A precificação de opção de recompra em debêntures de infraestrutura brasileiras

• Ano de defesa: 2017
• Autor(a) principal: Silva, Daniel Loureiro da
• Orientador(a): Glasman, Daniela Kubudi
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Lei nº 12.431/11; Debêntures de infraestrutura; Opção de compra; Resgate antecipado; Precificação de opção embutida
• Palavras-chave em Inglês: Law 12.431/11; Infrastructure bonds; Call option; Early redemption; Embedded option pricing
• Link de acesso: https://hdl.handle.net/10438/19972

On June 24, 2011, Law 12.431/11 was introduced, which granted a reduction of the Income Tax rate on bonds issued with the purpose of financing infrastructure projects. Since then, the so-called "Infrastructure Bonds" have increased their importance as a funding mechanism to companies in this sector. Since the publication of the Resolution of the Central Bank of Brazil (Bacen) No. 4.476, of 4 November 2016, it was allowed to include early redemption clauses at the discretion of the issuing company. Considering the peculiarities of these bonds, the methodologies already developed for pricing call options on bonds are not applicable. In this way, this work intends to develop a methodology for pricing the existence of an early redemption clause in an Infrastructure Bond covered by Law 12.431/11, considering the term structure of Brazilian interest rates and the costs of issuing bonds.