NO.PZ201812310200000105
问题如下:
Bond B3 will have a modified duration of 2.75 at the end of the year. Based on the representative one-year corporate transition matrix in Exhibit 7 of the reading and assuming no default, how should the analyst adjust the bond’s yield to maturity (YTM) to assess the expected return on the bond over the next year?
选项:
A. Add 7.7 bps to YTM.
B. Subtract 7.7 bps from YTM.
C. Subtract 9.0 bps from YTM.
解释:
B is correct. For each possible transition, the expected percentage price change, computed as the product of the modified duration and the change in the spread as per Exhibit 7 of the reading, is calculated as follows:
From AA to AAA: –2.75 × (0.60% – 0.90%) = +0.83%
From AA to A: –2.75 × (1.10% – 0.90%) = –0.55%
From AA to BBB: –2.75 × (1.50% – 0.90%) = –1.65%
From AA to BB: –2.75 × (3.40% – 0.90%) = –6.88%
From AA to B: –2.75 × (6.50% – 0.90%) = –15.40%
From AA to C: –2.75 × (9.50% – 0.90%) = –23.65%
The expected percentage change in the value of the AA rated bond is computed by multiplying each expected percentage price change for a possible credit transition by its respective transition probability given in Exhibit 7 of the reading, and summing the products:
(0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%) + (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%.
Therefore, the expected return on the bond over the next year is its YTM minus 0.0774%, assuming no default.
0.015 0.095 0.0075……是怎么来的呢