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Ruby Ye · 2022年02月03日

为什么Spread0*t=OAS?

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001901

问题如下：

Which bond rating category offers the highest expected excess return if credit spreads remain stable under current market conditions?

选项：

A.

A rated bond category

B.

BBB rated bond category

C.

BB rated bond category

解释：

B is correct. Recall that expected excess spread is defined as follows:

E [Excess Spread] ≈ Spread0 – (EffSpreadDur × ΔSpread) – (POD × LGD)

Because ∆Spread = 0, the expected excess spread is the simple difference between current OAS and expected loss, so E[Excess Spread] is 0.90%, 1.00%, and 0.25% for the A-, BBB-, and B rated categories, respectively.

老师，我不明白为什么Spread0*t=OAS? 可以解释一下嘛？

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已采纳答案

pzqa015 · 2022年02月04日

嗨，努力学习的PZer你好：


OAS是期初买入时公司债收益率与基准利率的差，它是期初的spread。

如果买入后，spread不发生变化（EffspreadDur*△spread=0），那么持有期间的超额收益就是期初的spread，也就是OAS。

如果买入后，spread发生变化（EffspreadDur*△spread≠0），那么持有期间的超额收益发生变化，不再是期初spread。

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