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甜甜 · 2023年11月13日

g spread benchmark

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000028

问题如下：

An analyst is analyzing a three-year, 2.25% annual coupon bond issued by QWE Company. Currently, the bond’s yield-to-maturity is 2.707%. The three-year swap rate is 1.840%. The government spot rates are presented in the table.


The G-Spread (in basis points) for the QWE bond is closest to:

选项：

A.

80

B.

87

C.

135

解释：

A is correct. The G-spread is a yield spread above that of a government bond with the same maturity date. The yield-to-maturity for the corporate bond is 2.7070%. The yield-to-maturity for the government benchmark bond is 1.9036%.

G-spread = 2.707% – 1.904% = 0.8034% = 80.3 bps.

B is incorrect because 87 bps is the I-spread calculated as the yield spread of a bond over the standard swap rate in the same currency and with the same tenor.

C is incorrect because 135 bps is the spread calculated as the difference between the yield-to-maturity of the QWE bond and the average of government rates for all maturities.

为什么这里的benchmark是国债spot rate呢？不应该找一个三年的annul coupon国债吗

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1 个答案

pzqa015 · 2023年11月14日

嗨，从没放弃的小努力你好：


Gspread是期限相同的国债和公司债的ytm之差。

3年期零息债的spot rate就是它的ytm。

如果给了三年期annual coupon国债，那的确应该用它的ytm

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NO.PZ2023052301000028 问题如下 analyst is analyzing a three-year, 2.25% annucoupon bonissueQWE Company. Currently, the bons yielto-maturity is 2.707%. The three-yeswrate is 1.840%. The government spot rates are presentein the table.The G-Spre(in basis points) for the QWE bonis closest to: A.80 B.87 C.135 A is correct. The G-spreis a yielspreabove thof a government bonwith the same maturity te. The yielto-maturity for the corporate bonis 2.7070%. The yielto-maturity for the government benchmark bonis 1.9036%.G-spre= 2.707% – 1.904% = 0.8034% = 80.3 bps.B is incorrebecause 87 bps is the I-sprecalculatethe yielspreof a bonover the stanrswrate in the same currenanwith the same tenor.C is incorrebecause 135 bps is the sprecalculatethe fferenbetween the yielto-maturity of the QWE bonanthe average of government rates for all maturities. 求3年期的YTM，难道不应该用S1-S3的平均值吗？

2024-08-19 23:25 1 · 回答

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