NO.PZ201812310200000109
问题如下:
Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to:
选项:
A.108 bps.
B.101 bps.
C.225 bps.
解释:
A is correct. The corporate bond’s fair value is computed in the solution to Question 8 as €1,101.24 The YTM can be obtained by solving the following equation for IRR:
The solution to this equation is 3.26%.
Valuation of a four-year, 6% coupon bond under no default (VND) is computed in the solution to Question 8 as 1,144.63. So, the YTM of a theoretical comparable-maturity government bond with the same coupon rate as the corporate bond B2 can be obtained by solving the following equation for IRR:
The solution to this equation is 2.18%. So, the credit spread that the analyst wants to compute is 3.26% – 2.18% = 1.08%, or 108 bps.
B is incorrect, because that is the spread over the four-year government par bond that has a YTM of 2.25% in Exhibit 2: 3.26% – 2.25% = 1.01%, or 101 bps. Although this spread is commonly used in practice, the analyst is interested in finding the spread over a theoretical 6% coupon government bond.
C is incorrect, because that is the YTM of the coupon four-year government bond in Exhibit 2.
之前有做过一道题也是就credit spread.
但是那道题的固定债券是这么求解的:
1、用算出来的FV作为等式左边,即 96.264=5/(1+YTM)^1+5/(1+YTM)^2+105/(1+YTM)^3
2、反求出YTM=6.4082%
3、用反求的YTM-coupon5=1.4082%
但是本道题我看解析的逻辑是:
1、用上面的1、2步算出YTM
2、还要再用VND再算一个YTM,
3、相减后才是credit spread.
我的具体问题是:
Q1: 为什么本体还要用VND再算一个YTM,以及计算公式是什么;
Q2: 什么情况下用我说的题目解法,什么情况下用本题的解决思路。感谢!