标题: Reading 63: Understanding Yield Spreads LOS e习题精选 [打印本页]
作者: honeycfa 时间: 2010-4-25 12:56 标题: [2010]Session 15-Reading 63: Understanding Yield Spreads LOS e习题精选
LOS e: Compute, 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:
Relative yield spread = absolute yield spread / yield on reference bond
Relative yield spread = (8.75% ? 7.45%) / 7.45% = 0.17 = 17%
作者: honeycfa 时间: 2010-4-25 12:56
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?
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A) |
If the Treasury rate rises and the absolute spread stays the same, the yield ratio declines. | |
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B) |
The absolute yield spread is 2.2%. | |
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C) |
The yield ratio is 1.022. | |
The yield ratio is (6.4%) / (4.2%) = 1.524, or one plus the relative yield spread.
作者: honeycfa 时间: 2010-4-25 12:57
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:
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%
作者: honeycfa 时间: 2010-4-25 12:57
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:
9.4 ? 8.5 = 0.9
9.9 ? 9.3 = 0.6
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