问题如下:
To look at risk in terms of the swap spread. We considered historical 3-year swap spreads for Country B, which reflect that market’s credit and liquidity risks, at three different points in time.
Exhibit 2 shows the selected historical three-Year rates for country B
the implied credit and liquidity risks as indicated by the historical three-year swap spreads for Country B were the lowest:
选项:
A.1 month ago.
B.6 months ago.
C.12 months ago.
解释:
B is correct.
考点:考察Swap spread
解析:表格中显示了1个月前、6个月前、12个月前,B国三年期的国债收益率和3年期的Swap rate。而Swap spread是相同期限的Swap rate减去相同期限的on-the-run国债收益率。
Swap spread越低,投资者对Credit risk和liquidity risk的要求补偿就越低。
6个月前的3年期Swap rate为0.01% , 而6个月前 , 3年期的国债收益率为-0.08% , 因此Swap spread为 : 0.01 % - (-0.08 % ) = 0.09 % ; 同理1个月前的Swap spread为0.16 % - (-0.10 % ) = 0.26 % ; 12个月前的Swap spread为0.71 % - (- 0.07 % ) = 0.78 % 。
B国三年期的国债收益率哪里给了?