题目
The following information relates to Question below:「huixue_img/importSubject/1564548167314313216.png」Both bonds pay interest annually. The current three-year EUR interest rate swap benchmark is 2.12%.The G-spread in basis points (bps) on the UK corporate bond is closest to:
选项
A.264 bps.
B.285 bps.
C.300 bps.
答案
B
解析
B is correct. The G-spread is closest to 285 bps. The benchmark rate for UK fixed-rate bonds is the UK government benchmark bond. The Euro interest rate spread benchmark is used to calculate the G-spread for Euro-denominated corporate bonds, not UK bonds. The G-spread is calculated as follows:「huixue_img/importSubject/1564548167389810688.jpeg」Yield-to-maturity on the UK corporate bond:「huixue_img/importSubject/1564548167456919552.jpeg」The G-spread is 476 – 191 = 285 bps.
B是正确的。G价差最接近285个基点。英国固定利率债券的基准利率为英国政府基准债券。欧元息差基准用于计算欧元计价公司债券的G息差，而不是国债。G息差计算如下： 英国公司债券到期收益率： G-息差为476–191=285个基点。