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cy g. · 2024年08月11日

如题

  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.

能解释一下A不对的原因么

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1 个答案

发亮_品职助教 · 2024年08月12日

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


A错在DM上，这句描述的是quoted margin（QM），不是DM（discount margin）


DM（Discount margin）处在债券现金流折现公式的分母上，充当的是折现率的一部分。DM会随着债券市场价格的改变而改变，体现的是债券实时的信用风险。当债券的信用风险改变时，DM就会变。


而QM（Quoted margin），是处在债券现金流折现公式的分子上，QM决定了浮动利率债券的Coupon rate。浮动利率债券的Coupon rate = MRR + Quoted margin

如，某个浮动利率债券的Coupon rate = MRR + 1%，这个1%就是QM，而MRR是会随着市场参考利率的改变而改变。


这个QM是在债券发行时，根据债券发行时刻的信用风险确定。如果发行时，债券的信用风险大，那么对应的QM就大一点，用于补偿投资者承担较大的信用风险；如果发行时刻，债券的信用风险小，那么QM就小一点。


QM的特征是，他是由债券发行时刻信用风险决定的，这就是A选项所说的，established upon issuance，同时他是用来补偿投资者承担信用风险的，这是A所说的to compensate investors for assuming an issuer’s credit risk

注意，一旦当债券发行之后，这个QM就是确定的了，不再变化。

而处在分母上的DM，会反映债券的实时信用风险，会随着债券信用风险的改变而改变。


所以选项A的句子是正确的，但描述的是QM，并不是DM，选项A改成下面这句就是正确的：

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


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