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EvanWu · 2021年12月28日

flat就是绝对水平的意思吗？

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000015

问题如下：

Which of the following statements about credit spread measures is most accurate?

选项：

A.

The DM is the yield spread over the MRR established upon issuance to compensate investors for assuming an issuer’s credit risk.

B.

The Z-DM will be above the DM if the MRR is expected to remain constant over time.

C.

The yield spread for a corporate bond will be equal to the G-spread if the government benchmark yield curve is flat.

解释：

C is correct.

The yield spread is the simple difference between a bond’s all-in YTM and a current on-the-run government bond of similar maturity, while the G-spread is an interpolation of government benchmark yields. If the government bond yield curve is flat, these two measures will equal one another.

之前章节提到的flat只是变平吧？这里的flat就是绝对的水平吗？但凡不是水平的就应该不一样啊？然后再麻烦解释一下A为什么错了，没太看懂A的意思
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已采纳答案

pzqa015 · 2021年12月28日

嗨，爱思考的PZer你好：


前面章节提到的变平是flatten而不是flat。flat是平的意思，这里说的就是各期限的收益率是相等的，收益率曲线是水平状，所以，C选项没问题哈。

至于A选项，它说：DM是债券发行时，为了补偿投资者承担信用风险，而在MRR基础上给与投资者的一定风险补偿。这句话错就错在upon issuance（发行时）了，如果去掉established upon issuance，A选项是正确的。

下面区分一下QM与DM

QM：coupon=MRR+QM，代表的是浮动利率债发行时确定的spread，用来补偿投资者承担的credit，所以，A描述的是QM而不是DM。

DM：ytm=MRR+DM，代表的是投资者投资该只浮动利率债，获得的credit 补偿。DM与QM的除了一个代表coupon，一个代表折现率外，很重要的区别是QM限定了upon issuance时确定，而DM不限定何时确定。投资者可以是期初投资该只债券，那么此时DM=QM，也可以是浮动利率债发行后投资，对于债券发行后投资，如果发行主体风险变大，那么DM＞QM，如果发行主体风险变小，那么DM＜QM。

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