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金融民工阿聪 · 2023年01月31日

关于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.

这里yield spread不是公司债券收益在on-the-run government bond之上的spread吗？这和G-spread的在spot rate之上的不一样吧？为什么可以说是相同？是因为on-the-run government bond rate就等于spot rate?（这里我知道yield curve stable，但是他们计算公式减掉的也不是一个东西吧？）

还有就是解析里面的all-in YTM是什么，和普通的YTM有什么区别？

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1 个答案

pzqa015 · 2023年02月01日

嗨，爱思考的PZer你好：


不是的，yield spread与G spread都是公司债的spot rate-国债的spot rate，区别是Gspread要求国债和公司债要maturity math，yield spread不做这个要求，主要找到与公司债到期日临近的国债spot rate做benchmark即可，不用看解析了，这个知识点基础班讲义对应如下，请同学把这道例题好好看看。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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