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💗 · 2025年06月05日

国债ytm

  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.

这道题给的是国债3年期spot rate，他应该是大于3年国债YTM呀

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1 个答案

笛子_品职助教 · 2025年06月06日

嗨，努力学习的PZer你好：


Hello，亲爱的同学~

结合本题的表格信息可以看出：这里的spot rate是spot rate curve，国债的即期收益率曲线。

含义是：1年期国债YTM = 1 Y spot rate。2年期国债YTM = 2 Y spot rate。3年期国债YTM = 3 Y spot rate。

所以本题中，3年国债YTM = 表格里的1.904%。

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