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为什么用on the run？

NO.PZ2023040701000019

问题如下：

Swap rates are very useful in the valuation of bonds. I would like you to use the information in Exhibit 2 to value a bond, issued by AAA rated European Supranational Bank (ESB), maturing in 3.86 years, with a coupon rate of 2.86% paid annually. Dealers are quoting the bond flat to swaps. Simple interpolation can be used to perform the calculations.

Exhibit 2 Yield Measures at Various Maturities

Based on the data in Exhibit 2, the spread the market is expecting for the credit and liquidity component of the yield to maturity for the ESB bond is closest to:

选项：

0.59

0.66

1.14

解释：

Correct Answer: B

As the swap spread represents the return that investors require for credit and liquidity. Since dealers are quoting the bond flat to swaps or swaps + 0 basis points there is no added spread to swaps. The swap spread is measured over the “on-the-run”or most recently issued government security, in this case the Bond. Simple interpolation is used to calculate the swap spread.

First, calculate the Bond yield for the maturity: 0.41 + 0.86 × (0.50 – 0.41) = 0.49

Second, calculate the swap rate for the maturity: 1.05 + 0.86 × (1.16 – 1.05) = 1.14

Third, the difference represents the swap spread: 1.14 – 0.49 = 0.66

何老师是因为债券发行不久，请问多久是“不久”？

嗨，从没放弃的小努力你好：

在债券市场中，“on-the-run（最新发行）国债”指的是某一特定期限内最近一次发行的国债，它们因流动性最好、成交最活跃而被广泛用作基准利率。在计算swap spread时用“on-the-run”国债，是因为：

流动性高：on-the-run 债券买卖最频繁，市场定价最透明，利率数据最具代表性。
最能反映市场风险偏好：由于其活跃度高，它反映了当前市场对无风险利率的预期。
被市场普遍采用为参考标准。

因此，“不久”一般指在最近一轮发行内的时间，比如10年期国债，如果它是在最近一个季度发行的，就通常视为“on-the-run”。当下一轮新债发行后，它就变成“off-the-run”。

总结：

on-the-run 债券是刚发不久、最活跃、市场最关注的债券

在实际中使用它来做 swap spread 的基准，是为了最大程度减少价格偏差与流动性溢价带来的误差。

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为什么用on the run？

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