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标题: Reading 63: Understanding Yield Spreads- LOS h～ Q1 [打印本页]

作者: yangh 时间: 2009-3-2 17:20 标题: [2009] Session 15 - Reading 63: Understanding Yield Spreads- LOS h～ Q1

LOS h: Explain how the liquidity or issue-size of a bond affects its yield spread relative to risk-free securities and relative to other securities.

Q1. Consider three corporate bonds that are identical in all respects except as noted:

Bond F has $100 million face value outstanding. On average, 200 bonds trade per day.
Bond G has $300 million face value outstanding. On average, 200 bonds trade per day.
Bond H has $100 million face value outstanding. On average, 500 bonds trade per day.

Will the yield spreads to Treasuries of Bond G and Bond H be higher or lower than the yield spread to Treasuries of Bond F?

A) Higher for both.

B) Higher for one only.

C) Lower for both.

作者: yangh 时间: 2009-3-2 17:21 标题: [2009] Session 15 - Reading 63: Understanding Yield Spreads- LOS h～ Q1

LOS h: Explain how the liquidity or issue-size of a bond affects its yield spread relative to risk-free securities and relative to other securities.fficeffice" />

Q1. Consider three corporate bonds that are identical in all respects except as noted:

Bond F has $100 million face value outstanding. On average, 200 bonds trade per day.
Bond G has $300 million face value outstanding. On average, 200 bonds trade per day.
Bond H has $100 million face value outstanding. On average, 500 bonds trade per day.

Will the yield spreads to Treasuries of Bond G and Bond H be higher or lower than the yield spread to Treasuries of Bond F?

A) Higher for both.

B) Higher for one only.

C) Lower for both.

Correct answer is C)

Liquidity is attractive to investors, so they will pay a higher price (demand a lower yield) for a more liquid bond than for an identical bond that is less liquid. Bond G is more liquid than Bond F because of its greater size. Bond H is more liquid than Bond F because it trades in greater volume. Therefore both Bond G and Bond H will tend to have lower yield spreads to Treasuries than Bond F.

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