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pyt · 2021年09月23日

lowest G-spread

Swanson wishes to decrease portfolio exposure to the transportation sector and has identified as sale candidates the three non-callable fixed-rate bonds shown in Exhibit 2.


Exhibit 2

Comparative Analysis of Transportation Sector Bonds

Bond X Y Z

Effective duration 12.4 9.1 10.1

Benchmark spread 125 125 125

Swanson makes the following notes:

  • The three transportation sector bonds
  • have the same spread as the on-the-run 10-year US Treasury,
  • are priced near par value, and
  • have roughly equivalent underlying credit risk.
  • The yield curve is currently upward sloping.


For valuation reasons, Swanson plans to sell the bond with the lowest G-spread.


Determine which bond Swanson should sell. Justify your response.


Answer is Bond X




Determine which bond Swanson should sell. (Circle one.)Bond X

Bond YBond ZJustify your response.While the precise G-spreads for bonds X, Y, and Z cannot be readily determined without knowing the yields of other government bonds along the yield curve, it is stated that the yield curve is upward sloping. Based on this fact, the interpolated yield for weighted average durations less than 10 must be less than the yield for the on-the-run 10-year US Treasury, and the interpolated yield for weighted average durations more than 10 must be more than the yield for the on-the-run 10-year US Treasury. Since all three bonds have equivalent benchmark spreads, Bond X will have the lowest G-spread, because the difference between the interpolated yield and bond yield will be lowest for Bond X.

Given that Bond X has the lowest G-spread among the bonds, which have equivalent credit risk from Swanson’s perspective, she will sell Bond X because it is overpriced compared with Bond Y and Bond Z.


能解释一下答案吗? 看不懂。。。。


1 个答案
已采纳答案

pzqa015 · 2021年09月24日

嗨,从没放弃的小努力你好:


同学你好,忽略答案,按照下面的思路理解吧。

Gspread是maturity match时,公司债YTM与国债YTM的差,衡量的是credit spread。

benchmark spread是公司债YTM与国债TYM的差,它与Gspread不同是不再maturity match,benchmark spread除了有credit spread外,还有其他spread(比如liquidity spread,term spread等)。

题目已知的三只债券的effective duration,同时,收益率曲线向上,显然,暗示出三只债券的term spread不同,根据ED的大小,可以判断出债券的maturity是X>Y>Z,term spread:X>Y>Z。

想到这里,可以推断出,本题的benchmark spread 包括credit spread(Gspread)与term spread。(因为没给流动性信息,无法判断liquidity spread大小,故忽略)。

既然三只债的benchmark spread都相等,选择lowest G spread就是选择highest term spread,因为X有highest term spread,所以X有lowest G spread。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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