The U.S. Treasury spot rates are provided in the f
The U.S. Treasury spot rates are provided in the following table:
Consider a 3-year, 9% annual coupon corporate bond currently trading at $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
A. 1.50%.
B. 1.67%.
C. 1.76%.
参考解答
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2024-11-17 12:56:43
Ans:B;
The Z- spread is the equal amount that we must add to each rate on the Treasury spot yield curve in order to make the present value of the risky bond’s cash flow equal to its market price.
To compute the Z-spread, set the present value of the bond’s cash flows equal to today’s market price. Discount each cash flow at the appropriate zero-coupon bond spot rate plus a fixed spread named ZS.
89.464 =
Solve for ZS. Note that ZS can be found by replacing Choice A, B and C into the equation to see which is the correct answer.
ZS=1.67%
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