A corporate bond has an effective spread duration of five years and a credit spread of 2.75%

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A corporate bond has an effective spread duration of five years and a credit spread of 2.75% (275 bps).

What is the approximate excess return if the bond is held for six months and the credit spread narrows 50 bps to 2.25%? Assume the spread duration remains at five years and that the bond does not experience default losses.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 08, 2023 01:43 AM

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A corporate bond has an effective spread duration of five years and a credit spread of 2.75%

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Fixed Income Analysis

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