NO.PZ2023040701000094
问题如下：
Cromwell explains that the migration of a company’s ratings can have an impact on the total return of a bond holding. As an example, he selects a 10-year maturity, 5% coupon bond currently trading at par and rated A+ by Standard & Poor’s. He asks Thames to calculate the expected total return over a one-year horizon assuming the bond is downgraded by two notches and to determine why the year-end duration for the bond is 6.9. The average G-spread for corporate bonds across the credit spectrum is shown in Exhibit 2.
EXHIBIT 2 BOND MARKET G-SPREAD BY CREDIT RATING (%)
Assuming no change in market conditions and a flat yield curve and using Exhibit 2, the expected return on Cromwell’s sample bond over a one-year horizon is closest to:
选项：
A.–1.73%.
3.28%.
6.73%.
解释：
Correct Answer: B
The bond is expected to be downgraded from A+ to A–. The G-spread is expected to widen from 0.85% to 1.10% based on market pricing. The expected return over a one-year horizon is, therefore,
[–Duration × (New spread – Initial spread)] + Annual Coupon =[–6.9 × (1.10% – 0.85%)] + 5.00% = 3.275%.
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