解析答案

问题如下：

Calculate the I-spread of the corporate bond.

选项：

A.

0.85%

B.

0.65%

C.

0.95%

解释：

B is correct. The I-spread is an estimate of thecorporate bond’s spread over an interpolated swap benchmark. We can solve for the 10-year and20-year swap rates as 2.05% (=0.20% + 1.85%) and2.55% (=0.25% + 2.30%), respectively, by addingthe swap spread to the respective government bond.

The 12-year swap rate is 2.15% (or (80% × 2.05%) + (20% × 2.55%)), and thedifference between the corporate bond YTM andthe 12-year interpolated government rate is 0.80%.