noncallable bond


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Related to noncallable bond: Call provision
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Noun1.noncallable bond - a bond containing a provision that the holder cannot redeem the security before a specific date (usually at maturity)
bond certificate, bond - a certificate of debt (usually interest-bearing or discounted) that is issued by a government or corporation in order to raise money; the issuer is required to pay a fixed sum annually until maturity and then a fixed sum to repay the principal
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For example, the net cash flows of a fixed-rate payer in a par yen-dollar swap can be replicated by a long position in a variable noncallable LIBOR bond that sells at par on reset dates and a simultaneous short position in a noncallable bond of equal par value that makes fixed-rate yen interest rate payments on the same reset dates.
Volatility of default--free noncallable bond = (bond duration)vV/D, (4)
The following section will discuss how the value (and yield) of a callable bond differs from a noncallable bond.
1 bp might seem exceedingly small, it is understandable when one considers that in a frictionless environment, calls are strictly endogenous and only occur when the credit spread for an equivalent noncallable bond narrows to less than the make-whole premium.
This translates to an upper bound in the market value of the underlying noncallable bond, which would limit the benefit of increased volatility.
The value of the implied put is the price of the callable bond minus the price of a noncallable bond that matures on the first call date.
We show the yields to maturity of a nine percent, ten-year, noncallable bond when |Delta~ = 0.
1) Since the call premium is taxed as a capital gain to investor, but is deductible as an ordinary income expense to the firm, they concluded that the expected tax benefit for a callable bond will be higher than for an otherwise identical but noncallable bond.
Noncallable bonds are like a ground lease that cannot be cancelled by the payor.
We designate a dummy for callable municipal bonds as these bonds tend to have higher yields than comparable noncallable bonds.
Fourth, this duration measure was then adjusted for call features using a matrix provided by Goldman Sachs for adjusting the durations of noncallable bonds to reflect call provisions.
For noncallable bonds, the premium is amortized over the bond's life.