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bjiang0810 · 2025年05月03日

TED spread计算公式

* 问题详情,请 查看题干

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
  1. 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

  2. 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

  3. 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

The Term Structure and Interest Rate Dynamics
  • 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?

1 个答案

吴昊_品职助教 · 2025年05月03日

嗨,努力学习的PZer你好:


现在9bps代表的是三个月的MRR减去三个月的OIS spread,9bps并不直接就是三个月的MRR。

1.三个月的MRR=三个月的MRR减去三个月的OIS spread+三个月的OIS=9bp+6bp=15bp,也就是下列两个红色框的加总才是三个月的MRR。

2.TED spread=三个月的MRR-三个月的US Treasury bill rate=15bps-4bps=11bps。

所以,这道题选B。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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