Page 52 - FINAL CFA SLIDES DECEMBER 2018 DAY 14

LOS 52.e: Describe matrix pricing., p.43
Session Unit 14:
52. Introduction To Fixed Income Valuation

Example: Pricing an illiquid bond: Rob Phelps, CFA, is estimating the value of a nontraded 4%, annual-pay, BB rated
bond that has 5 years remaining until maturity. He has obtained the following yields-to-maturity on similar
corporate bonds:

tanties

What if it was a 5-year, 5% annual-

pay coupon bond and have the YTMs
of otherwise very similar bonds with
4-year and 7-year maturities,
4.738% and 5.336%, respectively.