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椰子鸡 · 2025年03月23日

有好多问题。。。

* 问题详情,请 查看题干

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:

1101.24= 60 1+IRR + 60 (1+IRR) 2 + 60 (1+IRR) 3 + 1060 (1+IRR) 4

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:

1144.63= 60 1+IRR + 60 (1+IRR) 2 + 60 (1+IRR) 3 + 1060 (1+IRR) 4

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.

  1. 这道题目求的是公司实际的bond和 国债的bond 之间的credit spread,为啥用的是VND下的收益率-实际价格的收益率?不应该是用国债的收益率-实际价格的收益率?
  2. 国债收益率,为什么不能用表格2中的2.25%?
1 个答案

吴昊_品职助教 · 2025年03月24日

嗨,爱思考的PZer你好:


1、本题要求的是Credit spread,公司债的YTM减去同期限国债的YTM,就是Credit spread。

注意,公司债的YTM需要用到公司债的fair value,即1101.24,来反求公司债的YTM。而国债的YTM需要用到VND来折现,即1144.63,来反求国债的YTM。

算出两个YTM之后,相减,就能得到Credit spread。

2、题干二叉树下方有一行小字,1-4小题基于的是MK的假设,8-12小题基于DI的假设。government yield curve 3%属于的是MK的假设,不能用。

现在,我们基于DI的假设,benchmark需要相同期限,相同的coupon rate(6%)。同期限、同coupon的国债YTM是需要利用折现反求的。所以我们只能用先前算出来的VND(1144.63)作为value反求出YTMg,从而再算出spread。

通过上一小问,我们可以得知VND=1144.63,即PV= -1144.63,FV=1000,N=4,PMT=60,反求出I/Y=2.18,拿着公司债的YTM减去同期限国债的YTM,就是Credit spread。

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2025-03-20 19:30 1 · 回答

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2024-04-10 12:13 1 · 回答

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2024-02-21 21:42 1 · 回答

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