NO.PZ2023052301000028
问题如下：
An analyst is analyzing a three-year, 2.25% annual coupon bond issued by QWE Company. Currently, the bond’s yield-to-maturity is 2.707%. The three-year swap rate is 1.840%. The government spot rates are presented in the table.
The G-Spread (in basis points) for the QWE bond is closest to:
选项：
A.80
B.87
C.135
解释：
A is correct. The G-spread is a yield spread above that of a government bond with the same maturity date. The yield-to-maturity for the corporate bond is 2.7070%. The yield-to-maturity for the government benchmark bond is 1.9036%.
G-spread = 2.707% – 1.904% = 0.8034% = 80.3 bps.
B is incorrect because 87 bps is the I-spread calculated as the yield spread of a bond over the standard swap rate in the same currency and with the same tenor.
C is incorrect because 135 bps is the spread calculated as the difference between the yield-to-maturity of the QWE bond and the average of government rates for all maturities.
An analyst is analyzing a three-year, 2.25% annual coupon bond issued by QWE Company. Currently, the bond’s yield-to-maturity is 2.707%. The three-year swap rate is 1.840%. The government spot rates are presented in the table.
The G-Spread (in basis points) for the QWE bond is closest to:
您的回答A, 正确答案是: A
A
正确80
B
87
C
135
