NO.PZ202504240100010103
问题如下:
The 3-month TED spread that Brown calculates should equal:选项:
A.5 bps. B.11 bps. C.13 bps.解释:
Solution
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A is incorrect because the candidate confused (Three-month MRR – three-month OIS spread) with Three-month MRR. Incorrect formula:
Three-month TED spread = (Three-month MRR – three-month OIS spread) – Three-month US Treasury Bill Rate.
= 9 basis points – 4 basis points = 5 basis points
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B is correct because the candidate was able to extract the value of the three-month MRR from Exhibit 2 and calculate the three-month TED spread:
(Three-month MRR – three-month OIS spread) = Three-month MRR – Three-month overnight indexed swap (OIS) rate
Solving for Three-month MRR:
Three-month MRR = (Three-month MRR – three-month OIS spread) + Three-month overnight indexed swap (OIS) rate
= 9 basis points + 6 basis points = 15 basis points
Three-month TED spread = Three-month MRR – Three-month US Treasury Bill Rate
= 15 basis points – 4 basis points = 11 basis points
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C is incorrect because the candidate added the Three-month US Treasury Bill Rate to (Three-month MRR – three-month OIS spread). Incorrect formula:
Three-month TED spread = Three-month US Treasury Bill Rate + (Three-month MRR- three-month OIS spread)
= 4 basis points + 9 basis points = 13 basis points
- describe short-term interest rate spreads used to gauge economy-wide credit risk and liquidity risk
TED spead=MRR-T-bill,为什么答案不是9bp-4bp=5bp?