NO.PZ202112010200001404
问题如下:
Estimate the corporate bond’s percentage price change if the government yield curve steepens, assuming a 0.20% increase in the 20-year YTM and no change to the 10-year government YTM or corporate G-spread.
选项:
A.–0.40%
0.40%
–0.04%
解释:
A is correct. The 20 bp increase in the 20-year government YTM causes the 12-year interpolated government YTM to rise 4 bps to 1.98% (or (80% × 1.85%) + (20% × 2.50%)).
The corporate bond percentage price change can be estimated based on the YTM change multiplied by modified duration (–ModDur × ΔYield) familiar from earlier lessons. This percentage price change can be calculated as –0.4% (=–9.99 × 0.04%).
YTM benchmark原来=0.8*1.85% + 0.2* 2.3%= 1.94%, 现在20年期增加了20bp, 新YTM benchmark= 0.8x1.85% + 0.2(2.3% +0.2%)= 1.98%, 所以12年期YTMb 上升了4bp, 在spread不变的情况下传导至12年期 公司债YTM变化量也为增加4bp, 所以12年期公司债价格变化= -9.99 x 4bp= -0.399%