An investor wants to be long the credit risk of a given company. The companys bond currently

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An investor wants to be long the credit risk of a given company. The company’s bond currently yields 6% and matures in five years. A comparable five-year CDS contract has a credit spread of 3.25%. The investor can borrow at Libor, which is currently 2.5%.

Calculate the bond’s credit spread.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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