问一道题：NO.PZ2016031001000092

问题如下：

Both bonds pay interest annually. The current three-year EUR interest rate swap benchmark is 2.12%. The G-spread in basis points (bps) on the UK corporate bond is closest to:

选项：

264 bps.

285 bps.

300 bps.

解释：

B is correct.

The G-spread is closest to 285 bps. The benchmark rate for UK fixed-rate bonds is the UK government benchmark bond. The Euro interest rate spread benchmark is used to calculate the G-spread for Euro-denominated corporate bonds, not UK bonds. The G-spread is calculated as follows: Yield-to-maturity on the UK corporate bond:

$100.65=\frac5{{(1+r)}^1}+\frac5{{(1+r)}^2}+\frac{105}{{(1+r)}^3}$, r=0.04762 or 476 bps

Yield-to-maturity on the UK government benchmark bond:

$100.25=\frac2{{(1+r)}^1}+\frac2{{(1+r)}^2}+\frac{102}{{(1+r)}^3}$, r=0.01913 or 191 bps

The G-spread is 476–191 = 285 bps.