김종곤 강사님 CFA level2 fixed income 질문있습니다
- 과정명: cfa level2 - fixed income
- 강사명: 김종곤 강사님
강사님 안녕하세요. 커리 문제집 풀다가 헷갈리는게 있어서 질문드립니다.
Reading 32에 커리큘럼북 p.60 37~41 세트문제에서 39번입니다.
Laura Mathews recently hired Robert Smith, an investment adviser at Shire Gate Advisers, to assist her in investing. Mathews states that her investment time horizon is short, approximately two years or less. Smith gathers information on spot rates for on-the-run annual-coupon government securities and swap spreads, as presented in Exhibit 1. Shire Gate Advisers recently published a report for its clients stating its belief that, based on the weakness in the financial markets, interest rates will remain stable, the yield curve will not change its level or shape for the next two years, and swap spreads will also remain unchanged.
Exhibit 1 Government Spot Rates and Swap Spreads
Maturity (years) 1234
Government spot rate 2.25% 2.70% 3.30% 4.05%
Swap spread 0.25% 0.30% 0.45% 0.70%
Smith decides to examine the following three investment options for Mathews:
Investment 1:
Investment 2:
Investment 3:
Buy a government security that would have an annualized return that is nearly risk free. Smith is considering two possible imple- mentations: a two-year investment or a combination of two one- year investments.
Buy a four-year, zero-coupon corporate bond and then sell it after two years. Smith illustrates the returns from this strategy using the swap rate as a proxy for corporate yields.
Buy a lower-quality, two-year corporate bond with a coupon rate of 4.15% and a Z-spread of 65 bps.
When Smith meets with Mathews to present these choices, Mathews tells him that she is somewhat confused by the various spread measures. She is curious to know whether there is one spread measure that could be used as a good indicator of the risk and liquidity of money market securities during the recent past.
39. In presenting Investment 2, Smith should show a total return closest to:
A 4.31%.
B 5.42%.
C 6.53%.
제가 문제풀이 한 방식은 4년짜리 bond의 현재가격이 1/(1,0475)^4= 0.8306 이고
이 bond를 2년 후에 파니까 2년 후 가격은 0.8306 x (1.03)^2 = 0.8812가 나와서
r = 0,8812 / 0.8306 -1 = 6.09%로 계산이 되는데
답지에는 C is correct. The swap spread is a common way to indicate credit spreads in
a market. The four-year swap rate (fixed leg of an interest rate swap) can be used as an indication of the four-year corporate yield. Riding the yield curve by purchasing a four-year zero-coupon bond with a yield of 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} and then selling it when it becomes a two-year zero-coupon bond with a yield of 3.00% {i.e., 2.70% + 0.30%, [P2 = 100/ (1 + 0.0300)2 = 94.260]} produces an annual return of 6.53%: (94.260/83.058)0.5 – 1.0 = 0.0653.
이런식으로 해설이 되어 있는데 잘 이해가 가지 않습니다..
감사합니다.
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안녕하세요 이패스코리아입니다
강사님께 문의 후 답변 드리겠습니다.
안녕하세요?
2번 투자의 대상이 Government Bond가 아니고 Corporate Bond입니다. 따라서 Government Bond의 Spot ate을 할인율로 쓰면 안되고 Spread를 더해주어야 합니다.
감사합니다.
김종곤
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