Analysis of Tender Option Bonds

4850 Words10 Pages

TOBs are synthetically created short-term tax exempt instruments. A TOB sponsor will buy a portfolio of fixed rate, long term municipal bonds with ratings between AA-AAA and combine them with an interest rate swap to create short term tax exempt floating rate bonds.

The tax-exempt status creates a high level of demand particularly from investors who seek tax exempt cash flow as a source of annual income and revenue. The buyers of TOBs are for the most part money market mutual funds. Money market mutual funds are guided by certain regulations as to what type of bonds they can have in their portfolio. Specifically, the underlying municipal bonds must be rated at least AA-. The maximum maturity of the municipal bonds is thirteen months and the average weighted maturity of a money market fund’s tax exempt bond portfolio must be no longer than 50 days. This compares to typical maturities of municipal bonds of five to fifteen years. The money fund maturity guidelines combined with a strong demand for tax exempt instruments creates a very active and deep market for these synthetically created short-term tax-exempt securities. The approximate size of the TOB market is $70Bn.

With respect to the underlying quality of the municipal bond, TOB sponsors (including Merrill Lynch) generally mandate that the TOB program can not carry any bonds in inventory related to the TOB program with ratings below AA- because the protection of principal is important to the investors.

Tender Option Features

In order to truly simulate the characteristics of a short-term tax-exempt security, the TOB sponsor has to provide a way for investors to liquidate their investment at par value. This is accomplished by giving the investor the right to tender (or put) the security to the remarketing agent at par value plus accrued interest at regular intervals. These intervals are based on investor demand (Merrill’s program generally sets them at one week).

On put days, the investor has the choice to either tender the TOB or to roll them over at a reset tax-exempt rate. The investors are required to give the TOB sponsor one week notification prior to a put in the case of weekly TOBs and same day notification (prior to 10:00am) for daily TOBs. The risk that the TOBs might be put by the investors and might not be immediately remarketed by the remarketing agent is the reason why the liquid...

... middle of paper ...

...s the risk of BNPP having to hold the TOBs through a process of credit deterioration on the underlying bonds below A+.

 The active secondary market for high-grade municipal bonds act as a mitigant to short term/ market session price volatility. Average daily trading volume in the municipal market is $10Bn. According to Merrill Lynch, the average typical bid offer spread is 1/4bps on 70% of the trades, ½bps on 20% of the trades and up to 4bps on the remaining. According to Bear Stearns and Lehman Brothers the typical bid/offer spread is 1/2bps on 75% of the trades. These tight spreads in the municipal market (particularly the high-grade market) act to mitigate against wide swings in the market which could lead to market losses on a municipal bond portfolio. Therefore, under a liquidation scenario, we feel confident that the collateral can be sold in a short time frame and with little risk of market price deterioration.

Given the high quality of the collateral, the tight bid ask spread in the municipal market and the acceleration triggers provided for in the documentation, we feel that a 10% risk equivalent accurately reflects the risk involved in the transaction.

Open Document