问题
单项选择题
An analyst has gathered the following information: Bond A is an 11 percent annual coupon bond currently trading at 106. 385 and matures in 3 years. The yield-to-maturity (YTM) for Bond A is 8.50 percent. The YTM for a Treasury bond that matures in 3 - years is 7.65 percent. 1, 2, and 3 - year spot rates are 5.0 percent, 6.5 percent and 8.25 percent, respectively. Which of the following statements regarding spreads on bond A is TRUE（）
A. The nominal spread is approximately 85 basis points.
B. The Z-spread is approximately 85 basis points.
C. The option-adjusted spread is approximately 75 basis points.
答案
参考答案：A
解析：
The nominal spread is 8.50%-7.65%=0.85%. Note that the Z-spread, calculated by trial and error, is approximately 48 basis points.