right to redeem all or part of the bond before the specified maturity date; Can protect issuers against decline in interest rate; Call p
理解Puttable bond和Callable bond的关系
Callable bond(可赎回债券):
Gives the issuer the right to redeem all or part of the bond before the specified maturity date;
Can protect issuers against decline in interest rate;
Call price:the price to redeem the bond;
Call provisions are beneficial to the issuer;
Investors face more reinvestment risk,and will ask higher yield,and pay lower price;
Callable bond=non-callable bond-call option;
可赎回债券给予发行人权利,即可以在指定的到期日赎回部分或者所有的债权;
这个条款对于发向人有利,可以保护发行人在利率下降时无需支付高额的利息。因此投资者会面对较大的在投资风险,所以可赎回债券比起没有嵌入期权的债权,有着较高的收益率和更低的价格,可赎回债券的价值等于不可赎回债券的价值减去看涨期权的价值。
Putable bonds(可回售债券):
Gives the bondholders the right to sell the bond back to the issuer at a pre-determined price on specified dates.
Can protect investor against increase in interest rate.
Put price:the price to sell back the bond;
Put provisions are beneficial to the investors;
Investors will ask lower yield,and pay higher price;
Putable bond=non-putable bond+put option
可回售债券是债券持有人可以在债券到期日前的特定日期按照特定价格强制把债券卖给债券发行人,可售回债券给予投资者权利,债券持有人一般会选择当利率上升时把债券回售给发行人,一般来说,基于这样的性质,投资者愿意支付更高的价格,获得更少的收益,可售回债券的价值等于不可售回债券的价值加上看跌期权的价值。
例:All other things being equal,an increase in expected yield volatility least likely increases the price of:
A.a putable bond.
B.a callable bond.
C.an option-free bond.
【Answer:B】
解析:Explain how yield volatility affects the price of a bond with an embedded option and how changes in volatility affect the value of a callable bond and a putable bond.
B is correct because the price of a callable bond is equal to the value of an option-free bond minus the value of the embedded call option.A increase in yield volatility will increase the value of the call option and,therefore,decrease the value of the callable bond.
当收益率波动增大时,债券被赎回的可能性增加,因此投资者会面临更大的再投资风险,所以可赎回债券的价格会降低。看完CFA知识点,再来了解下CFA相关备考资料吧→>>点击领取CFA免费资料大礼包
来源|金融先进考 若需引用或转载,请联系原作者,感谢作者的付出和努力!
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来源|金融先进考 若需引用或转载,请联系原作者,感谢作者的付出和努力!
相关CFA知识推荐:
2017CFA二级如何备考
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