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H. · 2020年11月26日

问一道题:NO.PZ2016031001000073 [ CFA I ]

问题如下:

When underwriting new corporate bonds, matrix pricing is used to get an estimate of the:

选项:

A.

required yield spread over the benchmark rate.

B.

market discount rate of other comparable corporate bonds.

C.

yield-to-maturity on a government bond having a similar time-to-maturity.

解释:

A is correct.

Matrix pricing is used in underwriting new bonds to get an estimate of the required yield spread over the benchmark rate. The benchmark rate is typically the yield to-maturity on a government bond having the same, or close to the same, time-to-maturity. The spread is the difference between the yield-to-maturity on the new bond and the benchmark rate. The yield spread is the additional compensation required by investors for the difference in the credit risk, liquidity risk, and tax status of the bond relative to the government bond.

In matrix pricing, the market discount rates of comparable bonds and the yield-to-maturity on a government bond having a similar time-to-maturity are not estimated. Rather they are known and used to estimate the required yield spread of a new bond.

看了解释还是不太明白B错的点在哪里?怎么改才是对的?

1 个答案

吴昊_品职助教 · 2020年11月26日

同学你好:

Matrix Pricing有两个用途: 1. 用交易活跃的Comparable corporate bond的YTM估算交易不活跃债券的YTM。 2. 用已发行的公司债和国债YTM,计算公司债的Spread,这个Spread可以作为新发行债券的Spread。

参考基础班讲义P153页。

A选项就是用来计算Spread; B选项错误,因为是利用Comparable corporate bond来计算交易不活跃的YTM C选项错误,因为Matrix Pricing计算新发行债券的Spread时,会用到同期限国债的YTM,并不是用来计算同期限国债的YTM。

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