问

问题如下：

Crew Andserson, CFA, wants to analysis the Z-spread for a 3-year corporate bond, and the bond has a coupon rate of 8%. Assume the coupon is paid annually. The current spot rates are S1=3.26%, S2=3.86%, S3=4.25%. The price of the corporate bond is $106.17, what`s the Z-spread?

选项：

A.

150 bps

B.

50bps

C.

120 bps

解释：

A is correct.

The z-spread is the constant spread that is added to each spot rate, and the combined rates make the price of a security equal to the present value of its cash flows.

Bond price=8/(1+3.26%+1.5%)+8/(1+3.86%+1.5%)²+108/(1+4.25%+1.5%)³=106.17

So Z-spread=150 bps

考点：Z-spread

解析：Z-spread是公司债券的spot rate和政府债券的spot rate之差，以spot rate作为基础收益率时，额外的补偿spread是Z-Spread。Z-spread的计算有点困难，我们可用试错法。将选项中的数字代入，建议代入选项中处于中间大小的数字，如本题代入120bps。

如果算出来的折现和小于现值，说明折现率太大了，选一个比120bps小的，使得折现率变小；如果算出来的折现和大于债券现值，说明折现率太小了，选一个比120bps更大的，使得折现率变大。

通过试错法，可知Z-spread为150bps，故选项A正确。