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Hello, I need help with this: Mr. A bought the following bond in Apr 18: $17m hold in $100m bond issued by a North American

Hello, I need help with this:

Mr. A bought the following bond in Apr 18:

$17m hold in $100m bond issued by a North American gas storage company.

The bond has a 4% fixed coupon and matures in Dec 23.

The bond was purchased at 97c to result in an initial yield to maturity of 5.3%.

The bond is illiquid and accordingly the Comparable Bond Approach will be utilised to fair value the position as at 30th September 2020. The available comparable bonds are:

Comparator

Sector

Region

Currency

Coupon

Yield

Maturity

1

Healthcare

USA

USD

2.0%

5.1%

Dec-22

2

Energy

UK

GBP

4.0%

4.9%

Jun-21

3

Energy

Canada

USD

8.0%

3.8%

Dec-25

4

Energy

USA

USD

0.0%

1.2%

Dec-20

5

Healthcare

USA

EUR

3.0%

5.2%

Dec-21

6

Energy

Canada

USD

7.0%

10.5%

Aug-22

7

Energy

USA

USD

0.0%

5.6%

Dec-30

1. How many and which bond(s) would you select as the comparable bond(s)?

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