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henterfu · 2022年05月25日

想请教一个关于yield spread的问题

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000015

问题如下：

Which of the following statements about credit spread measures is most accurate?

选项：

A.

The DM is the yield spread over the MRR established upon issuance to compensate investors for assuming an issuer’s credit risk.

B.

The Z-DM will be above the DM if the MRR is expected to remain constant over time.

C.

The yield spread for a corporate bond will be equal to the G-spread if the government benchmark yield curve is flat.

解释：

C is correct.

The yield spread is the simple difference between a bond’s all-in YTM and a current on-the-run government bond of similar maturity, while the G-spread is an interpolation of government benchmark yields. If the government bond yield curve is flat, these two measures will equal one another.

给定条件是收益率曲线向上倾斜时，因为计算yield spread的时候总是拿离最近的on the run gov来替代，讲义里都是取期限小一点的gov，会不会存在这种情况，比如该债券是2.8年期，离它最近是3年的gov，这个时候计算出来的yield spread就会比G spread要小了吧?

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pzqa015 · 2022年05月26日

嗨，从没放弃的小努力你好：


没错

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa015 · 2022年05月26日

嗨，爱思考的PZer你好：


会存在的哈。

你说这种情况，基准利率用了一个更大的值，得到的yield spread更小。

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努力的时光都是限量版，加油！

henterfu · 2022年05月26日

谢谢老师。那就是说考试时要结合题目给的具体信息进行判断，不是机械地认定yield spread一定比G spread大，是吧？

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