Note: US Treasury 1.5% due 31 March 2023 is on-the-run 7-year Treasury note, US Treasury 1.625% due 15 February 2026 is on-the-run 10-year Treasury note)
A weighting of 66.7% of the 7-year Treasury note and 33.3% of the 10-year Treasury note matches the 7.96-year maturity of the Citigroup bond: (9.88-7.96)/(9.88-7.00)=66.7%, (66.7%×7.00)+(33.3%×9.88)=7.96.
Therefore, the linearly interpolated yield on the 7.96-year benchmark maturity is 1.61%: (66.7%×1.53%)+ (33.3%×1.77%)=1.61% and the G-spread on the Citigroup bond is 163bps (the difference between its yield and the interpolated yield): 3.24%-1.61%=1.63%.
请问，为什么计算benchamark 和spread的时候，不用 on the run的gov 和 corp bond？
one the run 不应该是流动性最好，现在最公允的报价吗？ 谢谢解答！
