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蕾 · 2024年01月11日

请解释A和B选项

  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.

请解释A和B选项

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1 个答案

pzqa015 · 2024年01月12日

嗨，努力学习的PZer你好：


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

--

这句话描述的是QM而不是DM，QM是加在分子现金流上的spread，是发行时，为了让面值=100，根据spread确定的，也就是upon issuance，DM再发行后是变化的，反映发行人信用质量的变化，所以，DM不是upon issuance时确定的，所以A表述错误。


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

--

DM与QM公式如下

如果MRR expected to remian constant，那么第二张图中的z2,...zN都等于MRR，同时，两张图计算的P也是相等的，所以，ZDM是等于DM的。

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