swap spread不是只反应credit risk吗

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：

A.

0.59

B.

0.66

C.

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