(30)-CFA固定收益证券

CFA固定收益证券Chapter3.13MatrixPricing第三章第十三节：矩阵定价法YieldSpreadandBenchmarkSpreadMatrixpricingisamethodofestimatingtherequiredyield-to-maturityofbondsthatarecurrentlynottradedorinfrequentlytraded.TheprocedureistousetheYTMsofactivelytradedbondsthathavecreditqualityveryclosetothatofanontradedorinfrequentlytradedbondandaresimilarinmaturityandcoupon,toestimatetherequiredYTM.9/13/2023Page1MatrixPricingofAnIlliquidBondExample1:Tom,CFA,isestimatingthevalueofanilliquid4%annual-pay,A+ratedbondXthathas3yearsremaininguntilmaturity.Hehasobtainedthefollowingyields-to-maturityonsimilarcorporatebonds:A+rated,2-year4%annual-couponbondA,YTM=4.3%A+rated,2-year3%annual-couponbondB,YTM=4.1%A+rated,5-year5%annual-couponbondC,YTM=5.1%A+rated,5-year3%annual-couponbondD,YTM=5.3%Estimatethevalueofthebond.9/13/2023Page23%Coupon4%Coupon5%Coupon2-year4.1%4.3%3-yearBondX4-year5-year5.3%5.1%MatrixPricingofAnIlliquidBondSolution(continue):Step1:taketheaverageYTMofthe2-yearand5-yearbonds,respectively.Step2:Linearinterpolatethe3-yearYTMbasedontheaverage2-yearand5-yearYTMs.Step3:Pricethe3-yearilliquid4%annualcouponbondwithaYTMof4.53%:N=3,I/Y=4.53,PMT=4,FV=100,wegetthebondpriceequalsto98.54.9/13/2023Page3MatrixPricingofNewBondIssueExample2:Jack,CFA,isestimatingtheYTMofanew6-year,Aratedcorporatebondissue.Hehasobtainedthefollowingyields-to-maturityonsimilarcorporatebonds:5-year,AratedcorporatebondA,YTM=2.68%5-year,AratedcorporatebondB,YTM=2.86%7-year,AratedcorporatebondC,YTM=3.56%The5-year,6-year,and7-yearTreasuryyieldsare1.48%,1.74%,and2.15%,respectively.Solution:Step1:calculatethespreadstothebenchmarkbonds:BondA:2.68%-1.48%=120bp.BondB:2.86%-1.48%=138bp.BondC:3.56%-2.15%=141bp.9/13/2023Page4MatrixPricingofNewBondIssueSolution(continue):Step2:calculatetheaveragebenchmarkspreadof5-yearand7-yearbonds:Step3:linearinterpolatethebenchmarkspreadof6-yearbond:Step4:addtheinterpolated6-yearbenchmarkspreadtot