Question

I can’t understand how the professor calculate the default spread in the example for brazil of 4,83% in chapter 7 of his book book Investment Valuation - 2nd Edition. could you help?

Answer 1

As you can see in the book it says that the market spread for Brazil is 483bps that means is 4.83% default spread (he is just adding this as the country risk). In this case the note says that this spreads were calculated as the spread difference between the Brazilian dollar-denominated bonds and the US Treasury bond rates.