The Singapore Savings Bonds (SSB) is a unique investment program offered by the Singapore government whereby retail investors can earn risk-free tax-free step-up interest closely matched to Treasury bond rates for up to 10 years and can redeem on any business day prior to maturity without any early redemption penalty. This study analyses the unique design of the SSB and provides a valuation of the Bermudan option for early redemption that is embedded in the SSB. The Black–Derman–Toy model is used to build the interest rate tree, and an iterative method is employed to avoid arbitrary specification of the pre-determined short rate volatility function. This bespoke Bermudan option can have changing strike prices over time. It also has a novel characteristic whereby the value of exercise to a buyer need not equal to the cost of being exercised to a seller. Better understanding of embedded options within government savings bonds leads to innovative designs that may encourage effective citizens’ savings.

新加坡储蓄债券（SSB）是新加坡政府提供的一项独特的投资计划，散户投资者可以通过该计划赚取与国债利率密切匹配的无风险免税阶梯式利息，期限长达10年，并且可以在任何工作日赎回到期前无任何提前赎回罚金。本研究分析了 SSB 的独特设计，并对 SSB 中嵌入的提前赎回百慕大期权进行了估值。 Black-Derman-Toy模型用于构建利率树，并采用迭代方法来避免任意指定预定的短期利率波动函数。这种定制的百慕大期权可以随着时间的推移改变执行价格。它还具有一个新颖的特征，即买方的行使价值不必等于卖方的行使成本。更好地了解政府储蓄债券中的嵌入选项可以带来创新设计，从而鼓励公民有效储蓄。