NO.PZ2023032703000102
问题如下：
Black has identified three bonds in
Exhibit 1 in the industrial corporate sector as possible investments.
A. Determine which bond is most likely to
provide the highest return if spreads remain constant over the next year.
Justify your response.
选项：
解释：
Correct Answer:
Bond 3 is most likely to outperform if spreads remain constant over the next year.
E [ExcessSpread] ≈ Spread0 - (EffSpreadDur × ΔSpread) - (POD × LGD)
Bond 1 = 0.95% = 1.00% – 5.25 × 0% – 0.25% × 20%
Bond 2 = 2.00% = 2.25% – 8.00 × 0% – 1.00% × 25%
Bond 3 = 2.20% = 4.30% – 3.75 × 0% – 3.50% × 60%
excess spread in bond 1:0.95%
excess spread in bond 2: 2%
excess spread in bond 3: 2.2%
Bond 3 is most likely to provide the highest return if spreads remain constant over the next year.
