可赎回免税债券成本太高

Journal of Fixed Income Pub Date : 2022-12-22 DOI:10.3905/jfi.2022.1.152

A. Kalotay

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引用次数: 0

摘要

事实上，每一种长期免税的市政债券都是可赎回的，通常在发行10年后按面值发行。借款人用高于市场的优惠券或接受较低的销售价格来支付看涨期权。我们探讨了期权的价值与其成本的比较。价格合理的看涨期权对市政当局来说是一笔不错的交易吗？值得注意的发现是，看涨期权是不可取的，因为它的成本超过了预期收益。市政借款人不应该以更低的价格或更高的息票发行可赎回债券，而应该发行无选择权债券。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Callable Tax-Exempt Bonds Are Too Costly

Virtually every longer-term tax-exempt municipal bond is callable, usually at par 10 years after issuance. Borrowers pay for the call option with an above-market coupon or by accepting a lower sale price. We explore how the value of the option compares to its cost. Is a fairly priced call option a good deal for the municipality? The remarkable finding is that the call option is undesirable, because its cost exceeds its expected benefit. Instead of issuing callable bonds at lower prices or with higher coupons, municipal borrowers should issue optionless bonds.

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.