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椰子鸡 · 2024年05月09日

shifts in the yield curve是什么 为什么不在spread里

NO.PZ2023120801000052

问题如下:

Changes in the required margin for a floater usually come from:

选项:

A.

shifts in the yield curve

B.

changes in credit risk

C.

increases or decrease in inflation

解释:

Correct Answer: B

The required margin is the yield spread over or under a reference rate, reflecting the credit risk of an issuer. Changes in the required margin typically come from a change in the issuer’s credit risk.

A and C are incorrect. Both risks, as “top-down” or macroeconomic risks, would be reflected in changes in the MRR, not in a spread such as the required margin.

1

1 个答案

吴昊_品职助教 · 2024年05月09日

嗨,努力学习的PZer你好:


浮动利率债券要求的息差(required margin)是指在每个付息日后,能使浮动利率债券回归其面值对应的折现率所要求的息差。

分母中的折现率 = 市场基准利率+要求的息差,即MRR+required margin。

A和C都是影响市场基准利率的宏观因素,B是影响required margin的微观因素。A选项:收益率曲线的移动,也就意味着基准利率发生变动,不是spread变动。

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