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Marina_0122 · 2022年02月09日

C可以解释一下吗

  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.

C可以解释一下吗

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1 个答案

pzqa015 · 2022年02月10日

嗨，努力学习的PZer你好：


ytmc代表公司债收益率，ytmb代表基准利率

Gspread=ytmc-ytmb，Gspread要求公司债收益率与基准利率是maturity match的，也即，公司债收益率是3年期，那么基准利率也要用3年期的，如果没有3年期的基准利率，可以用插值法来计算。

yield spread=ytmc-ytmb，yield spread不再要求公司债收益率与基准利率是maturity match的，只要求找到similar 期限的基准利率即可，比如，公司债是3.5年期，那么可以用3年期基准利率来计算yield spread。

正式因为不再要求maturity match，所以G spread与yield spread产生了差异。

比如，如果收益率曲线向上倾斜，3.5年期公司债收益率是5%，3年期基准利率利率为3%，4年期基准利率为4%。那么插值得到3.5年期基准利率为3.5%。

那么Gspread=5%-3.5%=1.5%

yield spread=5%-3%=2%

只有基准利率是水平的，也就是各期限的基准利率都相等，那么3.5年期的基准利率与3年期基准利率也相等，此时，计算的Gspread与yield spread就相等了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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