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，通过该计划，散户投资者可以获得长达10年的与国债利率相当的无风险免税升息利息，并且可以在任何工作日进行赎回。到期前没有任何提前赎回罚款。这项研究分析了SSB的独特设计，并评估了SSB中嵌入的百慕大期权的提前赎回权。Black-Derman-Toy模型用于构建利率树，并且采用迭代方法来避免对预定的短期利率波动函数进行任意指定。定制的百慕大期权可能会随着时间变化执行价格。它还具有新颖的特征，即对买方行使的价值不必等于对卖方行使的成本。更好地理解政府储蓄债券中的内含期权会导致创新的设计，从而鼓励有效的公民储蓄。