能不能帮忙做一个各种Spread的总结。

问题如下：

A fixed-income portfolio analyst is calculating the i-spread on a 10-year, 3.5% fixed-rate USD-denominated bullet bond issued by Bank TBT. The bond is currently rated A-, has no embedded options, makes semi-annual payments, and has 4.5 years remaining to maturity. The analyst obtains the following information:

Ÿ Yield to maturity of the bond: 4.67%

Ÿ Yield on the nearest-maturity on-the-run Treasury note: 1.15%

Ÿ Yield on a 4-year Treasury note: 1.65%

Ÿ Yield on a 5-year Treasury note: 2.08%

Ÿ The linearly interpolated 4.5-year swap rate: 1.94%

Ÿ The z-spread: 316 bps

What is the i-spread on the bond?

选项：

A.

151bps

B.

273bps

C.

352bps

D.

431bps

解释：

B is correct. The i-spread is the difference between the interpolated yield and the yield on the credit-risky bond = 4.67 – 1.94 = 2.73% = 273 bps.

A is incorrect. 151 bps is the difference between the yield to maturity of the bond and the z spread.

C is incorrect. 352 bps is the bonds yield spread.

D is incorrect. 431 bps is the result of adding the z-spread to the yield on the nearest maturity on-the-run Treasury note.