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发表于 2011-3-30 14:54 | 只看该作者

Reading 64: Understanding Yield Spreads-LOS e 习题精选

2011, reference, contrast, measures, compare
Session 15: Fixed Income: Basic Concepts
Reading 64: Understanding Yield Spreads

LOS e: Calculate, compare, and contrast the various yield spread measures.

 

 

Bond A has a yield of 8.75%. Bond B, the reference bond, has a yield of 7.45%. Assuming both bonds have the same maturity, the relative yield spread is closest to:

A)
 17%.
B)
 13%.
C)
 15%.

 

Relative yield spread = absolute yield spread / yield on reference bond
Relative yield spread = (8.75% ? 7.45%) / 7.45% = 0.17 = 17%

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2#
发表于 2011-3-30 14:54 | 只看该作者

A Treasury security carries a yield of 4.2% and a non-Treasury security carries a yield of 6.4%. Using the Treasury rate as the reference rate, which of the following statements is least accurate?

A)
 If the Treasury rate rises and the absolute spread stays the same, the yield ratio declines.
B)
 The yield ratio is 1.022.
C)
 The absolute yield spread is 2.2%.

The yield ratio is (6.4%) / (4.2%) = 1.524, or one plus the relative yield spread.

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3#
发表于 2011-3-30 14:55 | 只看该作者

Assume the following corporate yield curve.

One-year rate: 5%
Two-year rate: 6%
Three-year rate: 7%

If a 3-year annual-pay corporate bond has a coupon of 6%, its yield to maturity is closest to:

A)
 6.92%.
B)
 6.08%.
C)
 7.00%.

First determine the current price of the corporate bond:
= 6 / 1.05 + 6 / (1.06)2 + 106 / (1.07)3 = 5.71 + 5.34 + 86.53 = 97.58

Then compute the yield of the bond:
N = 3; PMT = 6; FV = 100; PV = -97.58; CPT → I/Y = 6.92%

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4#
发表于 2011-3-30 14:55 | 只看该作者

A Treasury bond due in one-year has a yield of 8.5%. A Treasury bond due in 5 years has a yield of 9.3%. A bond issued by General Motors due in 5 years has a yield of 9.9%. A bond issued by Exxon due in one year has a yield of 9.4%. The default risk premiums on the bonds issued by Exxon and General Motors are:

Exxon General Motors

A)
0.9% 0.6%
B)
0.1% 0.6%
C)
0.1% 1.4%

9.4 ? 8.5 = 0.9

9.9 ? 9.3 = 0.6

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