以下是引用hying01在2007-12-4 9:37:00的发言：
I would think the 1-year deferred call bond has a higher yield spread, too. As it offers the greatest protection to issuer should the interest rate falls, option cost is higher than the other three bonds, given everything else is equal. Z-spread=OAS+option cost, if OAS is the same, the bond with the highest option cost to issuer will have the highest Z-spread. I agree with u regarding the greatest protection for issuers in 1-year deferred call bond. But I re-considered and chose 3-year deferred call. Depict from the callable bond curve, call option cost=option-fee bond price - call price. As the interest rate falls towards zero, the option cost increased a lot. So I guess the longer the deferred call peirod combined with the lower interest rate, the difference between call price and option-free price increased. That means we investors have to accept the call price set by issues much lower than the market price after 3 years. It's just my analysis. Welcome for any comment. [em01] | 
发表于 2007-12-4 10:44
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